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The role of oil prices on the Russian business cycle

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  • Pönkä, Harri
  • Zheng, Yi

Abstract

We study the role of oil prices in forecasting Russian recession periods with probit models. Our findings suggest that fluctuations in nominal oil prices are useful predictors of the Russian business cycle, even when controlling for a number of classic recession predictors. However, in line with international findings, the term spread turns out to be the most powerful predictor of future recessions. Overall, the best in-sample fit is found using a model including the term spread and the oil price variable as predictors. The pseudo out-of-sample forecasts confirm the findings.

Suggested Citation

  • Pönkä, Harri & Zheng, Yi, 2019. "The role of oil prices on the Russian business cycle," Research in International Business and Finance, Elsevier, vol. 50(C), pages 70-78.
    • Handle: RePEc:eee:riibaf:v:50:y:2019:i:c:p:70-78
    DOI: 10.1016/j.ribaf.2019.04.011
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    Cited by:

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    2. Su, Zhi & Mo, Xuan & Yin, Libo, 2021. "Oil market uncertainty and excess returns on currency carry trade," Research in International Business and Finance, Elsevier, vol. 56(C).
    3. Bilal Ahmed Memon & Rabia Tahir, 2021. "Examining Network Structures and Dynamics of World Energy Companies in Stock Markets: A Complex Network Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(4), pages 329-344.
    4. Lin, Boqiang & Bai, Rui, 2021. "Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective," Research in International Business and Finance, Elsevier, vol. 56(C).
    5. Köse, Nezir & Ünal, Emre, 2020. "The impact of oil price shocks on stock exchanges in Caspian Basin countries," Energy, Elsevier, vol. 190(C).
    6. Yang, Jinxuan & Rizvi, Syed Kumail Abbas & Tan, Zhixiong & Umar, Muhammad & Koondhar, Mansoor Ahmed, 2021. "The competing role of natural gas and oil as fossil fuel and the non-linear dynamics of resource curse in Russia," Resources Policy, Elsevier, vol. 72(C).
    7. Anastasiya Lisina & Philippe Van Kerm, 2022. "Understanding Twenty Years of Inequality and Poverty Trends in Russia," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 68(S1), pages 108-130, April.

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    More about this item

    Keywords

    Business cycle; Oil prices; Probit model; Recession;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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