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Oil Price, Exhange Rate and Economic Growth in Russia: A Multiple Structural Break Approach

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  • Fatih Kaplan

Abstract

This study aims to investigate the relation between oil prices, exchange rate and economic growth in Russia from a multiple structural break approach. For this reason, quarterly series have been used for the period 1995:q1-2014:q3. In the study, first of all, the series have been subject to multiple structural break unit root test and multiple structural break cointegration test, and the effect of oil prices and exchange rate on economic growth has been estimated with dynamic least squares method. Two significant findings have been identified as a result. First of all, it has been observed that there are structural breaks in the series, and despite this, series move together in the long run. Secondly, it has been observed that increasing oil prices are an important factor for economic growth and that depreciation of rouble against dollar will have a limited effect on economic growth in the long run.

Suggested Citation

  • Fatih Kaplan, 2015. "Oil Price, Exhange Rate and Economic Growth in Russia: A Multiple Structural Break Approach," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 5(4), pages 1-7.
    • Handle: RePEc:spt:admaec:v:5:y:2015:i:4:f:5_4_7
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    Cited by:

    1. Sergey Ivashchenko, 2022. "Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks," Russian Journal of Money and Finance, Bank of Russia, vol. 81(1), pages 46-72, March.
    2. Aganin, Artem & Peresetsky, Anatoly, 2018. "Volatility of ruble exchange rate: Oil and sanctions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 52, pages 5-21.
    3. Fatih Kaplan & Ayşe E. Ünal, 2020. "Industrial Production Index - Crude Oil Price Nexus: Russia, Kazakhstan And Azerbaijan," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 65(227), pages 119-142, October –.
    4. Su, Chi-Wei & Qin, Meng & Tao, Ran & Umar, Muhammad, 2020. "Does oil price really matter for the wage arrears in Russia?," Energy, Elsevier, vol. 208(C).

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