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Oil Prices, Exchange Rate Regime and the Russian Economy

Yıl 2021, Cilt: 8 Sayı: 1, 167 - 180, 15.01.2021
https://doi.org/10.17336/igusbd.697463

Öz

An increase in oil prices in oil exporting countries leads to a significant increase in export revenues. The increase in the export revenues due to natural resources export revenue increases the amount of foreign currency entering the country and can stimulate to have an undesired appreciation in the value of the domestic currency. This valuation may negatively affect the economic performance of the country. The aim of this study is to determine the effects of changes in oil prices on economic performances in Russia under the assumption of controlling the exchange rate channel, which is known to have a direct effect on Russia’s economic performance. For this purpose, the modified Vector Autoregression model proposed by Bernanke, Gertler and Watson (1997) is used with quarterly data between 1994 and 2018. As a result of the analysis, when the ruble is prevented from appreciation, it is seen that the unexpected increase in oil prices decreased the interest rate more than when the floating exchange rate was adopted. On the other hand, prices are higher at the beginning than when the floating exchange rate is adopted but result in lower prices in the following periods.  

Kaynakça

  • ABOUNOORI, A.A., NAZARIAN, R. & AMIRI, A. (2014). Oil price pass-through into domestic inflation: The case of Iran. International Journal of Energy Economics and Policy, 4(4), 662-669.
  • ALGIERI, B. (2004). The effects of the Dutch Disease in Russia. ZEF Bonn Discussion Papers on Development Policy, No. 83, 1-29.
  • ALGIERI, B. (2011). The Dutch Disease: Evidences from Russia. Economic Change and Restructuring, 44(3), 243–277.
  • ALGIERI, B. (2013). Determinants of the real effective exchange rate in the Russian Federation. The Journal of International Trade and Economic Development, 22 (7), 1013-1037.
  • ALIYU, S. U. R. (2009). Impact of oil price shock and exchange rate volatility on economic growth in Nigeria: An Empirical Investigation. MPRA Paper, No 16319, 1-21.
  • BECK, R., KAMPS A. & MILEVA E. (2007). Long-term growth prospects for the Russıan economy. Occasional Paper Series, 54, 1-29.
  • BENEDICTOW, A., FJÆRTOFT, D. & LØFSNÆS, O. (2010). Oil dependency of the Russian economy: an econometric analysis. Discussion Papers, No.617, 1-60.
  • BERNANKE, S. B., M. GERTLER, & M. WATSON. (1997). Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity, 91-157.
  • BERUMENT, M.H., CEYLAN, N.B. & DOGAN, N. (2010). The impact of oil price shocks on the economic growth of selected MENA countries. The Energy Journal, 31(1), 149-176.
  • BİLAN, Y., GEDEK, S. & MENTEL, G. (2018). The analysis of oil price and ruble exchange rate. Transformations in Business & Economics, 17 (3), 195-205.
  • CBR, (1998). The Central Bank of the Russian Federation annual report. 68-79.
  • CBR, (2009). The Central Bank of the Russian Federation annual report. 68-71.
  • CBR, (2014). The Central Bank of the Russian Federation annual report. 53-56.
  • DELGADO, N.A.B., DELGADO, E.B. & SAUCEDO, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. The North American Journal of Economics and Finance, 45, 266-275.
  • DICKEY, D.A. & FULLER, W.A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1072.
  • DPT. (2010), “1998 Rusya krizi ve Türkiye üzerine muhtemel etkileri.” Devlet Planlama Teşkilatı Yıllık Programlar ve Koordinasyon Genel Müdürlüğü Ağustos, 1-14.
  • HABIB, M.M. & KALAMOVA, M. M. (2007). Are there oil currencies? The real exchange rate of oil exporting countries. ECB WP Series, No. 839, 1-42.
  • IMF, (2018). Russian Federation 2018 artıcle ıv consultatıon press release; Staff Report. IMF Country Report, No. 18/275, 1-61.
  • ITO, K. (2008A). Oil prices and macroeconomy in Russia: The Co-integrated VAR model approach. International Applied Economics and Management Letters, No 1, 37-40.
  • ITO, K. (2008b). Oil price and macroeconomy in Russia. Economics Bulletin Papers, No 17, 1-9.
  • ITO, K. (2010). The Impact of oil price volatility on macroeconomic activity in Russia. Economic Analysis Working Papers, No 5, 1-11.
  • JOHANSEN, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-354.
  • JOHANSEN, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
  • KÖSE, N. & BAIMAGANBETOV, S. (2015). The asymmetric impact of oil price shocks on Kazakhstan macroeconomic dynamics: A structural vector autoregression approach. International Journal of Energy Economics and Policy, 5(4), 1058-1064.
  • KWIATKOWSKI, D., PHILLIPS, P. C., SCHMIDT, P., & SHIN, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root. Journal of Econometrics, 54(1- 3), 159-178.
  • LIZARDO, R.A. & MOLLICK, A.V. (2010). Oil price fluctuations and U.S. dollar exchange rates. Energy Economics, 32(2), 399-408.
  • LUTKEPOHL, H. & REIMERS, H. (1992). Impulse response analysis of cointegrated systems. Journal of Economic Dynamics and Control, 16, 53–78.
  • MEHRARA, M. & MOHAGHEGH, M. (2011). Macroeconomic dynamics in the oil exporting countries: A panel VAR study. International Journal of Business and Social Science, 2(21), 288-295.
  • MOHAMMADI, H. & JAHAN-PARVAR, M.R. ( 2012). Oil price sand exchange rates in oil exporting countries: Evidence from TAR and M-TARmodels. Journalof Economics and Finance, 36(3), 766–779.
  • MUKHTAROV, S., MAMMADOV, J. & AHMADOV, F. (2019). The impact of oil prices on inflation: The case of Azerbaijan. International Journal of Energy Economics and Policy, 2019, 9(4), 97-102.
  • OOMES, N. & KALCHEVA, K. (2007). Diagnosing Dutch Disease: Does Russia have the symptoms? IMF Working Paper WP/07/102, International Monetary Fund, Washington, 1-43.
  • PHILLIPS, P. C. B., & PERRON, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
  • RAUTAVA, J. (2002). The role of oil prices and the real exchange rate in Russia's economy. Bank of Finland, DP 3/2002, 1-25.
  • SIMS, C. A. (1980). Macroeconomics and reality. Econometrica. Discussion Paper No. 77-91, December 1977 1-48.
  • SIMS, C. A., STOCK, J. H. & WATSON, M. W. (1990). Inference in Linear Time Series Models with some Unit Roots. Econometrica, 58, 113-144.
  • SOSUNOV, K. & USHAKOV, N. (2009). Determination of the real exchange rate of Ruble and assessment of long-run policy of real exchange rate targeting. Working Paper, WP12/2009/02, 1-34.
  • SPATAFORA, N. & STAVREV, E. (2003). The Equilibrium real exchange rate in a commodity exporting country: The case of Russia. IMF Working Paper, No. 93, 1-23.
  • TRANG, N.T.N., THO, T.N. & HONG, D.T. (2017). The impact of oil price on the growth, inflation, unemployment and budget deficit of Vietnam. International Journal of Energy Economics and Policy, 7(3), 42-49.

Petrol Fiyatları, Döviz Kuru Rejimi ve Rusya Ekonomisi

Yıl 2021, Cilt: 8 Sayı: 1, 167 - 180, 15.01.2021
https://doi.org/10.17336/igusbd.697463

Öz

Petrol ihracatçısı ülkelerde; petrol fiyatlarındaki beklenmedik artış, ihracat gelirlerinde önemli bir yükselişe neden olmaktadır. İhracat gelirlerindeki doğal kaynağa bağlı bu yükseliş ülkeye giren dövizi artırmakta ve yerel para birimin değerinde istenmeyen bir artışa neden olabilmektedir. Bu değerlenme ülkenin ekonomik performansını olumsuz etkileyebilmektedir. Bu çalışmanın amacı petrol fiyatlarındaki değişimin, Rusya’nın para ve maliye politikaları üzerine direk etkisi olduğu bilinen döviz kuru kanalının kontrol edilmesi varsayımı altında petrol fiyatlarındaki değişimin ekonomik performans üzerindeki etkilerini belirlemektir. Bu amaç doğrultusunda 1994-2018 yılları arası üçer aylık veriler ile Bernanke, Gertler ve Watson’un (1997) önerdiği modifiye Vektör Otoregresif model kullanılmaktadır. Yapılan analizler sonucunda, rublenin aşırı değer kazanması engellendiğinde; petrol fiyatlarındaki beklenmedik artışın faiz oranını dalgalı kurun benimsendiği durumdan daha fazla düşürdüğü görülmektedir. Fiyatlar ise, dalgalı kurun benimsendiği durumdan başlangıçta daha yüksek olsa da ilerleyen dönemlerde daha düşük fiyatlarla sonuçlanmaktadır. 

Kaynakça

  • ABOUNOORI, A.A., NAZARIAN, R. & AMIRI, A. (2014). Oil price pass-through into domestic inflation: The case of Iran. International Journal of Energy Economics and Policy, 4(4), 662-669.
  • ALGIERI, B. (2004). The effects of the Dutch Disease in Russia. ZEF Bonn Discussion Papers on Development Policy, No. 83, 1-29.
  • ALGIERI, B. (2011). The Dutch Disease: Evidences from Russia. Economic Change and Restructuring, 44(3), 243–277.
  • ALGIERI, B. (2013). Determinants of the real effective exchange rate in the Russian Federation. The Journal of International Trade and Economic Development, 22 (7), 1013-1037.
  • ALIYU, S. U. R. (2009). Impact of oil price shock and exchange rate volatility on economic growth in Nigeria: An Empirical Investigation. MPRA Paper, No 16319, 1-21.
  • BECK, R., KAMPS A. & MILEVA E. (2007). Long-term growth prospects for the Russıan economy. Occasional Paper Series, 54, 1-29.
  • BENEDICTOW, A., FJÆRTOFT, D. & LØFSNÆS, O. (2010). Oil dependency of the Russian economy: an econometric analysis. Discussion Papers, No.617, 1-60.
  • BERNANKE, S. B., M. GERTLER, & M. WATSON. (1997). Systematic monetary policy and the effects of oil price shocks. Brookings Papers on Economic Activity, 91-157.
  • BERUMENT, M.H., CEYLAN, N.B. & DOGAN, N. (2010). The impact of oil price shocks on the economic growth of selected MENA countries. The Energy Journal, 31(1), 149-176.
  • BİLAN, Y., GEDEK, S. & MENTEL, G. (2018). The analysis of oil price and ruble exchange rate. Transformations in Business & Economics, 17 (3), 195-205.
  • CBR, (1998). The Central Bank of the Russian Federation annual report. 68-79.
  • CBR, (2009). The Central Bank of the Russian Federation annual report. 68-71.
  • CBR, (2014). The Central Bank of the Russian Federation annual report. 53-56.
  • DELGADO, N.A.B., DELGADO, E.B. & SAUCEDO, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. The North American Journal of Economics and Finance, 45, 266-275.
  • DICKEY, D.A. & FULLER, W.A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1072.
  • DPT. (2010), “1998 Rusya krizi ve Türkiye üzerine muhtemel etkileri.” Devlet Planlama Teşkilatı Yıllık Programlar ve Koordinasyon Genel Müdürlüğü Ağustos, 1-14.
  • HABIB, M.M. & KALAMOVA, M. M. (2007). Are there oil currencies? The real exchange rate of oil exporting countries. ECB WP Series, No. 839, 1-42.
  • IMF, (2018). Russian Federation 2018 artıcle ıv consultatıon press release; Staff Report. IMF Country Report, No. 18/275, 1-61.
  • ITO, K. (2008A). Oil prices and macroeconomy in Russia: The Co-integrated VAR model approach. International Applied Economics and Management Letters, No 1, 37-40.
  • ITO, K. (2008b). Oil price and macroeconomy in Russia. Economics Bulletin Papers, No 17, 1-9.
  • ITO, K. (2010). The Impact of oil price volatility on macroeconomic activity in Russia. Economic Analysis Working Papers, No 5, 1-11.
  • JOHANSEN, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-354.
  • JOHANSEN, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580.
  • KÖSE, N. & BAIMAGANBETOV, S. (2015). The asymmetric impact of oil price shocks on Kazakhstan macroeconomic dynamics: A structural vector autoregression approach. International Journal of Energy Economics and Policy, 5(4), 1058-1064.
  • KWIATKOWSKI, D., PHILLIPS, P. C., SCHMIDT, P., & SHIN, Y. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root. Journal of Econometrics, 54(1- 3), 159-178.
  • LIZARDO, R.A. & MOLLICK, A.V. (2010). Oil price fluctuations and U.S. dollar exchange rates. Energy Economics, 32(2), 399-408.
  • LUTKEPOHL, H. & REIMERS, H. (1992). Impulse response analysis of cointegrated systems. Journal of Economic Dynamics and Control, 16, 53–78.
  • MEHRARA, M. & MOHAGHEGH, M. (2011). Macroeconomic dynamics in the oil exporting countries: A panel VAR study. International Journal of Business and Social Science, 2(21), 288-295.
  • MOHAMMADI, H. & JAHAN-PARVAR, M.R. ( 2012). Oil price sand exchange rates in oil exporting countries: Evidence from TAR and M-TARmodels. Journalof Economics and Finance, 36(3), 766–779.
  • MUKHTAROV, S., MAMMADOV, J. & AHMADOV, F. (2019). The impact of oil prices on inflation: The case of Azerbaijan. International Journal of Energy Economics and Policy, 2019, 9(4), 97-102.
  • OOMES, N. & KALCHEVA, K. (2007). Diagnosing Dutch Disease: Does Russia have the symptoms? IMF Working Paper WP/07/102, International Monetary Fund, Washington, 1-43.
  • PHILLIPS, P. C. B., & PERRON, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
  • RAUTAVA, J. (2002). The role of oil prices and the real exchange rate in Russia's economy. Bank of Finland, DP 3/2002, 1-25.
  • SIMS, C. A. (1980). Macroeconomics and reality. Econometrica. Discussion Paper No. 77-91, December 1977 1-48.
  • SIMS, C. A., STOCK, J. H. & WATSON, M. W. (1990). Inference in Linear Time Series Models with some Unit Roots. Econometrica, 58, 113-144.
  • SOSUNOV, K. & USHAKOV, N. (2009). Determination of the real exchange rate of Ruble and assessment of long-run policy of real exchange rate targeting. Working Paper, WP12/2009/02, 1-34.
  • SPATAFORA, N. & STAVREV, E. (2003). The Equilibrium real exchange rate in a commodity exporting country: The case of Russia. IMF Working Paper, No. 93, 1-23.
  • TRANG, N.T.N., THO, T.N. & HONG, D.T. (2017). The impact of oil price on the growth, inflation, unemployment and budget deficit of Vietnam. International Journal of Energy Economics and Policy, 7(3), 42-49.
Toplam 38 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Levent Gül 0000-0003-2517-2207

Nükhet Doğan Bu kişi benim 0000-0002-2115-1807

Hakan Berument 0000-0003-2276-4741

Yayımlanma Tarihi 15 Ocak 2021
Kabul Tarihi 24 Kasım 2020
Yayımlandığı Sayı Yıl 2021 Cilt: 8 Sayı: 1

Kaynak Göster

APA Gül, L., Doğan, N., & Berument, H. (2021). Petrol Fiyatları, Döviz Kuru Rejimi ve Rusya Ekonomisi. İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 8(1), 167-180. https://doi.org/10.17336/igusbd.697463

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İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi Creative Commons Atıf-GayriTicari-Türetilemez 4.0 Uluslararası Lisansı ile lisanslanmıştır.