Abstract
This paper investigates the impact of oil price shocks on the Russian ruble exchange rate at different time periods during 2002-2019. We apply two-variable linear regression model and vector error correction model for high-frequency (daily) data at intervals depending on monetary policy of the Central Bank of Russia, fiscal rule, crises and international sanctions. The main finding is that the effect of oil price shocks on Russian ruble exchange rate varies greatly according to monetary and fiscal policies. Stabilization monetary and fiscal policy results in weakening of the impact of oil price shocks on the ruble exchange rate (2002-2008). During the period of oil price falling and passive monetary and fiscal policy (2014-2016) the effect of oil price changes on exchange rate was the most intense. Our findings confirm previous empirical results that government play a crucial role for short-term exchange rate equilibrium.
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