Russian Ruble Research Articles

Can Oil Prices Explain the Real Appreciation of the Russian Ruble in 1998-2005?

The paper investigates whether the 80% real appreciation of the Russian ruble in 1998-2005 can be explained by the increase in oil revenues in a calibrated general equilibrium model. It is shown that the oil prices alone cannot account for the appreciation with forward-looking permanent-income consumers, unless the oil price increase is assumed permanent. Accounting for the increase in the volume of oil exports, however, can help, provided that the increase is assumed to be permanent.

Competitiveness of agri-food products of Russia in current conditions

Import substitution has become an important element of economic policies in the Russian Federation. Agriculture is one of the main sectors of the Russian economy, demonstrating significant results of import substitution. Therefore, it seems appropriate to analyze what growth rates of agricultural products have been achieved in terms of import substitution, whether manufactured products are competitive, what is the potential for further import substitution, due to which it is possible to ensure sustainable development of the industry in the long term. As a result of the research, it was established that despite the negative macroeconomic conditions formed after 2014, import substitution made it possible to achieve positive results in the development of the agro-industrial complex. The duration of the import substitution process is different for individual types of agricultural products and depends on a number of factors, both economic and technological. Competitiveness of domestic products in 2013-2016 increased significantly. The main factors for improving competitiveness were the favorable market conditions and the depreciation of the national currency. As the share of domestic products in the general market resources increases and / or the Russian ruble strengthens, growth opportunities in the agricultural sector of the economy will weaken due to import substitution, which requires searching for new development factors.

A Comparative Analysis of Currency Volatility among BRICS Countries

ABSTRACTIn recent years, exchange rates of the BRICS countries have all experienced periods of high volatility. Thus far, no study has simultaneously compared the volatility of the BRICS currencies and analyzed the dependence and causal structure of relative volatility of these peer currencies. We addressed this issue by using monthly data from January 1995 to January 2017. We find that:(i) Brazil, India and China are more competitive than South Africa, on average, while South Africa, in turn, is only more competitive than Russia;(ii) the rand has been more volatile than the Brazilian real and the Russian ruble, but less volatile than the Chinese renminbi and the Indian rupee; (iii) there are inter-currency volatility correlations among the real, renminbi, ruble, and rand;(iv) the renminbi return volatility causes return volatility in the real, ruble, and rand.

FOREIGN CURRENCY AS AN OIL HEDGE

ABSTRACT This paper tests the characteristics of oil-linked currencies to hedge the against changes in the price of oil from January 1998 through October 2018. The findings show that all four currencies tested (Canadian dollar, Mexican peso, Norwegian krone, and Russian ruble) are positively related to price changes in oil. While statistically significant, the nature of that relationship is not constant over time and is not consistent between all four currencies. Specifically, the linkage between oil-linked currencies and oil appears much greater in the last half of the sample compared with the first half. Also, the strength of the relationship is reduced during the most extreme price changes in the oil market. Keywords Oil, foreign exchange, correlation, hedge, causality

PRINTING MOLDS OF PAPER MONEY OF THE KHOREZM PEOPLE'S SOVIET REPUBLIC

By the end of the 13th AH/19th AD century and the beginning of the 14th AH/20th AD century,Khorezm witnessed an important phase of its history, which ended in the Russian occupation, theabolition of the Khiva Khan ateregime and the proclamation of the People's Republic of Khorezmin 1339 AH/1920 AD. During that period, the monetary system underwent major changes asthe silk and paper currencies began to emerge and the local currency was converted from thetenga, tilla and felus into the Russian ruble. This study aims to deal with a set of metal moldsused to print the banknotes of the People's Republic of Khorezm during the period of 1922-1923 by means of a set of bronze molds preserved in the Museum of Ichan Qala in Khiva,where this period witnessed the spread of paper money. The study tackles these moldsthrough the identification of raw materials, methods of industry, techniques and stages ofprinting, in addition to the inscriptions printed on them and other decorations, emblems andsymbols, with the analysis of their contents, along with a comparison of these templates withmodels of the remaining paper money, which represent the categories of these molds.

Are BRICS exchange rates chaotic?

ABSTRACTIn this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, 1814M01-2017M12, 1822M07-2017M12, 1948M08-2017M12, and 1844M01-2017M12, respectively. For our purpose, we consider the Lyapunov exponents, robust to nonlinear and stochastic systems, in both full – samples and in rolling windows. For comparative purposes, we also evaluate a long-run dataset of a developed currency market, namely British pound over the period of 1791M01-2017M12. Our empirical findings detect chaotic behavior only episodically for all countries before the dissolution of the Bretton Woods system, with the exception of the Russian ruble. Overall, our findings suggest that the establishment of the free floating exchange rate system have altered the path of exchange rates removing chaotic dynamics from the phenomenon, and hence, the need for policymakers to intervene in the currency markets for the most important emerging market bloc, should be carefully examined.

DSGE Model of the Russian Economy: Economic Impact of Oil Price

In the paper the DSGE model proposed on the base of the theory of adaptive expectations. The aim of this work is to describe the possibility of using DSGE models for forecasting the Russian economy. This paper examines how the methodology of dynamic stochastic general equilibrium models can be applied to predict the yields of government bonds in 2018-2020, the proposed modification of the Taylor rule and the components of the prediction rate of the Russian ruble, characteristic of resource economies, where there is a close relationship between the exchange rate and oil price. It proposed the forecast of main macroeconomic indicators in the period 2017-2020 years (economic growth, inflation, oil price, exchange rate, Bank of Russia key rate and effective yields of government bonds). The practical significance of this work lies in the structuring of existing knowledge on the applicability of DSGE models of the Russian economy. The article also outlines the macroeconomic trends and modeling the conditions of an unstable economic situation in Russia. The parameters of monetary policy are also significant for determining the government bond yields. In addition, this article sheds light on forecasting the term structure of interest rates based on macroeconomic indicators.

ЕАБР Макрообзор, Август 2018. Страны ЕАБР: курс на устойчивое развитие (EDB Macroreview, August 2018. EDB Economies: A Course for Sustainable Development)

ЕАБР Макрообзор, Август 2018. Страны ЕАБР: курс на устойчивое развитие (EDB Macroreview, August 2018. EDB Economies: A Course for Sustainable Development)

A roller coaster ride for the Russian ruble. Part 2

A roller coaster ride for the Russian ruble. Part 2

How do the new shipping routes affect Asian liquefied natural gas markets and economy? Case of the Northern Sea Route and Panama Canal expansion

ABSTRACTThis study focuses on the expected impact of Northern Sea Route (NSR) usage and the Panama Canal (PC) expansion on liquefied natural gas (LNG) imports of Asian countries, from not only the macroeconomic viewpoint but also diversification of the supplying countries. First, the amounts saved from shipping costs due to these events are estimated, based on scenarios on the navigable period of the NSR, transit fee of the NSR considering the exchange rate between the Russian ruble and US dollar, and bunker fuel price. Second, a spatial general equilibrium model based on macroeconomic theory is applied to predict changes in LNG trade patterns and measure economic impacts due to the reduction of shipping costs. Finally, the impacts of NSR usage as well as the PC expansion on LNG imports of Asian countries are discussed based on the calculations. The results show that diversification of supplying countries for LNG imports can be observed, especially in Japan, the largest LNG importer in the world, and other Asian countries are secondarily affected by changes in Japan’s import pattern, with limited impacts on these countries’ national economies.

О ПЕРСПЕКТИВАХ ДЕДОЛЛАРИЗАЦИИ МИРОВОЙ ФИНАНСОВОЙ СИСТЕМЫ

The author examines the factors, conditioning the formation of the US national currency as the world reserve currency. The conditions for the dollar to dominate the world financial arena in modern conditions have been determined. The prospects for strengthening the positions of the euro, the Chinese yuan and the Russian ruble in the status of the world reserve currency, - have been evaluated. Based on the results of the study, a conclusion has drawn on the substantial limitations of the pos-sibility of transforming the single-currency model of the world financial system based on the US dollar at the present stage

Are BRICS Exchange Rates Chaotic?

In this paper, we focus on the stochastic (chaotic) attributes of the US dollar-based exchange rates for Brazil, Russia, India, China and South Africa (BRICS) using a long-run monthly dataset covering 1812M01-2017M12, 1814M01-2017M12, 1822M07-2017M12, 1948M08-2017M12, and 1844M01-2017M12, respectively. For our purpose, we consider the Lyapunov exponents, robust to nonlinear and stochastic systems, in both full — samples and in rolling windows. For comparative purposes, we also evaluate a long-run dataset of a developed currency market, namely British pound over the period of 1791M01-2017M12. Our empirical findings detect chaotic behavior only episodically for all countries before the dissolution of the Bretton Woods system, with the exception of the Russian ruble. Overall, our findings suggest that the establishment of the free floating exchange rate system have altered the path of exchange rates removing chaotic dynamics from the phenomenon, and hence, the need for policymakers to intervene in the currency markets for the most important emerging market bloc, should be carefully examined.

Application of fractal properties in studies of financial markets

When studying the financial markets, the currency quotations of the Russian ruble / US dollar pair are examined for fractality. It is demonstrated that the time series of the quotations under study has basic fractal properties. Hurst exponent is used here to confirm the hypothesis of fractality whereby Hausdorff dimension was calculated, which turned out to be a fraction. The state of flux graphs were compared with the solution graphs of the known fractional differential equation of a point particle random walk along a self-similar fractal set. The solution of such an equation is given using the Mittag-Leffler functions. The graphs of these solutions are compared with state of flux graphs for different time intervals. Hence, it is proved that the Russian financial market is fractal and these results will help to forecast market behavior for a specified time interval in the future.

The Impact of Russia’s Oil-Dominated Energy Economic Changes on the Exchange Rate of Russian Ruble – Chinese Renminbi

Russia’s economic development has a close relation with China, due to geographical and historical reasons. This paper investigates whether the ruble – renminbi exchange rate changes accordingly when the pillar industry of Russia is drastically changing, and how the exchange rate changes and how it affects Russia’s economic development. In this paper, data of 7 variables spanning 122 months are selected based on related literature and availability of data. Regression analysis and empirical tests are carried out consequently. The results show that the energy price index represented by oil prices is negatively correlated with the exchange rate, and the explanatory power is as high as 41.1%. Following basic arbitrage methods and strategies, this paper verifies the feasibility of using arbitrage by comparing actual exchange rates with forecasted exchange rates. According to empirical results, problems witnessed in the process of ruble internationalization provides policy implications for China. China’s economy is utilized as an example to discuss the shortcomings of Russia’s economy. Related solutions are proposed.

Cointegration test of oil price and us dollar exchange rates for some oil dependent economies

This study examines the long-run dynamics between oil price and the bilateral US dollar exchange rates for a group of oil-dependent economies before and after the 2008–2009 Global Financial Crises. Exchange rates are for the euro, Indian rupee, Russian ruble, South African rand, Ghanaian cedi and the Nigerian naira. The dependence on crude oil of these economies is either because fiscal revenues are primarily reliant on oil export receipts or because industrial production is heavily dependent on petroleum. Empirical results show evidence of a long run equilibrium relationship between oil price and exchange rate, especially for currencies of the key oil-exporting countries. This relationship is more evident in the post crisis period, which is also the period when both exchange rate volatility and the inverse relationship between oil price and exchange rate experienced a significant increase.

Import Price Rigidity and Invoice Currency in Russia

This paper examines the relationship between the import price rigidity and the invoice currency of goods imported to Russia. Microdata on the import of goods to Russia over a period from 2002 to 2015 allowed to assess the degree of price rigidity to the exchange rate fluctuations at a disaggregated level, which is the first time this kind of research was applied to the Russian economy. The empirical estimates of prices of goods denominated in different currencies are in line with similar results available in the world literature on price rigidity and exchange rate pass-through. According to panel data analysis, prices of imported goods denominated in domestic currency (Russian ruble) show little reaction to exchange rate fluctuations, while prices of imported goods denominated in foreign currency (US dollar, euro) almost completely copy the dynamics of exchange rate movements. This paper also documents sector-dependent differences of influence of the invoice currency on the degree of the imported goods price rigidity to fluctuations in the exchange rate. Some imported goods denominated in Russian ruble do not show complete price rigidity to exchange rate fluctuations, for example, products of plant origin, textiles, and headgear. Deviation from zero rigidity to the exchange rate shocks for imported goods denominated in foreign currencies is observed only for fats and oils of animal or vegetable origin.

Industrial Output Dynamics in 2016: From Stagnation to Recovery - Driven Growth?

Most of Russia’s industrial sectors saw output in terms of volume stabilize at a low level in H1 2016. Output began to grow slowly at year’s end. The summary index of the manufacturing sector was driven by positive dynamics during the last few months of the year. Given that Russia’s economy is heavily reliant on oil and gas revenues and imported goods, the growth was strongly backed up by mounting crude prices and the year-end appreciation of the Russian ruble.

ANÁLISIS DE LA EXPOSICIÓN ECONÓMICA AL RIESGO CAMBIARIO EN EL MERCADO ESPAÑOL

Este trabajo analiza el nivel de exposición económica al tipo de cambio y sus determinantes en el mercado español, considerando seis divisas de referencia respecto al euro: el dólar estadounidense, el yuan chino, el franco suizo, la libra esterlina, la corona noruega y el rublo ruso. Ello es relevante porque la volatilidad cambiaria puede tener un impacto directo sobre las operaciones de la empresa en el corto plazo y, en un horizonte temporal mayor, sobre su valor. Los resultados obtenidos en esta investigación confirman que la mayoría de empresas analizadas tienen un perfil exportador en su exposición económica, esto es, se benefician de depreciaciones del euro frente a otras divisas, especialmente, la libra esterlina. Por el contrario, respecto al franco suizo, predominan los importadores netos. Asimismo, sus determinantes difieren entre exportadores e importadores, si bien, en ambos casos, la diversificación geográfica actúa como cobertura operativa.

Evaluating the effectiveness of franchise in tourism

Russian tourism industry is going through hard time. Devaluation of Russian ruble and bankruptcy of several major tour operators caused customers mistrust. Market players are forced to unite, consolidate. One of the most effective ways to withstand in this hard time is franchising. But how a beginner of touristic retail market can pick the right one? How a tour operator can build an effective franchise and attract more professional agents in own network? Developed model is based on mathematic analysis of the most important factors – component parts of franchise. This model as well as the general technique allows by simple calculation evaluate the effectiveness of franchise. The modern condition of Russian tourism market is next: strengthening of the tour operator market; those who survived gained the reputation, others are out of game; а clearer division of Agency market into niches; the change of relations scheme between market players. Small players are forced to unite, consolidate; increasing the service quality in attempt to keep customers.

Russia-Ukraine War Is Not a Simple Riddle

The Russia-Ukraine conflict is the most serious test of European security in the 21st century and the forgone conclusion is that Russia can easily prevail in the conflict, but this has not been the case. This article uses a contingency theory approach to report findings on the riddle why Russia has not easily defeated Ukraine. I report findings based on a contingency theoretical perspective that indicates Russian victory is unlikely because of negative contingencies having direct impact on the Russian economy including a sharp reduction in the value of the Russian ruble, the potential for political loss of support of the middle class for President Putin, diplomatic and political isolation and danger of escalation of the war, affecting Russia to a greater degree than the Ukraine.