Title: The impact of oil price volatility on the exchange rate volatility in Russia
Authors: Artem Aganin - National Research University The Higher School of Economics (Russia) [presenting]
Anatoly Peresetsky - National Research University Higher School of Economics (Russia)
Abstract: It is commonly discovered in literature that USD/RUB exchange rate depends on oil prices, but USD/RUB volatility does not attract same attention. The aim is to model dependence of USD/RUB volatility on oil price volatility. Another goal is to analyse USD/RUB volatility dependence from the potential macroeconomic factors, such as sanctions and Russian Central bank actions. One-dimensional GARCH models and two-dimensional VAR-BEKK models are used for the volatility modelling. Results from modelling suggest that USD/RUB volatility depends not only on oil volatility, but also on the macroeconomics factors. Sanctions increase the exchange rate volatility, but their impact decrease with time. Impact of oil volatility on the exchange rate volatility is higher at the periods with low oil prices.