Eurasian Economic Review

, Volume 9, Issue 4, pp 531–555 | Cite as

Exogeneity of world oil prices to the Russian Federation’s economy and monetary policy

  • Victoriia AlekhinaEmail author
  • Naoyuki Yoshino
Original Paper


This research investigates the interrelationship between the Russian Federation’s main macroeconomic indicators, monetary policy and world oil prices using a vector autoregressive approach and monthly time-series data from January 1993 to December 2016. We selected the Russian Federation for this analysis because it is one of the largest oil exporting countries that is not a member of the Organization of the Petroleum Exporting Countries, and its oil revenues account for a significant proportion of the country’s total export and budget revenues. We assume that oil prices are exogenously given to this country, despite being a large oil-exporter, and explain the oil price transition mechanisms to the Russian Federation’s economy from the export side and through the fiscal channel taking into account the monetary policy factor. The results suggest that the impact of the oil price fluctuations on the country’s gross domestic product, consumer price index inflation rate, interest rate, and exchange rate was more significant between 2000 and 2016 than between 1993 and 1999. To estimate the monetary policy rule for the Russian Federation, we test the modified Taylor equation and associated Taylor rule, including the oil price gap, since the latter may have a significant impact on the key policy rate. The evidence suggests that the Taylor rule describes the post-financial crisis monetary policy of the Russian Federation relatively well.


Oil prices Energy exporters Macroeconomy VAR model 

JEL Classification

Q41 Q43 Q48 



We sincerely thank Masao Ogaki, Colin McKenzie, the editor, and the anonymous referee for their valuable suggestions in improving this paper. This research was supported by Keio University’s Doctorate Student Grant-in-Aid program. The views expressed in this paper are those of the authors and do not reflect any views of Asian Development Bank Institute (ADBI) or Institute of Energy Economics, Japan (IEEJ).


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Copyright information

© Eurasia Business and Economics Society 2018

Authors and Affiliations

  1. 1.Keio UniversityTokyoJapan
  2. 2.The Institute of Energy Economics, Japan (IEEJ)TokyoJapan
  3. 3.Asian Development Bank Institute (ABDI)TokyoJapan

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