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Предметом выпускной квалификационной работы является влияние ценовых шоков на рынке нефти на волатильность обменного курса рубля в условиях санкционного режима.Цель исследования состоит в определении того, как изменения цен на нефть Brentвлияют на курс USD/RUBи как данный механизм изменился после усиления санкционного давления. Методологическая основа работы включает теоретический анализ, исторический анализ, анализ механизмов передачи и эконометрическое моделирование. В эмпирической части используются месячные цены закрытия нефти Brentи месячные значения закрытия курса USD/RUBза период 2010M01-2025M12. Применяются тесты ADF, тест Йохансена на коинтеграцию, модель VAR, функции импульсного отклика, декомпозиция дисперсии, тест ARCH-эффекта и модель GARCH(1,1).Результаты показывают отсутствие устойчивой долгосрочной коинтеграционной связи между ценами на нефть и курсом рубля, при сохранении краткосрочного влияния нефтяных шоков на волатильность. Модель GARCH подтверждает наличие условной гетероскедастичности и высокой устойчивости волатильности. Сравнение после 2022 года показывает, что санкции, валютные ограничения и изменение расчетных каналов ослабили прямой механизм передачи нефтяных шоков к рублю.Сделан вывод о том, что рубль сохраняет связь с динамикой нефтяного рынка, однако данный механизм всё больше определяется санкционными и институциональными факторами.

The purpose of the study is to determine how Brent crude oil price shocks affect the USD/RUB exchange rate and how this relationship changed after the intensification of sanctions. The research is based on theoretical analysis, historical analysis, mechanism analysis and econometric modeling. The empirical part uses monthly closing Brent crude oil prices and monthly closing USD/RUB exchange rates for 2010M01-2025M12. The methods include ADF unit root tests, Johansen cointegration testing, VAR estimation, impulse response functions, variance decomposition, ARCH-effect testing and GARCH(1,1) modeling. The results show that there is no stable long-term cointegration between oil prices and the ruble exchange rate, while short-term oil-price shocks still influence ruble volatility. The GARCH results confirm significant conditional heteroskedasticity and strong volatility persistence. The post-2022 comparison shows that sanctions, capital controls and changes in settlement channels weakened the direct oil-ruble transmission mechanism. The study concludes that the ruble remains connected with oil-market dynamics, but its volatility is increasingly shaped by sanctions and institutional factors.

• ВЫПУСКНАЯ КВАЛИФИКАЦИОННАЯ РАБОТА МАГИСТЕРСКАЯ ДИССЕРТАЦИЯ
  • ВЛИЯНИЕ ЦЕНОВЫХ ШОКОВ НА РЫНКЕ НЕФТИ НА ВОЛАТИЛЬНОСТЬ ОБМЕННОГО КУРСА РУБЛЯ В УСЛОВИЯХ САНКЦИОННОГО РЕЖИМА
• INTRODUCTION
• 1. THEORETICAL FOUNDATION AND LITERATURE REVIEW
  • 1.1. Definition of Core Concepts
    • 1.1.1. International Crude Oil Price System: Brent and Urals
    • 1.1.2. Exchange Rate Regime and Exchange Rate Fluctuation Mechanism
    • 1.1.3 Commodity Currency and Resource-Based Economy
    • 1.1.4. Sanctions Regime and External Financial Shocks
  • 1.2. Theoretical Foundation
    • 1.2.1. Dutch Disease Theory
    • 1.2.2 Portfolio Balance Theory
    • 1.2.3 Purchasing Power Parity Theory
    • 1.2.4 Balance of Payments Theory and Exchange-Rate Determination
    • 1.2.5 Exchange-Rate Volatility, Expectations, and Structural Breaks
  • 1.3. Literature Review
    • 1.3.1. Research on Oil Prices and Commodity Currency Exchange Rates
    • 1.3.2. Research on Oil Prices and the Ruble Exchange Rate
    • 1.3.3. Research on External Shocks, Sanctions, and Ruble Volatility
    • 1.3.4. Research on Fiscal Rules, Central Bank Policy, and Exchange-Rate Stabilization
    • 1.3.5. Empirical Methods in Oil-Exchange-Rate Studies
  • 1.4. Literature Evaluation
    • 1.4.1. Main Contributions of Existing Literature
    • 1.4.2. Research Gaps
    • 1.4.3. Analytical Contribution of This Thesis
  • 1.5. Chapter Summary
• 2. HISTORICAL EVOLUTION AND CURRENT SITUATION OF OIL PRICES AND THE RUBLE EXCHANGE RATE IN RUSSIA
  • 2.1. The Role of Russia's Energy Industry in the National Economy
    • 2.1.1. Energy Exports and Russia's External Revenue Structure
    • 2.1.2. Oil and Gas Revenues in the Fiscal System
    • 2.1.3. Resource Dependence and Macroeconomic Vulnerability
  • 2.2. Historical Evolution of the Ruble Exchange Rate Regime
    • 2.2.1. From Managed Exchange Rate to Exchange Rate Corridor
    • 2.2.2. The 2014 Ruble Crisis and the Shift to Free Floating
    • 2.2.3. Inflation Targeting, Fiscal Rule and Exchange Rate Stabilization
  • 2.3. Visual and Stage-Based Analysis of Oil Prices and the Ruble Exchange Rate
    • 2.3.1 Synchronous Fluctuation before 2014
    • 2.3.2. Fiscal Rule and the Attempted Decoupling of the Oil-Ruble Linkage
    • 2.3.3. The New Pattern after 2022: Sanctions, Capital Controls and Local-Currency Settlement
  • 2.4. Chapter Summary
• 3. MECHANISM ANALYSIS OF THE IMPACT OF OIL-PRICE VOLATILITY ON THE RUBLE EXCHANGE RATE
  • 3.1. Trade Balance Channel: Export Revenue and Current Account Balance
    • 3.1.1. Oil Prices and Russia's Foreign-Exchange Earnings
    • 3.1.2. Current Account Adjustment and Ruble Exchange-Rate Pressure
    • 3.1.3. Changes in the Trade Channel under Sanctions
  • 3.2. Fiscal Revenue Channel: Oil and Gas Taxation and the National Wealth Fund
    • 3.2.1. Oil and Gas Revenues in Russia's Fiscal System
    • 3.2.2. Fiscal Rule and the Stabilization Function of the National Wealth Fund
    • 3.2.3. Fiscal Pressure, Budget Expectations and Exchange-Rate Volatility
  • 3.3. Capital Flow Channel: Risk Aversion, Capital Flight and Foreign Direct Investment
    • 3.3.1. Oil-Price Shocks and Investor Risk Perception
    • 3.3.2. Sanctions, Capital Outflows and Financial Account Pressure
    • 3.3.3. FDI Decline and Long-Term Ruble Expectations
  • 3.4. Expectation and Psychological Channel: Market Valuation Logic of a Resource-Based Currency
    • 3.4.1. Oil Prices as a Signal of Russia's Macroeconomic Outlook
    • 3.4.2. Ruble as a Resource-Based Currency and Market Repricing
    • 3.4.3. Policy Credibility, Sanctions Expectations and Exchange-Rate Volatility
  • 3.5. Integrated Mechanism and Implications for Empirical Analysis
  • 3.6. Chapter Summary
• 4. EMPIRICAL STUDY ON THE IMPACT OF OIL-PRICE SHOCKS ON RUBLE EXCHANGE-RATE VOLATILITY
  • 4.1. Data Sources, Variable Construction and Data Correction
    • 4.1.1. Sample Period and Data Sources
    • 4.1.2. Variable Definition and Transformation
    • 4.1.3. Chronological Alignment and Data Verification
  • 4.2. Graphical Analysis and Descriptive Evidence
    • 4.2.1. Corrected Level Series
    • 4.2.2. Log-Difference Volatility Patterns
  • 4.3. Stationarity and Cointegration Tests
    • 4.3.1. ADF Unit Root Test
    • 4.3.2. Johansen Cointegration Test and Model Choice
  • 4.4. VAR Model Estimation and Dynamic Transmission Analysis
    • 4.4.1. Lag Order Selection and VAR(4) Specification
    • 4.4.2 VAR Estimation Results and DLOGRUB Equation
    • 4.4.3 VAR Diagnostic Tests
    • 4.4.4. Impulse Response Function Analysis
    • 4.4.5. Variance Decomposition Analysis
  • 4.5. GARCH(1,1) Volatility Modeling
    • 4.5.1. ARCH Effect Test
    • 4.5.2. Full-Sample GARCH(1,1) Estimation
    • 4.5.3. Pre-2022 and Post-2022 GARCH Comparison
    • 4.5.4. Conditional Volatility Graph
  • 4.6. Integrated Empirical Findings
  • 4.7. Chapter Summary
• CONCLUSION
• BIBLIOGRAPHY