=Paper=
{{Paper
|id=Vol-2763/CPT2020_paper_s3-7
|storemode=property
|title=Analysis of the dependence of the ruble exchange rate volatility on the oil market in a pandemic
|pdfUrl=https://ceur-ws.org/Vol-2763/CPT2020_paper_s3-7.pdf
|volume=Vol-2763
|authors=O.V.Zolotarev,A.Kh.Khakimova,M.A. Berberova,V.P.Zolotareva
}}
==Analysis of the dependence of the ruble exchange rate volatility on the oil market in a pandemic==
https://ceur-ws.org/Vol-2763/CPT2020_paper_s3-7.pdf
Analysis of the dependence of the ruble exchange rate volatility on the
oil market in a pandemic
O.V.Zolotarev1, A.Kh.Khakimova2, M.A. Berberova1,2,3, V.P.Zolotareva4
ol-zolot@yandex.ru | aida_khatif@mail.ru | maria.berberova@gmail.com | zolotareva2005@mail.ru
1
ANO «Russian New University», Moscow, Russia
2
ANO «Scientific and Research Center for Information in Physics and Technique», Nizhny Novgorod, Russia
3
ANO International Nuclear Safety Center, Moscow, Russia
4
Moscow Polytechnic University, Moscow, Russia
The article attempts to analyze the degree of impact of changes in the ruble exchange rate on the oil market in the conditions of
economic instability caused by the coronavirus pandemic. The statistical data for the calculation cover the time from January to May
2020. The importance of the further development of theoretical and methodological approaches to the study of the dependence of the
country's economy on external shocks is substantiated. The approach described in the article is considered by the authors based on the
analysis of non-stationary time series. The transformation of the post-industrial economy indicates the duality of this process, which
manifested itself both in expanding opportunities for the development of the world economic system and in the emergence of new factors
of its instability. The main factors complicating its development include the volatility of world prices, the growth of protectionism, the
spread of trade wars, the coronavirus pandemic.
Keywords: world economic system, Russia, external shocks, volatility, ruble exchange rate, conjuncture, oil market, pandemic,
coronavirus.
1. Introduction conditions of economic instability caused by the pandemic
allows to introduce adjustments to the theory of global
The involvement of the Russian economy in world imbalances [5,6], putting forward new requirements for
processes a priori implies its dependence on external rethinking established ideas. The results also contribute to
shocks, the most important of which are the sanctions the development of institutional theory.
policy, the volatility of oil prices and the coronavirus
pandemic, which dramatically changed the world 2. Materials and methods
economic space. The projected slowdown in the global
A lot of attention is paid to the transformation of the
economy poses a serious threat to Russia's GDP growth
contours of the world economic system in modern
rates, which are critically dependent on external factors,
domestic science, which is associated with global changes
primarily the situation on world energy markets [1]. A
in the conditions of reproduction. The aggravation of the
negative influence is exerted on the development of
global systemic crisis, complicated by the coronovirus
foreign trade. So, even the relatively high growth rates of
pandemic, necessitates the search for new forms of
physical volumes of export could not compensate for the
existence of the system of international economic relations
losses from the deterioration of the terms of trade [2,3].
and its sustainable development [7].
In addition, a large-scale collapse in global financial
A number of researchers draw an analogy of the
markets generates crisis processes in the global economy.
current crisis caused by the coronavirus epidemic with the
National states are again forced to urgently develop and
Great Depression, which has hit the global economy on a
implement anti-crisis programs [4]. An important role in
large scale. Under these conditions, it is very important to
these programs in Russia should be played by measures to
understand how much the national currency depends on
counter external shocks aimed at strengthening the
the dynamics of world energy prices [6].
national currency and reducing losses of the state budget
This problem is particularly significant for states
from lower oil prices.
whose income largely depends on export prices for
The purpose of this study is to identify the dependence
resources, in particular Russia [8]. It is necessary to
of changes in the ruble exchange rate on the oil market in
operate not only with the absolute values of financial
the conditions of economic instability caused by a
indicators, but also to understand the trends in the
pandemic. The most important task facing the scientific
economic situation in the country. Understanding how
community is to identify priority drivers for the
dependent the national economy is on external conditions,
development and functioning of the Russian economic
on the market conditions for energy carriers, allows us to
system.
draw appropriate conclusions and make important
The role of the world oil market in the volatility of the
strategic decisions in terms of sustainable economic
ruble exchange rate is very important for development of
development of its economic system.
Russia. We used hypothetical method in stating the
The article discusses the dynamics of oil prices and the
problems and contradictions that arise in the era of a
ruble for the period from January 13, 2020 to April 23,
pandemic and in the sustainable economic development of
2020. Table 1 shows a fragment of statistical data, and the
Russia.
variables introduced below will be considered in detail.
The study of the problem of the mutual influence of the
ruble exchange rate and the oil market conditions in the
Copyright © 2020 for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY
4.0)
Table 1. Statistical data on oil prices and the ruble exchange rate (fragment) [9]
Date Rub Oil RelRub RelOil RelPercRub RelPercOil DepRubOil
23.04.2020 77,0416 21,33 1,010299 1,047128 25,75510257 65,16641082 39,5220517
22.04.2020 76,2562 20,37 1,021302 1,053802 24,47309315 66,73416729 36,67250846
21.04.2020 74,6657 19,33 1,009759 0,755964 21,87691795 68,43257014 31,96857565
20.04.2020 73,9441 25,57 0,989723 0,910613 20,69904935 58,24215305 35,53963627
17.04.2020 74,7119 28,08 1,013531 0,985263 21,95233027 54,1431231 40,54500187
16.04.2020 73,7145 28,5 1,005449 1,017857 20,32427297 53,45722964 38,01968996
15.04.2020 73,315 28 0,997151 0,930542 19,67216861 54,27376947 36,2461808
14.04.2020 73,5245 30,09 0,996922 0,944444 20,01413573 50,86063298 39,35093717
13.04.2020 73,7515 31,86 0,98856 1,014327 20,38466812 47,97008198 42,4945451
10.04.2020 74,605 31,41 0,984886 0,980643 21,77783727 48,70496783 44,71379048
09.04.2020 75,7499 32,03 1,003908 0,95214 23,64665901 47,69245844 49,58154765
08.04.2020 75,455 33,64 0,987535 1,038272 23,16529336 45,06320018 51,40623228
07.04.2020 76,4074 32,4 0,982953 1,224953 24,7198971 47,08821896 52,49698894
30.03.2020 77,7325 26,45 0,987427 0,936283 26,88285953 56,80504295 47,32477635
27.03.2020 78,7223 28,25 1,011948 0,963835 28,49851134 53,86549956 52,90679855
26.03.2020 77,7928 29,31 0,986601 0,975374 26,9812873 52,13443512 51,75329365
25.03.2020 78,8493 30,05 0,974874 1,084446 28,7058136 50,92595617 56,36774597
24.03.2020 80,8815 27,71 1,036354 1,006904 32,02297627 54,74736258 58,49227208
23.03.2020 78,0443 27,52 0,973643 1,011393 27,39181107 55,05764771 49,75114668
20.03.2020 80,157 27,21 1,038127 0,968327 30,84037399 55,56390241 55,50433403
19.03.2020 77,2131 28,1 1,044979 1,063588 26,03504224 54,11046151 48,11461872
18.03.2020 73,8896 26,42 0,996808 0,915771 20,61008893 56,85403534 36,25088141
17.03.2020 74,1262 28,85 1,012816 0,966823 20,99629141 52,88565176 39,70130028
16.03.2020 73,1882 29,84 0,988664 0,853303 19,46519281 51,2689029 37,96686043
13.03.2020 74,0274 34,97 1,035754 1,06746 20,83502004 42,89120423 48,5764399
12.03.2020 71,472 32,76 0,99238 0,914063 16,66383734 46,50031029 35,83597022
11.03.2020 72,0208 35,84 1,066698 0,94865 17,55964429 41,47042493 42,34257141
10.03.2020 67,5175 37,78 1,020127 0,83033 10,20890192 38,30225038 26,65353032
06.03.2020 66,1854 45,5 1,001619 0,906736 8,034513378 25,6948754 31,26893302
05.03.2020 66,0784 50,18 0,994502 0,97418 7,859857141 18,05206258 43,53993958
04.03.2020 66,4437 51,51 1,001753 0,998256 8,4561368 15,88006663 53,25000831
03.03.2020 66,3274 51,6 0,990096 0,972484 8,266300161 15,73308946 52,5408578
02.03.2020 66,9909 53,06 1,021052 1,059293 9,349332062 13,34879315 70,03878144
The study introduced the Rub and Oil variables - these the time series RelRub (t). Here Rub (i) and Rub (i + 1) are
are the sets of ruble exchange rates and oil prices for the sequential values of the ruble exchange rate in the reverse
specified period, respectively. order (from a later value to an earlier in time):
The trends in the dependence of the national currency 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅(𝑡𝑡) =
𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖)
(1)
rate on energy prices were analyzed. 𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖+1)
An initial assessment was made of the relative impact Similarly, we calculate the trends in oil prices, the first
of incremental changes in the ruble exchange rate, the private ones for the RelOil (t) series. A calculation is made
variable RelRub was introduced, which shows the change for the set of values of the RelOil (t) series:
𝑂𝑂𝑂𝑂𝑂𝑂(𝑖𝑖)
in the trend of the ruble exchange rate depending on time 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅(𝑡𝑡) = (2)
𝑂𝑂𝑂𝑂𝑂𝑂(𝑖𝑖+1)
(strengthening or weakening of the ruble exchange rate).
Fig. 1 shows a joint diagram of the relative changes in
By analogy with the theory of time series, when the first
the ruble and oil prices.
difference (the difference between adjacent members of
the series) is introduced, the concept of the first quotient is
introduced. The set of values of the RelRub variable forms
1,08 1,4
1,06 1,2
1,04
1
1,02
0,8
1
0,6
0,98
0,4
0,96
0,94 0,2
0,92 0
RelRub RelOil
Fig. 1. The joint dynamics of changes in the ruble and oil prices
Based on the diagram in Fig. 1, the relative dynamics Similarly, the RelPercOil variable is calculated. It is
of price changes is lower than the relative dynamics of the the relative percentage change in oil prices from the
ruble exchange rate. Obviously, the series RelRub (t) and beginning of the year to April 23. But instead of a
RelOil (t) are stationary. minimum of prices of oil, the maximum value of the series
The RelPercRub variable shows the relative is used. The values of the RelPercOil (t) series are
percentage change in the ruble exchange rate from the calculated in a similar way:
beginning of the year to April 23. Next, the set of values 𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟(𝑡𝑡) = 100 ∗
max (𝑂𝑂𝑂𝑂𝑂𝑂(𝑖𝑖))−𝑂𝑂𝑂𝑂𝑂𝑂(𝑖𝑖)
(4)
for the series RelPercRub (t) is calculated: 𝑚𝑚𝑚𝑚𝑚𝑚 (𝑂𝑂𝑂𝑂𝑂𝑂(𝑖𝑖))
𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖)−min�𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖)� Fig. 2 shows the relative changes in oil prices and the
𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅(𝑡𝑡) = 100 ∗ (3) ruble exchange rate as a percentage.
𝑚𝑚𝑚𝑚𝑚𝑚 (𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖))
80
70
60
50
40
30
20
10
0
RelPercRubl RelPercOil
Fig. 2. Joint chart of changes in the ruble exchange rate and oil prices, in %
Based on the presented diagram, the relative changes makes it possible to estimate the share of the country's
in the ruble exchange rate are significantly lower than the income from the sale of petroleum products. This is the
relative changes in oil prices in percent [10]. DepRubOil variable. The set of calculated values of this
Figure 3 shows a joint diagram of the relative changes variable is presented in the following formula:
in the ruble exchange rate and oil prices for this period. 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷(𝑖𝑖) = 100 ∗
𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖)
(5)
𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅𝑅(𝑖𝑖)
3. Results and discussion Next, we calculate the average value among the set of
values of the series {DepRubOil}. It is equal to
Analysis of the dynamics of price changes shows that DepRubOilAvrg = 42.2932996060693.
significant changes in oil prices cause less significant An analysis of the many values of the DepRubOil
changes in the ruble exchange rate. At the same time, oil variable shows that despite the emergency in the country
price spikes in early February do not cause equally due to coronavirus, the indicator of the dependence of the
significant changes in the ruble exchange rate, it is Russian economy on oil prices still fluctuates around 40%.
growing gradually. A similar conclusion can be made Fig. 3 shows the dependence of the ruble on oil prices. The
regarding the period at the end of February. In this figure also shows the average value of the indicator of the
situation, the dependence of the ruble rate on oil prices dependence of the ruble exchange rate on the price of oil,
should be calculated. and for comparison, the price of oil for the indicated
The following is an assessment of the dependence of period.
changes in oil prices on the ruble exchange rate. This
140
120
100
80
60
40
20
0
DepRubOil Oil DepRubOilAvrg
Fig. 3. The dependence of the ruble on oil prices
At the same time, with the depreciation of the ruble and
lower oil prices (Oll), the dependence of the Russian 4. Conclusion
economy (DepRubOil) on oil products also falls, which Currently, there is a large dependence of the economic
obviously confirms the calculations made. situation in the country on the foreign exchange market. In
This is the average dependence of the ruble exchange addition, the coronavirus pandemic once again showed the
rate on oil prices, expressed as a percentage. dependence of the Russian economy on the volatility of oil
Agreed indicators of the dynamics of the ruble prices on the world market.
exchange rate and oil prices suggest that the ratio of these An analysis of the dynamics of price changes shows
two values depends on objective factors. We can observe that significant changes in oil prices cause less significant
it for periods of stability. changes in the exchange rate of the ruble. At the same
time, oil price spikes in early February 2020 do not cause Berberova Maria A., PhD, docent, ANO HE «Russian New
equally significant changes in the ruble exchange rate but University» (Moscow, Russia), ANO International Nuclear
demonstrate gradual growth. Safety Center (Moscow, Russia), ANO «Scientific and Research
The calculations of the average value of the Center for Information in Physics and Technique» (Nizhny
Novgorod, Russia), Е-mail: maria.berberova@gmail.com
dependence index and the presented results in the form of Zolotareva Vera P., Ph.D., Moscow Polytechnic University
graphs clearly indicate that with the fall in world oil prices, (Moscow, Russia), E-mail: zolotareva2005@mail.ru
the dependence of the Russian economy on the oil market
conjuncture falls. However, it should be noted that the
coronavirus pandemic will have a residual impact on the
global and national economies for a relatively long time
manifested in the volatility of exchange rates.
Acknowledgment
The reported study was funded by RFBR according to
the research projects № 18-07-00225, 18-07-00909, 18-
07-01111, 19-07-00455 and 20-04-60185.
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About the authors
Zolotarev Oleg V., Ph.D., Docent, ANO HE «Russian New
University» (Moscow, Russia), E-mail: ol-zolot@yandex.ru
Khakimova Aida Kh., PhD, docent, Kama Institute
(Naberezhnye Chelny, Russia), ANO «Scientific and Research
Center for Information in Physics and Technique» (Nizhny
Novgorod, Russia), Е-mail: aida_khatif@mail.ru