Oil and the Ruble: Collapse of Cointegration

Oil still contributes around 30 % to Russia's commodity export earnings, therefore the impact of oil prices on Ruble's exchange rate is current interest Russian economists. Instruments time series analysis were used test a proposition that ruble’s has become less dependent Brent crude price in recent years. We obtained 1,095 weekly observations for years 2000 2020 from FINAM company website. Our empirical model linear regression price. The Bai-Perron identified three structural breaks data corresponding four chronological regimes. Engle-Granger cointegration found both and be non-stationary all regimes while was only third regime (September 12, 2011 – October 23, 2017). main reasons collapse fourth (October 30, 2017 December 28, 2020) are 1) successful efforts by oil-producing countries curb production, 2) decline import goods services, 3) Bank Russia’s contractionary monetary policy, 4) built-in stabilizer activated budget rule, 5) anti-Russian sanctions. Cointegration, as it turns out, comes goes.