国际油价波动对俄罗斯实际有效汇率的影响研究

A Study on the Impact of International Oil Price Volatility on The Real Effective Exchange Rate of Russia

国际石油价格近年来出现了多次大幅度波动,俄罗斯卢布汇率短时间内大幅下挫,引发"卢布危机"。文章通过建立国际石油价格同俄罗斯实际有效汇率之间的Copula函数模型,对Copula函数进行参数估计得到了它们之间的秩相关系数和尾部相关系数,定量地衡量了国际石油价格波动同俄罗斯实际有效汇率的尾部关系。实证表明,国际石油价格同俄罗斯卢布实际有效汇率之间存在较强的左右尾部相依关系,证明近年来俄罗斯汇率的大幅震荡很大程度上是由于国际石油价格剧烈波动引起的。

Recent years, the international oil price had appeared several large fluctuations, the Russian ruble exchange rate fell sharply in a short time, triggering the ruble crisis＂. This paper construct Copula function model on the international oil price and Russia＇s real effective exchange rate, The rank correlation coefficient and the tail correlation coefficient are obtained by the parameter estimation of the Copula function,quantitatively measured the tail dependence between the international oil price fluctuation and Russia Exchange Rate. The empirical results show that there is strong tail dependence between the international oil price and the Russian Ruble real effective exchange rate, this is prove that Russia exchange rate＇s volatility is largely due to sharp fluctuations of the international oil prices recently.