SVAR,
фондовый рынок,
функции импульсных откликов,
нефтяные цены
Abstract
The paper analyzes a causal link between the oil price and the Russian stock market. One finding is that only price shocks related to economic activity or future oil supply expectations have persistent impacts on the stock market, while the effects of supply-related oil shocks are insignificant. In addition, jumps in oil price volatility have been found to produce significant negative market responses.
