Of particular interest to us is the relationship between oil price and macroeconomic variables such as real gross domestic product (GDP), inflation and interest rate in Russia. Since the early 1980s a number of studies using a vector autoregressive (VAR) model have been made on the macroeconomic effects of oil price changes. Surprisingly, however, little attention has been given to Russia. This paper therefore is an attempt to empirically examine the effects of oil price changes and monetary policy on the Russian economy.
The remainder of this paper is organized as follows. Section I presents the empirical framework, and section II reveals the empirical results. Finally, section III concludes this paper.