We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the … well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil … prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian …

We empirically test the dependence of the Russian stock market on the world stock market and world oil prices in the … well as two markets outside Europe (Turkey and South Africa). We apply a rolling regression to identify periods when oil … prices or stock indices in the US and Japan were important. Surprisingly, oil prices are not significant for the Russian …

In this paper we assess the impact of oil price shocks on oil-producer and oil-consumer economies. VAR models for … different countries are linked together via a trade matrix, as in Abeysinghe (2001). As expected, we find that oil producers … (Russia and Canada here) benefit from oil price shocks. For example, a large oil shock, leading to a price increase of 50 …