Importance After the Russian ruble became a petrocurrency, it got very important to examine the nature, scope and reasons for its fluctuations against the U.S. dollar used for oil contracts. The research covered the period from 3 January 2000 through 28 December 2015 (835 weekly indicators). Objectives The research empirically checks the conventional opinion on that the Russian ruble rate depends on the Brent oil. If such dependence is identified, I determine its nature. Methods The research uses an econometric methodology, including the Bai–Perron test for structural breaks in unknown points, Granger causality test, Dickey–Fuller tests for a unit root, Johansen test for cointegration, Engle test, Vector Error Correction Model and conventional diagnostic tests. Results I performed tests for stationarity, causality, cointegration and weak exogeneity within the entire sample through five approaches formulated upon results of the Bai–Perron testing. Conclusions and Relevance The research proved the hypothesis that the Russian ruble rate has a positive linear correlation with the Brent oil. In 2013–2015, the empirical model (cointegration correlation) explains 96% of variance in the currency rate, with the equation of the VECM system with the oil price on the right side covering almost 40% of variance in the currency difference. The cointegration of the Brent oil and the Russian ruble rate arose after 2006 and incremented, if we looked at the equilibrium recovery pace, which had become record high within 9 June 2014 through 28 December 2015. The process was fueled as the Russian economy had become more dependent on oil for the recent 15 years.
Keywords: oil, Russian ruble, cointegration
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