Home  Journals  Finance and Credit  17(545) - 2013 May

Determining the degree of influence of prices of oil and gold on the MICEX and its structural changes with use of model Markov-switching autoregressive model (MS-ARX)

Available online: 13 May 2013

Subject Heading: MODELING IN ECONOMICS

JEL Classification: 

In the article, using econometric modeling study was conducted according to the MICEX index (MICEX) on the price of crude oil brand Brent (ICE.BRN) and gold prices (comex.GC) using autoregressive time series model with Markov switching (MS-ARX ). The relationship between the value of the MICEX index and the price of Brent crude oil and gold are identified, and the level of influence of each of them in the index is determined. Dependence between the size of an index of MICEX and the prices of crude oil of the Brent brand and gold is revealed, and level of influence of each of them on this index is defined. It is shown and proved that for the Russian stock market MICEX and price of oil index and gold positively correlates in stable and crisis modes of functioning of the market, but thus during the pre-crisis periods (or during the periods of the raised volatility) correlation of an index with gold changes on the negative.

Keywords: MICEX, oil price, gold price, Markov switching model, MS-AR model, MS-GARCH model, crisis period

View all articles of issue

ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

Journal current issue

Vol. 30, Iss. 4 April 2024

Archive