Oil Shocks and the Russian Economy: Inflation Perspective

Sammanfattning: This paper aims to assess the effect of oil shocks on the Russian econ- omy, focusing on but not limited to inflation, throughout 2000-2019, with the following main points with respect to economic policy: switching to in- flation targeting in 2014 and undergoing several iterations of the fiscal rule. The paper focuses on estimating a Bayesian time-varying parameter VAR model, additionally calculating the oil price pass through to inflation using the Phillips curve approach and modelling impulse responses to oil shocks us- ing non-Bayesian vector autoregressions. The broad conclusion is that after 2014 the response of total consumer price inflation to positive oil price shocks went negative from being weakly positive before, a development likely to be attributed to the fiscal rule suspension for the most of 2015-2018 period.