Stability of the Causal Relationship Between the Oil Price and the Russian Stock Index

The article is devoted to analyzing the stability of the causal relationship between changes in oil prices and the dynamics of the Russian stock market, whose primary indicator is the RTS Index. The main goal of the research is to test the hypothesis of the persistence of a stable influence of oil price shocks (driven by fluctuations in supply, demand, and supply expectations) on the RTS Index amid structural shifts in the Russian economy during the period from 1999 to 2019.The novelty of the approach proposed by the author lies in applying the core tool for studying causality – the Structural Vector Autoregression (SVAR) model – to decompose oil price shocks into their constituent sources based on the reasons for their occurrence and to assess the RTS Index's response to them. Additionally, the Moving Block Bootstrap (MBB) method is used to test the significance of changes in the stock index's impulse responses. The research results indicate that, despite the detection of a structural break in the stock market variable equation, the differences in its impulse responses to oil price shocks before and after this break are statistically insignificant, which confirms the proposed hypothesis. Thus, it can be argued that a stable causal relationship exists between oil prices and the Russian stock index throughout the entire analyzed period, including global economic crises and domestic economic transformations in Russia.The study contributes to understanding the long-term dynamics of the interconnections between the commodity and financial sectors of the Russian economy, highlighting the critical importance of the energy component for the stability of the national stock market.