The correlation between ruble and oil prices fell to the lowest in more than a year. On Friday evening, the 60-day correlation between the ruble and the Brent oil price decreased to 0,5487 (54,9%) — the lowest rate since July 20 of last year, data from Bloomberg terminal.
A value of 100% would mean that the ruble is followed by oil. Correlation does not necessarily imply a causal relationship, but in the case of the ruble is traditionally considered that the exchange rate depends on oil prices.
In April 60-day correlation between the ruble and the oil reached 84%, follows from the data Bloomberg. But recently the Russian currency “rid” of the oil, and last month the ruble has actively strengthened despite the fact that oil became cheaper.
The ruble has stopped growing after President Vladimir Putin on 19 July at the meeting with Prime Minister Dmitry Medvedev asked the government closely monitored the strengthening of the national currency. Then, presidential aide Andrei Belousov confirmed that the ruble began to grow excessively, which creates a number of problems for the Russian economy reduces budget revenue and reduces the competitiveness of domestic industry.
In the end, over the past month, the ruble fell 1.7% and Brent oil by 6.2%, follows from the data Bloomberg terminal at 19:30 GMT. Friday night for one dollar on the Moscow stock exchange gave 65,47 rubles.
Putin’s words about the exchange rate intended for the government, which is preparing a draft three-year budget, not the Central Bank, announced on 22 July, Bloomberg, citing an unnamed high-ranking official.
Says leading researcher of the Center for economic and financial research, CEFIR) Alexei Devyatov, the level of correlation of the ruble and oil is highly dependent on factors such as capital outflows, Central Bank policy on the absorption of ruble and foreign exchange liquidity, developments in the world economy (Brexit, Turkey).
When banks have less liquidity, correlation is often weaker than when liquidity is growing — and increasing correlation, says Devyatov. In recent times, the Central Bank is quite conservative provided liquidity, and the lack of spending from the Reserve Fund in June—July and growth of reserve requirements has led to a liquidity shortage, said the expert. “I think that when the Treasury will again begin to spend the Reserve Fund in the autumn, the correlation between ruble and oil will return to normal,” predicts Devyatov.
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According to the head of a direction “Finance and Economics” Institute of contemporary development Nikita Maslennikov, the major factor that influenced the correlation — this is the end of the oil rally. “Correlation depends on the duration of a trend in oil quotations. In the face of volatility in oil prices, the correlation is strong, and it does not depend on prices going up or down. Once the price is set in some limits, the correlation is reduced,” says Maslennikov. In addition, to contribute to the decrease in correlation could such strong factors of influence on the national currency as the tax period and dividend payments, Maslennikov adds. According to his forecasts, in the second half of the ruble will affect such factors as payments on external debt, but the effect is the opposite — it will lead not to the strengthening but to the weakening of the ruble.
Correlation between ruble and oil prices — rather unstable indicator, when considered in the short term, says a leading expert of the center for economic forecasting of Gazprombank Yegor Susin. “Here is influenced by many local factors — liquidity, dividends, tax payments. However, in the long term the correlation remains quite high,” he says.