Брент-доллар-рубль

[ny_quant]

Мнения жителей бывшей родины на предмет зависимости между стоимостью нефти и курсом рубля к доллару резко разделились. Одни полагают, что "рубль есть дериватив от барреля", другие пренебрежительно смеются. Френд ammosov опубликовал график взаимного движения этих величин и предложил делать выводы самостоятельно. Хотя его вывод совершенно понятен, в частности из тона записи

Я выразил несогласие с его методами работы с данными и перефигарил по-своему, поменяв координаты местами, обратив курс и посмотрел только на последние 2 года.


Update. В ходе дискуссии зашла речь о скачкообразной смене режима. Вот как выглядят предыдущие 9 месяцев.



Update 2. Пойдя навстречу юзеру justpeeking4 переделал график в долларовой системе координат.

Comments

[a.s. (from livejournal.com)]

But you are fitting y=kx+a - not y = kx - and the former does not translate into a linear relationship between 1/y and 1/x globally - only locally. Had you fitted y = kx (which would basically correspond to studying RUB/OIL directly), it would be consistent.

[ny-quant.livejournal.com]

a is not large in this case but technically you're right

[a.s. (from livejournal.com)]

a (0.55) is not that small relative to range of y (1.1-3). Based on your graph, RUB/OIL varies from ~2150 (lower left corner) to ~4050 (top right corner) which is almost by a factor of 2. Which should be the case since RUB can't be fully explained by OIL - it'd have staying power even if OIL->0.

Separately, it would be helpful to plot both (slightly smoothed) quantities on the same graph as a function of time since there could be a time-lag in economic effect propagating.

[ny-quant.livejournal.com]

Добавил. Заодно пределал первый график, выбросив данные за этот год, там какая-то лажа с данными или опять новая фаза.

Те же яйца, вид сбоку.

[a.s. (from livejournal.com)]

Upon further inspection, I start to think that USD/OIL is more relevant since Russia sells OIL for USD and then can use that USD to prop by "buying" RUB - so again, we are interested in RUB/USD. Since a specific functional fit is somewhat arbitrary (absent some explicit economic mechanisms), looking at USD/BRT vs RUB/USD makes the most sense and uses the most easily interpretable/recognizable values. What looks like hyperbolas can be also easily approximated by a line if that's your preferred basis.

Here is my contribution which clearly shows a phase shift. I normalized by "stable" 3600 RUB/BRT (mostly based on the second half) and "stable" 30 RUB/USD - mostly based on the first half: