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MINISTRY FOR EDUCATION AND SCIENCE, RUSSIAN FEDERATION FEDERAL STATE AUTONOMOUS ORGANIZATION OF HIGHER EDUCATION «NOVOSIBIRSK NATIONAL RESEARCH STATE UNIVERSITY» (NOVOSIBIRSK STATE UNIVERSITY, NSU) Faculty Economics Chair Political Economy Department Management Master Educational program Oil and gas Management GRADUATE QUALIFICATION PAPER MASTER'S DISSERTATION Krivosheev Nikita Alexandrovich Paper title Determining the influence of oil and gas rent on the efficiency of monetary policy «Admitted to defense» Scientific Supervisor, The head of the chair: Ph.D., Assoc. Professor D-r of Econ. Sciences, Professor Mishenin M.V./………... «……»………………20…г. Filimonova I.V./………….. «……»………………20…г.. Date of defense: «……»………………20…г. Novosibirsk, 2017 2 TABLE OF CONTENTS INTRODUCTION ................................................................................................................................................... 3 CHAPTER 1. OIL RENT IN THE ECONOMY OF A GOVERNMENT .............................................................. 5 1.1. Definition and meaning of oil rent ................................................................................................................... 5 1.2. “Dutch disease” and institutional restrictions on the way of the effective use of oil and gas rent ................... 7 1.3. Oil and gas rent in the economy: Literature review ....................................................................................... 10 CHAPTER 2. METHODICAL APPROACHES TO ANALYZING THE INFLUENCE OF OIL AND GAS RENT ON THE MONETARY POLICY .............................................................................................................. 18 2.1. Influence of oil and gas export on the policy of the Russian Federation ....................................................... 18 2.2. Method of calculating oil and gas rent ........................................................................................................... 24 2.3. Selecting and describing of the models for analyzing oil and gas rent .......................................................... 26 CHAPTER 3. ANALYZING THE DEGREE OF INFLUENCE OF OIL AND GAS RENT ON THE MONETARY POLICY IN HYDROCARBON-EXPORTING COUNTRIES ..................................................... 28 3.1. Selecting of the factors and making of the regression .................................................................................... 28 3.2. Influence of the factors in the regression ....................................................................................................... 33 3.3. Analysis of the results of the panel data modeling ......................................................................................... 36 CONCLUSION ..................................................................................................................................................... 38 REFERENCES ...................................................................................................................................................... 41 3 INTRODUCTION In economic literature, the specific features of the natural resource-rich countries are widely discussed. This category consists of tens of countries (including Russia), which extract hydrocarbon resources. Production and use of oil and gas resources is one of the most discussed problems in the world. Much attention is paid to the questions connected with the direction and efficiency of use such resources. The resources are used for producing of fuel and petrochemical products which can be consumed within the country, and can be exported. The countries having considerable reserves of oil, gas or both resources often export oil and gas in the form of raw materials (Clifford G. Gaddy, 2005). The main benefit of oil and gas production is the natural oil and gas rent measured as revenue minus costs (including also profit for production and transportation). The rent can be used to develop the economy or increase the current consumption. The best ways of using this profit are: to improve the process of production and infrastructure, to invest into the human capital, to develop the system of institutes. Inefficiency of institutes within the country can lead to export of the rent and, as a result, the rich and influential structures get a lot of money. Accumulation of the rent can also increase inequality, bureaucratization and preservation of inefficient structure of economy. The government of Russia and the Central Bank of the Russian Federation developed the policy of reducing dependence of the economy and the budgetary system on the oil and gas incomes, created regulatory framework for saving of their part in reserve funds and checked efficiency of this policy during the crisis period. Now it is necessary to analyze their results. The policy of decreasing dependence on oil and gas sector eventually has to lead to diversification of economy. However, complex efforts are required in the following directions: ensuring macroeconomic stability including low inflation and clear rules of exchange regime; providing of competitiveness; developing of the financial market; creating of necessary infrastructure; stimulation of production of high value added products; supporting of institutes of innovations; decreasing of administrative barriers. Such policy leads to change of economic structure not as a result of the state expansion, it is evolutionary process (Yogo, 2011). Oil and gas income influence on the Russian economy depends on the national currency — its movement depending on the offer of currency in the market. Respectively, the exchange rate depends on the market forecasts, demand and supply of the currency. It can be explained by the balance of payments: at the positive balance of payments the national currency becomes stronger. However in the countries-exporters of natural resources the balance of payments can be changed faster, than in the developed countries which don’t depend on export of mineral resources. Increase in inflow of currency 4 from sale of mineral resources in the world markets at high prices can be replaced by its decrease, then the offer of currency in domestic market decreases, and the exchange rate can quickly fall. The novelty: The use of econometric analysis for the purpose of estimating how oil & gas rent influences monetary policy. Obtained model can be helpful for monetary structures, tax structures, investment decision-makers and different institutes. The main purpose of this work is to make the panel data analysis of economic indicators of the hydrocarbon-exporting countries to study influence of oil and gas rent on the efficiency of monetary policy. Object – the monetary policy of 20 oil and gas exporting countries Subject – methodological approaches for analyzing the influence of oil & gas rent on monetary policy with using panel data Objectives: 1. To designate institutional obstacles on the way of effective distribution of oil and gas rent. 2. To show the role of oil and gas rent in the economy of Russian Federation. 3. Make an analysis of methodological approaches to assess the relationships between oil and gas rent and the efficiency of monetary policy. 4. To define the degree of impact of oil and gas rent on the efficiency of monetary policy using panel data analysis. 5 CHAPTER 1. OIL RENT IN THE ECONOMY OF A GOVERNMENT 1.1. Definition and meaning of oil rent Traditionally, the value produced from resource sector is defined as rent. In other words, it is a surplus that is obtained from the production of gas and oil. We can define rent as the revenue received from sale of the source minus the cost of production. By this definition, rent is equal to economic profit, that is, revenues minus economic costs (including depreciation of fixed assets and a “normal” return on capital) (Clifford G. Gaddy, 2005). Let Rt denote the true total rent produced in period t, which is defined as: R t = Pt Qt – Ct, (1) where P and Q are the current spot price and the actual quantity produced, and C is the natural cost of production. But if one measures the production cost using data on the reported cost, the measure of rent will be different. Natural cost is the cost of production that would be incurred in a competitive market with free entry (Clifford G. Gaddy, 2005). The reported cost may include waste and inefficiencies. Let’s consider the reported cost be Ct’ = Ct + εt, where ε is the excess cost of production. Then the rent R’ will be: R’ = Pt Qt – Ct’ = Pt Qt – Ct – εt (2) P is the market price, but producers may receive less if there is a price subsidy. For instance, in Russia, the domestic price for oil and gas is below than world price, and exports to CIS (Commonwealth of Independent States) are made at below market prices. Let the price subsidies per unit of the resource be p. Then the total subsidy S = pQ. The actual producer price, P’ = P – p. Thus, pre-tax profits are given by Πt = Pt’ Qt – Ct’ (3) It is useful to distinguish between formal and informal taxes. Formal taxes are prescribed by legislation. In Russia it is Mineral extraction tax and export tax. Informal taxes are nominally voluntary but in fact mandatory for a business that wants to survive (Гуревич Е.Л., 2011) (Гуревич, 2011). For example it may be bribes paid to government officials and payment made by enterprises to support the social sector of towns and regions, cultural programs, etc. Both kinds of taxes are applied to the revenue received. Let’s assume that these taxes is a share of profits, and let the normal tax rate be α and the informal tax rate be α’. Then after-tax profits can be written as: Πt’ = (1 – α – α’) Πt (4) 6 We see that the total surplus can be divided into five categories: excess extraction costs, price subsidies, formal taxes, informal taxes and the after-tax profit of the enterprise. There are some recommendations about long-term stabilization of consumption (Hartvik's rule) and the budgetary expenses (in particular, the principle of the constant income) in the conditions of the forthcoming exhaustion of natural reserves for the resource-rich countries. Such recommendations usually concern rules of management of the income received from the raw materials sector. For example, according to the known principle of the constant income it is recommended to spend the fixed value of the oil and gas income of the budget quantitatively equal to the income from investment of the sum at which the natural richness of the country is estimated (Трубицын Д. В., 2014). It’s possible to notice some tendencies in redistribution of natural rent between the state and producers. It is known that in the first half of the 2000th years the system of the taxation of oil and gas sector was actively reformed in Russia. Now the natural rent in this sector is imposed by two special tax tools: MET and export tax. Thanks to introduction of progressive scale of export taxes for oil and oil products (with the maximum rate of 65%) and a MET rate, level of withdrawn natural rent reached approximately 81% in 2006-2009 (Трубицын Д. В., 2014). By 2008, total rent incomes of the budget have grown in dollar expression by 40 times as a result of increase of the rent withdrawn and increase in prices for hydrocarbons. The relation of oil rent incomes of the budget to GDP has grown from 6% in 1998 to 20,5% in 2005 (Figure 1.1), and share in the total income of the budgetary system has increased from 7% in 1999 to 26% from 2005 to 2009. In structure of the income of the federal budget the role of rent incomes is even more: approximately 44% from 2005 to 2009. 16 14.3 14 13.6 11.2 11.1 10 9.6 8 6 8.1 Oil rent Natural gas rent 5.6 5.6 4 2 1.4 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 0 1996 % of GDP 12 Figure 1.1 – Oil and gas rent in the Russian Federation (% of GDP) Source: World Bank 7 In gas sector the rate of export taxes is 30%, and the rate of MET is fixed in rubles and didn't change from 2005 to 2010. As a result, the share of a natural rent withdrawn in gas sector for 20012009 remained steadily low, fluctuating (depending on change of the internal and external prices) about the average level of 38%. For so radical distinction in the taxation of two hydrocarbon sectors there are no serious economic reasons. As a conclusion, the rent has a beneficial influence on development of countries-owners of oil and gas resources, at the same time it isn't always used most effectively. Efficiency depends on institutes: if their quality is high, then the economy receives big profit. Bad quality of the institutes leads to smaller profit that can affect also economic growth. For resource dependent countries it’s more important to increase oil and gas production, than for less dependent. The rent can be invested into spheres of production and infrastructure, but the most important spheres are human capital, education, health care, science and culture. 1.2. “Dutch disease” and institutional restrictions on the way of the effective use of oil and gas rent In literature, "resource curse" is negative aspects of distribution and use of the natural rent received from natural resources. First of all, reserves of oil and gas. But now nobody shares the hypothesis of so-called "resource curse in the strong version" that assumes that extraction of hydrocarbons can have negative influence on the economic growth, preserving or even blocking development of economy. The modern view on this problem is characterized as a hypothesis of "a resource curse in the light version". This hypothesis tells that the countries with inefficient institutes use natural wealth worse, than other types of the capital. The light version of this hypothesis is connected with the assumption that the excessive natural wealth can negatively influence quality of institutes because of a weak control of implementation of laws and quality of education (Суслов Н. И., 2015). "The resource curse" strikes first of all those countries where institutes aren't developed … its main mechanism is further destruction of institutes" (Кротова М. А., 2013). There is some interdependence of such processes as increase of natural resources orientation of the economy and restriction of social freedom and democracy. Typical symptoms of the resource curse – increase of authoritative tendencies, preservation of corruption and decrease of education level and qualification of labor force. Recently the point of view according to which economic growth in Russia in 2000-2008 was explained by the high price of oil is widespread. It is unknown, there would be economic growth the 8 same high at lower prices of oil. There are also points of view that growth could even be replaced by recession at low prices. Actually the role of natural resources in terms of growth rates isn't so obvious as it seems at first sight. There are no doubts that the Russian economy is strongly dependent on raw (especially fuel and energy) sector as it was also in economy of the USSR 1970 — the 1980th. And it means vulnerability of not only economic, but also political system: crash of the USSR was connected considerably with sharp decrease in that level of prices for oil (Кротова М. А., 2013). A high natural rent (in particular, the high prices of oil), stimulates economic growth in one sectors, creates obstacles in a way of long-term growth of economy in general. It is possible to point a number of the factors that impact negatively on the economic situation under the conditions of rich natural resources. First, it is "the Dutch disease". It increases the actual rate of national currency, reduces competitiveness of considerable part of economy. The measures taken to control real ruble exchange rate lead to inflation growth. Secondly, the significant gap in profitability different sectors of economy leads to discouraging of investments into other sectors, so, structural transformation restrains. Structural reforms are also slow down. Thirdly, there is a conflict between interests of the budget and interests of the economic development. "Cheap money" improves the state of the budget and possibility of the budgetary maneuver. At the same time the considerable part of economic agents isn't interested in such situation when competitiveness of the sectors decreases. Fourthly, the government is tested by economic populism and corruption. Existence of considerable financial resources leads to increasing strength of lobbist activity. It is harder and harder for government to resist this pressure, and eventually the budgetary expenses can begin to increase, increasing danger of macroeconomic destabilization in the future. Thus, natural resources, on the one hand, give potential opportunities for economic growth. On the other hand it interferes development of the institutes promoting long-term economic growth. So, in the sector of extraction of resources and in the sector of manufacture depreciation of constructions, machines, the equipment and transport as of the end of 2008 was respectively 50,9 and 45.6% (Кудрин А., 2012). Degree of depreciation of fixed assets in 2005 was 43.5%, by 2011 reached 51.3% (Кудрин А., 2012). According to consulting company the McKinsey, labor productivity in metallurgical sector has doubled from 2002 to 2012, but makes only 33% of level of the USA. About 40% of the Russian thermal power plants are more than 40 years old whereas in the USA 28%, in Japan – 12%, in China – only 3%. (Кудрин А., 2012). Russia’s economic development has to be followed by creation of all necessary conditions for evolutionary transition from extensive to the intensive post-crisis economic growth based on the use of 9 modern equipment, advanced technologies of achievements of science, more economic resources and increase of labor productivity of workers (Кудрин А., 2012). At the same time one of the central problems of modern Russian economic policy is achievement continuous and sustainable economic growth first of all due to high-quality improvement of mechanisms of regulation of economic processes (Кудрин А., 2012). To understand how to achieve this purpose, it is important to reveal the old ineffective institutes which contain economic growth. In modern Russian economy there were following main institutional restrictions which slow down development of key sectors of economy. Moreover, index of “Rule of Law” is very low in Russia (Figure 1.2). It has the meaning of less than 0 (it may be between +2,5 and – 2,5). It means that the quality of institutes is very low, and law works inefficiently. 0 -0.5 -1 -0.87 -0.93 -0.86 -0.91 -0.93 -0.95 -0.93 -0.77 -0.77 -0.74 -0.82 -0.78 -0.71 -0.6 -1.13 -1.5 "Rule of Law" index -2 -2.5 2000 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Figure 1.2 – “Rule of Law” index in Russia Source: World Development Indicators Firstly, excessive bureaucratic control of activity of the enterprises of all forms of ownership remains. It limits their development in the conditions of the increasing competition in the internal and external markets (Engel E., 2000). Secondly, property rights of shareholders and investors of the large capital are not regulated well. Numerous bureaucratic regulations lead to increase of transactional expenses, corruption taxes etc. that eventually is reflected in product cost and makes it noncompetitive in comparison with foreign producers of similar production. Besides, such control induces businessmen to remove part of their profit to the "shadow" sphere or to take out financial assets abroad. The businessmen who decide to do the business in Russia are forced to enter the informal relations with authorities for the purpose of obtaining individual privileges. The representatives of the government at the same time are involved in semi-commercial and "shadow" operations (Engel E., 2000). 10 Obligatory element of formal institutes is the legislation in the field of fight against corruption. It will allow to make conditions for changing of structure of the Russian production towards diversified and more integrated with foreign business structures. Effective protection of the rights of investors and shareholders will allow to provide high efficiency of capital investments, to attract more investment of foreign partners. 1.3. Oil and gas rent in the economy: Literature review There are a lot of researches about oil and gas industry, its benefit and role in the modern economy. Akelyev E.S. (Акельев Е.С., 2012) describes the modern structure of the Russian economy in terms of institutional analysis. Author tells about tendencies of development of the main sectors of economy in the conditions of the continuing structural crisis and recession. The conclusion is drawn on need of change of institutional structure of the Russian economy for the purpose of increase of productivity of large capital-intensive branches of economy. In the book of Lisin V.S. (Лисин В.С., 2011) institutional obstacles which can block economic growth are described. Problems of the countries trying to follow a way of long-term economic growth, and the new institutional problems are analyzed. The special attention is paid to questions of quality of the institutes providing a law and justice. Recommendations about overcoming of crises and strengthening of the institutes providing modern economic growth are made. Researchers call several reasons of such rather paradoxical result when between abundance of natural resources and social and economic development of the country there is a negative dependence. In case when the rent is caused by export of natural resources, there is a serious incentive of development of monogrocery economy and especially monoproductive export. It leads to braking of development of other branches of economy — inflow of cheap foreign currency stimulates import of the majority of goods and undermines positions of domestic manufacturers. Thus, by a certain moment the country becomes completely dependent on fluctuation in prices of very limited set of goods of the export. Besides, raw branches impose lower requirements to qualification of labor, and therefore their domination in national economy reduces demand for educational services that can have very dangerous long-term consequences. Additional danger arises when investment incomes fall upon the country unexpectedly and in a huge number — as a rule, as a result of jump in prices of natural resources. If the government perceives them as a steady source of receipts, then the temptation appears to use new opportunities for ambitious externally - and internal political projects, social programs, etc. As the source seems bottomless, the country leaders willingly take loans, seeking to receive today's political benefit on the 11 security of future income. The balanced budget also doesn't seem necessary. As a result in several years the country burdened by external and internal debts is involved in a significant amount of political and economic adventures. Reduction of a rent during this period means catastrophe. The abundance of investment incomes influences also efficiency of decision-making: on the one hand, danger of punishment for risky or nonprofessional steps disappears — they can always be corrected by monetary injection, with another — risks of corruption which is almost inevitable when the authorities has to be engaged in sharing of a rent (Лисин В.С., 2011). For example, in the state with the population N citizens maximize usefulness of ui of i’ citizen which is positive function of consumption of the public benefits x and opportunities to influence policy of the state v and negative function of payment of taxes t (thus, x and v — partially interchangeable goods). This ratio can be written down in the form of a formula: Max ui = ui (v i+, xi+, ti– ) (5) where i = 1, 2, ..., N. Benefit of the state at every moment is considered to identical benefit of the agents occupied in governmental structures and management of the state. The state is a supplier monopolist of the public benefits. The public benefits of X are created on the money received from taxes T and from R rent. There are no other sources of the income, there is no deficit and surplus of the budget: X = T + R, where (6) 𝑁 𝑁 X = ∑𝑁 𝑖=1 𝑥𝑖 ; T = ∑𝑖=1 𝑡𝑖 ; V = ∑𝑖=1 𝑣𝑖 where V — total usefulness from possession of the power. The state is founded on democratic institutes, i.e. management is made with the participation of the people and is connected with need to give him a part of influence β (0 < β < 1). In this case size β is democracy index. In general the prize P states is described by the equation P = (1 — β) * V + (T + R — X) (7) Total usefulness for citizens will make: Max U = U (βV, X, T) where U = ∑𝑁 𝑖=1 𝑢𝑖 (8) 12 The state will always seek to limit as much as possible democracy (to reduce β), i.e. to concentrate the power in the hands. Let in an initial situation of R0 = 0. Thus, X = T. Possibilities of the state to reduce β are very limited as he has nothing to offset usefulness loss (it is possible to increase X, having only increased T what will lead to reduction of the general usefulness of citizens (∆βV < 0, ∆X > 0, ∆T > 0 => ∆U = ?)). Therefore society is stabilized in a point O with democracy level β0 and quantity of the public benefits of X0 (Figure 1.3). Figure 1.3 — Model of corruption of the voter: the public choice in space “powerconsumption” Let's say that as a result of exogenous change the rent has increased and makes R 1 ((R1 > R0). In case of usual goods citizens have to pass to the budget of IR1 and have an opportunity to choose from the combinations corresponding to him βV and X among which there will be also combinations where β > β0 (for example, F point F (β1,Х0)). However the rent differs from usual goods in the fact that it is the income which distribution depends only on the government. In its turn, the government is not interested to increase β and therefore it is ready to limit artificially a possibility of the choice to the combinations which are to the right of a point of C (β0, X1). The basket C by definition is more preferable than a basket O (β0 = β0 ; X1 > X0). Depending on functions of usefulness of citizens (personal utility functions) there can be some more combinations (βm < β0 ; Xm > X0), for example the point of M(βm, Xm) is also more preferable in comparison with an initial basket O and, perhaps, in comparison with a basket C. Thus, rationally adjusted citizens, deciding to accept the artificial restriction connected with not increase (reduction) of democratic regime or to refuse the income connected with use of a rent, undoubtedly will choose the first. Respectively emergence of investment incomes in the state has to 13 lead to the fact that democracy level won't grow in him, and it is possible, and will decrease in comparison with a "before-rent" situation — and all this from a full consent of citizens (Лисин В.С., 2011). Additional, though implicit, consequence is that it becomes important at what stage of formation of institutes of the state the rent will appear. As restriction for distribution of a rent is a necessary condition of model, it is much easier to take this step in society where the institutes which regulate activity of the government weren't created yet. In other words, where balance wasn't created yet, it is much easier to change it with lower level of β. The book of Shmatt V.V. (Шмат В.В., 2014) is devoted to problems of development of oil and gas sector in Russia. The reasons of some problems taking place in oil and gas sector are considered. Author analyses and explains the processes happening in oil and gas sector in the context of transformation of the institutional environment, formation and development of relationship between the state and business, the federal center and regions. The authors of the other research (Корордюк Е. С.)analyze the foreign experience of regulation of an oil and gas complex in the countries with developed market structure. Giving the example of Norway, Great Britain, Canada and the USA they describe the models of functioning of an oil and gas complex. Volynskaya N.A. and Ezhova S.S. (Волынская Н.А., 2006) made the analysis of "rent" in raw branches of energy industry, approaches to a quantitative assessment of a rent are given. Rent sources, the principles and mechanisms of her distribution are designated. Adam Ondo and Zachary Taylor (Ondo A., 2010) tell about large outflows of the capital from many countries of Africa since they have gained independence. They explain what factors cause outflow of the capital and if there is a hope that this process can be regulated, providing Africa with the capital which it will be able to use for development. Authors made a hypothesis that increase of share of an oil rent in GDP has to lead to increase in flight of the capital. Research is focused only on the post-colonial countries of Africa to the South from the Sahara. Authors revealed the positive dependence with capital outflow of the following variables: external debt, existence of natural resources and cruelty of a policy. But the most interesting variable was the share of an oil rent in GDP. The oil rent is determined by the World Bank as a difference between oil cost by the world prices and cumulative costs of production, including rate of return. Mechanisms of increase in capital outflow in case of increase in a share of a rent in GDP are corruption, economic and political instability. The corrupted power controls oil-extracting sector that gives them the chance illegally to take out profit from the country. Economic stability of the country suffers because it actually becomes dependent on the single resource – oils. It can lead to devaluation of currency that forces citizens and companies to keep and invest the capital in other countries. It means that direct foreign investments from oil-producing countries increase, thereby being added to 14 value of capital outflow. The third mechanism, political instability called by political cruelty or the military conflict is doubtful as some researches tell about absence of connection between oil rent and political instability (Ondo A., 2010). Authors have explained capital outflow with the following equation: KFit = ∆DEBTADJit + FDIit – (CA + ∆RESit) (9) Where, ∆DEBTAD – change of residual of an external debt after it was enumerated according to rate fluctuations of currency, FDI – pure direct foreign investments, CA – a deficit on the current operations, RES – a pure increase of foreign exchange reserves. Money transfer from the state accounts to private ones, reward for execution of the state contracts, the expenses artificially uprated – all this one of methods of illegal export of the capital used by ruling persons and their close friends. Authors use the econometric model based on selection of 40 countries of Africa from 1970 for 2000. Dependent variable is capital outflow percentage of GDP. Explanatory variable is the oil rent percentage of GDP. Remaining factors are: not - oil natural resources percentage of GDP, GDP logarithm per capita, a logarithm of received help for development of this country, and the conflict which is the dummy variable based on the number of the victims in a year. The used model looks as follows: KFit = Orit + NRit + GDPit + AIDit + Cit + KFi,t-j (10) Where, for the country i in year of t, KF – capital outflow index percentage of GDP (j = 1 … q – size of a log), OR – an oil rent percentage of GDP, NR – a logarithm quantity of a rent from non -oil natural resources percentage of GDP, GDP – GDP logarithm per capita, AID – a logarithm of the received help for development, C – a dummy variable where the military or political conflict is equal 1 if there was more than 24 (Ondo A., 2010). Researchers summed up the result that two factors are the most important reasons of increase in capital outflow from the country: corruption and economic instability. Corruption is the most sensitive to increase in a share of a rent in GDP the mechanism. It occurs because magnitude of influence of a share of an oil rent on capital outflow is small, and corruption of the government usually explains a small share of illegal capital outflow therefore it is explained by magnitude and the statistical significance of results. Rabah Arezki and Markus Brückner (Arezki R., 2009) consider that increase of oil rent promotes corruption growth, deterioration in a political situation, at the same time leads to significant increase in civil liberties. Authors believe that these results can be explained with existence of the political elite. Authors also claim that there is a considerable effect of oil rent for fight against corruption in the 15 countries with high share of oil production while such communication doesn't exist in those countries where the state participation in oil production is insignificant. By means of regression model authors solve a problem of heterogeneity and an endogeniosity with calculating correlation of an oil rent with corruption and the state stability with the fixed effects. Authors use such variables as geological distinctions between the countries and variable stability of the state. Results show that increase in a rent within the country carries to essential increase in level of corruption, lowering of the political rights and freedoms, but also increase in civil liberties. On the other hand, authors found out that on average increase in a rent has no significant effect on risk of appearance of the civil conflict. Researchers use the following model: ΔCorruptionit = αi + γt + βΔOil Rentsit + ΓXit + uit (11) Where, αi – the fixed effects which reflect unobvious invariant characteristics of the country and γt – annual fixed effects which reflect shocks for all countries. The evaluated parameter β reflects marginal effect which renders change of a rent on corruption (Arezki R., 2009). The Xit variables switched on in regression as reliability check, are the first difference in non-oil GDP (ΔNon-Oil GDPit), connected to change of the income in branches of non-oil sector; the first difference on production of oil (ΔOil Productionit) which is connected to change of amount of the produced oil; and corruption with a log equal to unit (Lagged Corruptionit-1). Results reject a hypothesis that an oil rent – direct threat of the state stability. From the strategic point of view, it doesn't mean that investors shall be afraid that high rent incomes can mean threat for their projects because this income most likely will cause the civil conflict. On the contrary, politicians shall worry that the oil rent considerably increases the level of corruption which bears essential lowering of welfare because of non-rational use of resources and hidden expenses. Prof. Suslov (Суслов Н. И., 2015) in his article discusses the problems of efficiency of use of the rent created in oil and gas sector worldwide. Research is based on the econometric analysis of the statistical data provided by the World Bank. Author proves that the rent gives a strong impulse to development of economy. The rent can influence quality of institutes: to improve them or to preserve institutional development. For the empirical analysis it is selected 2010. 132 economies from all continents got to the general selection, from them 91 countries extract oil or gas (or that and another). The data on GDP per capita calculated at par purchasing power and on an oil and gas rent are taken from the database of the World Bank. The index of quality of institutes (Rule of Law index) is also taken. This index, according to the author, best of all reflects a status of system of institutes: fair trial and arbitration, quality of the 16 legislation, protection of the rights of investors are more important than economic freedom. Besides, some more indices playing a supporting role are used. The econometric model includes two regressions estimated at the same time i.e. as a system of equations. The first equation – for GDP explanation per capita – includes the following regressors: a rent per capita, the rent in a combination with an index of institutes (i.e. their work) called by the interactive member and level of the internal prices concerning the USA. Levels of per capita incomes and a rent were also normed to the GDP per capita in the USA taken for unit. The second equation evaluates a price variable (the left part) from the interactive member, an index of institutes and a binary variable which has values of unit for member countries of the Organization for Economic Cooperation and Development, but without new members – the former countries of the socialist camp – and zero for all other countries (Суслов Н. И., 2015). The general significance value of regressions was also high, and determination coefficient analogs for the equations have reached 0,82 and 0,68 that seldom works well for cross data. The combination from a variable rent and the interactive member for income levels allows to estimate efficiency of use of investment incomes in the considered states at regressions. The investment income taken in itself as well as should be expected, finds very much the close positive coupling with the income. The more a rent in oil and gas sector, the better for the state and society: each dollar created in oil and gas sector of average economy adds 1,86 dollars to GDP. But it on average. The interactive member – the work of rent and institutional variables – adjusts this communication for the specific countries. The rent can be used less effectively. Despite of that fact, that oil and gas often are generally exported the rent concluded in them can be used for the benefit of the state and society. But at bad investment climate such phenomenon as flight of the capital is shown, and a part of a rent can be taken out and invested abroad. Besides, in economies with bad institutes the most part of a rent can go for non-productive consumption of elite (Суслов Н. И., 2015). One more factor of decrease in efficiency of use of a rent – subsidizing of inefficient sectors of economy. For example, in Russia via the mechanism of cut prices for energy and tariffs for production services a considerable part of the Russian rent goes on support of the inefficient industrial enterprises and other sectors of economy which differently would be unprofitable. Here a problem not only that rent subsidies don't give effect of growth, but also that at the subsidized subjects incentives to investment into new technologies decrease. As a result the effectiveness ratio of use of a rent in Russia is not 2,28, as in Norway, but only 1,704 – lower than an average in the world. The indicator of elasticity of GDP on a rent is also given in calculations. On the one hand, it’s the higher, the more the multiplier of a rent. But on the other hand, that is more important, the more dependence of the economy on a rent – its share in GDP. On all selection of oil and gas economies the 17 coefficient of elasticity of a rent is about 0,2, and for the countries from rent shares in GDP more than 40% it accepts values over 0,7. For two economies – the Republics of Congo and Kuwait – this indicator exceeds unit. The higher this indicator the more important for the country to increase volumes of extraction of hydrocarbons if it wants to maintain high rates of economic growth (Суслов Н. И., 2015). 18 CHAPTER 2. METHODICAL APPROACHES TO ANALYZING THE INFLUENCE OF OIL AND GAS RENT ON THE MONETARY POLICY 2.1. Influence of oil and gas export on the policy of the Russian Federation In the early 2000s there were high prices of oil and gas in the world, and Russia began to gain huge income from their export. Financing of all sectors of national economy, including health care, education, science, infrastructure, was insufficient. The government was aimed to raise a standard of living of citizens, expanding social support, to increase investments in infrastructure and to promote business development. Thanks to an increase in prices for oil and gas resources in the world market there were conditions for the solution of these tasks. As the share of oil and gas resources in export of Russia is about 60%, this movement of an exchange rate is especially sensitive. Though, it also depends on other factors such as GDP, investment attractiveness, etc. That’s why the exchange rate of national currency unit moved behind price of oil (Figure 2.1). We can see that at the points of minimal prices of oil and gas Russian ruble depreciated. And at the points of maximal prices Russian ruble appreciated. At the same time Shmatt (Шмат В.В., 2014) in his work tell that there is no strict dependence of ruble against dollar till 2014. 69 109 111 65 63 64 91 59 98 54 80 64 49 60 45 56 51 39 31 24 21 29 24 74 56 44 34 100 21 31 28 29 40 24 36 31 29 26 25 32 28 30 31 27 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Average nominal USD/RUB exchange rate 20 32 Average price of oil Figure 2.1 — Dynamic of USD/RUB exchange rate and price of oil Source: Central Bank of the Russian Federation 0 $/bbl USD/RUB, rub 120 108 19 First of all, the main channel of influence of the income from export of hydrocarbons on the Russian economy is the exchange rate of national monetary unit. However, the balance of payments of the countries-exporters of natural resources can change faster, than in the developed countries which don’t depend on export of natural resources. Increase in inflow of currency from sale of natural resources at high prices can be replaced by its decrease, then the offer of currency in domestic market decreases, and the exchange rate can quickly fall (Кудрин А., 2012). Over the period from 2000 till 2008 ruble exchange rate steadily became stronger (Figure 2.2). Negative increase of USD/RUB exchange rate tells about strengthening of Russian currency against the dollar. Under the pressure of huge inflow of currency the Central bank of the Russian Federation has been forced to reduce the participation in regulation of national currency. In 2000 — 2007 the average effective exchange rate of ruble has become stronger for 77,2%, average annual ruble exchange rate to dollar — for 123%. After devaluation in 2009 the ruble continued to appreciate. 70 80.00% 73.66% 70.00% 60 60.00% USD/RUB, rub 50 50.00% 40.00% 40 27.69% 30 20 10 0 30.00% 20.00% 7.47% -2.11% -1.84% -3.89% 3.70% -6.13% 11.94% -2.97% -5.92% -4.17% 10.00% 3.24% 2.57% Average nominal USD/RUB exchange rate 4.08% 0.00% -10.00% Increase over previous year -20.00% Figure 2.2 — Dynamic of the change of USD/RUB exchange rate Source: Central Bank of the Russian Federation But measures of the Central bank and the government for control of strengthening of ruble through purchase of currency in the market didn't allow to reduce inflation rate (Figure 2.3). In 2000 inflation rate steadily became to decrease until 2006. In 2006, it has fallen to 9%, but subsequently has grown up and remained rather volatile and high. Over the period from 2009 till 2010, inflation rate was at the level of 8,80% in spite of decrease of oil prices, because Central bank used the big amount of reserves from Reserve fund in order to support financial system in Russia. 20 40.00% 35.00% 37.70% 30.00% 25.00% 23.64% 20.28% 20.00% 17.96% 15.00% Inflation rate 13.78% 13.80% 10.00% 5.00% 4.77% 1.99% 0.00% 7.68% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Figure 2.3 — Inflation rate in Russia Source: Central Bank of the Russian Federation Because of inflow of foreign currency on accounts of the current and capital operations of the balance of payments the currency income of economic entities in Russia grew. The income from oil and gas export promoted essential growth of currency supply in domestic market (Figure 2.4). At the same time the share of Oil and Gas export in the whole export of Russia steadily grew over the period from 2000 till 2010, and in 2010 this share was approximately 60%. 600 66% 63% 62% 61% 500 52% 50% 51% 54% 55% 68% 66% 67% 67% 63% 63% 522 528 70% 527.3 60% 497.8 60% 471.6 50% 400.6 ,bln $ 400 345.7 351.5 354.6 340.9 354.4 303.6 310.1 300 254 243.8 218.6 183.2 148.9 200 100 190.8 337.8 303.4 40% 30% 203.4 190.7 20% 135.9 105 101.9 107.3 100.2 73.7 52.8 52.2 56.3 10% 0 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Oil and gas export Export of products Share of oil and gas export Figure 2.4 — Export of oil and gas in Russia Source: Central Bank of the Russian Federation 21 To constrain strengthening of currency in the conditions of the strong balance of payments, the Central Bank has to buy or sell currency in the last 12 years. However, additional monetary issue in domestic market was allowed and it wasn't possible to combat with monetary inflation (Figure 2.3). As a result, foreign-exchange reserves were formed. With significant growth of export revenue, which goes to domestic market, the Bank of Russia is forced to purchase currency and to emit ruble. It makes active the channel of the offer of money through currency transactions and limits use of other channels, including mechanisms of refinancing of a banking system and discount rate. The efforts made by the Central Bank of the Russian Federation only partly have softened the main effect of strengthening of national currency — the import growth. In Russia import of goods and services has increased from 61 billion dollars in 2000 to 367 billion in 2008. The increase rate of import was significantly higher than the increase rate of GDP. Data shows that use of the oil and gas income for investment into economy allows importers to purchase currency and promotes increase in import, number of importers also grows (Кудрин А., 2012). The income of the budget from oil and gas consists of the income from Mineral extraction tax and export duties on oil, gas and oil products. After introduction of an oil and gas transfer the price of oil of 50 dollars/barrel was reference point. This rule has been cancelled in 2009 because of crisis. The new rule is introduced since 2013. It establishes "the base price for oil", average price for the last five years with annual increase of calculated period for 1 year until period achieves 10 years. According to the new option the standard size of Reserve fund decreases from 10 to 7% of GDP. At the same time after its filling the additional oil and gas income not completely goes to the National Wealth Fund. It’s divided: 50% goes to NWF, 50% goes to the budget. When the base price is settled it is also necessary to consider risks of balance of the budget during the reduction of prices of oil. The government should be aimed at the base price. It will provide necessary margin of safety during the increase of budget deficit in case of price shocks in the world markets of oil. Then the base price will increase only by inflation rate in the USA. Thus, in the 2000th years the fast-growing oil and gas income went to expenses and accumulation in reserve funds for different rules and, despite their improvement and more accurate formulation, each new rule was softer and. As a good illustration of dependence of the budget on the oil and gas income serves the indicator of "non-oil&gas deficit". It is the deficit covered by the oil and gas income. Its size has grown from 1,8% of GDP in 2004 to 13,7% of GDP in 2009. Over the period from 2000 to 2012 the government increased expenses rapidly (Кудрин, 2012). The annual growth of expenses of the federal budget from 2005 to 2009 more than for 20% (and even for 40% in 2007) was consequence of increase in the income of the government from oil and gas. 22 But the government saved the part of oil and gas income in Reserve fund and NWF in order to sterilize excess money supply. Similar record growth of expenses not only creates risks for a financial system of the country such as influence on the exchange rate and inflation rate, but also becomes an independent factor of potential instability of the Russian economy after reduction of prices of oil. Then the government won't be able to provide earlier reached level of social support, financing of the main sectors of the budgetary sphere and subsidies to economy. Reserve funds of the government can temporarily be a source of support. But it may be not enough. Saving of part of the income in reserve funds carries out the stabilizing role both for macroeconomic indicators, and for the budgetary system. But even after that the increase of money in the economy was excessive and additional source to inflation (Figure 2.5). 35000 70% 31,405 61% 30000 32,111 60% 27,405 50% 57% 49% 25000 24,483 50% bln rub 43% 20000 39% 32% 15000 20,012 39% 36% 40% 40% 39% 33% 34% 31% 31% 10000 12,869 8,971 18% 3,205 4,354 1,609 2,131 2,009 2,785 715 1,151 763 1,147 1,535 30% 25% 20% 6,430 6,986 7,172 6,032 5000 15,268 31% 12,976 3,702 17% 5,939 5,063 15% 3,795 4,038 1% 10% 9% 2% 0 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 M0 M2 Increase of M2 Increase of M0 Figure 2.5 — Dynamic of increase of M2 and M0 over previous year in Russia Source: Central Bank of the Russian Federation Growth of quantity of money in economy much more exceeded the volume which it could accept. For the entire period of 2000 — 2012, despite savings in reserve funds, the quantity of money in economy never decreased. In the 2000s money supply grew annually more than by 30%, and in 2006 — 2007 — more than by 40%. After two crisis years when its growth was 0,8 and 17,7% (that is even these years the quantity of money in economy hasn't decreased thanks to expenses from Reserve 23 fund), in 2010 it has again exceeded 30%. It is significantly more than rate of GDP growth and even if the Russian economy would grow for 6 — 7% a year, then the increase of money would remain excessive. At the same time insignificant part of income gained by the country from export of oil and gas was saved in reserve funds (Figure 2.6). In 2008 the budget has spent an equivalent of 94,7 billion dollars, and has preserved 82,2 billion. Expenses from the reserve funds of the government in 2009 — 2010 have provided stability of both the budgets, and financial system of the country in general. 250 200 176.4 150 108.4 100 76.3 9.9 0 1.5 13.9 1.2 17.7 16.9 2.2 74.1 70.3 93.9 82.2 Oil and gas income, bln $ 51.7 35.9 50 127.7 113.4 Other sources of income, bln $ 23.3 Oil and gas savings, bln $ 0.7 -31.9 -50 -74.9 -100 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 Figure 2.6 — Government budget of Russia Source: Ministry of Finances Summing up the result, one may say, that receipts from sale of oil and gas in many respects depended on an exchange rate of national currency. Undoubtedly, even at strong ruble and growth of volumes of oil and gas export the income made an impressive part of the budget, a part of which collected in reserve funds. Meanwhile, money supply quickly grew since the beginning of the 2000th that couldn't but provoke increase in the rate of inflation in the country. 24 2.2. Method of calculating oil and gas rent The right of the citizen of Russia is to know what profit is got by oil and gas companies as they use minerals which are property of the state, and, therefore, the property of everyone. Determination of a natural rent is the main source of distinctions in estimates of investment incomes. In economic science two of its directions are provided. One, carrying on tradition of classical political economy, considers a rent as result of use of a competitive limited resource (originally lands). At the same time the rent appears the legal income of the owner of this limited resource (originally – the land owner). Other direction can be characterized as a tendency of washing out of this classical determination and identification of a rent. It is based on the idea that the entrepreneur faces a set of various restrictions, each of which (legally or illegally) can be a source of the rent payment reducing his profit. For example, prohibition will use certain types of gasoline a source of additional incomes of those oil companies which are capable to make the permitted types of gasolines. Introduction in the institutional theory of a phenomenon of establishment by officials of restrictions, their rights to grant permission (for example, licenses) as a possible source of corruption is based on it, in particular. As the most important part of an absolute oil rent (and its total amount) in Russia serves excess by export price of crude oil of its internal price and size of costs as average, and limiting. The huge gap between levels of export and internal prices undoubtedly demonstrates that in system of rent taxes the duty tax on export of crude oil shall be the major. Many researchers claim that the oil and gas rent (its biggest part) is taken in favor of the state by means of such tools as export duty and a MET. These researchers are, for example, Suslov N. I. and his article "Rent — Our Everything", Volkonsky V. A., Kuzovkin A. I., Mudretsov A. F. in their article "Natural Rent and Methods of its Assessment", Clifford Gaddy and Barry Ikes in their article "Resource Rent and Economy of Russia". Authors of the article "Natural Rent and Methods of its Assessment" claim that estimates of an oil rent can be received by the elementary calculation flowing costs of production and transportation (prime cost minus the taxes included in prime cost). Then to define the standard income of an oil complex, i.e. the income which would be gained by the enterprises or the companies if they worked in the branches which aren't using such natural resources as oil. For this purpose the current expenses are multiplied by the profitability, average on the national economy, calculated according to the data on expenses published by Goskomstat and the profits which aren't including the export income (on large and medium-sized enterprises). Rent income of oil and gas complex is excess by the total primary income of its standard value. 25 We can get close results if to determine the standard income by the profitability referred not to the current expenses, but to the cost of fixed assets. Mathematically it can be described as follows. We will enter designations: R – revenue of the enterprises and organizations before payment of taxes; E – the current expenses (material, labor and so on) on production, transportation, refinery; T – the amount of taxes in the enterprises and the organizations; T = Tp + Ti, where Tp and Ti – taxes on products and income tax; P – profit (balanced financial result); I – the actual primary income of the enterprises and organizations before payment of taxes: I = R – E = P + Tp (12) F – value of fixed assets. If these indicators characterize sector of the economy or the industry, then they are supplied with the top index (Ri, Ei etc) where i – number of sector. Use of an indicator without the top index means that it characterizes all national economy. The rent income (Rent) gained by sectors using natural resources is a difference between their actual primary income from use of labor, capital and other resources, except natural, and the "standard" income (In): Renti = Ii – Iin (13) Standard income Iin on sectors using natural resources can be calculated with one of the formulas: Iin = КeEi (14-a) Iin = КfFi (14-b) Or The quantitative assessment of Кe and Кf is complicated because of a shortcoming and unreliability of statistical information, and also incomparability of conditions of production in the main extracting sectors and sectors making services or sectors with a big share of small business. The main sectors producing rent – it is obligatory the sectors exporting a considerable share of production: the export share of other sectors is small. At the same time the internal prices of their production contain only very small part of a rent. Goskomstat of Russia publishes data on total costs of production (works, services) and on profit (balanced financial result) – in general on the national economy and branches of the economy. These 26 data are based on volumes of release and expenses in the internal prices. Therefore indicators of profit don't include the export income. However it is necessary to consider that 75-80% of the Russian export make "mineral products" and "metals, gemstones and their products ". The specified data on profit also characterize that effect which is gained generally by the enterprises which aren't using the most profitable of natural resources. Therefore they are suitable for estimate of the standard income of the enterprises. Adding to the specified indicators of income the amount of taxes on products (without export duties), we will receive the sum of primary income without the export income (we will designate this indicator of D). The relation of this indicator to expenses or to fixed assets gives the values of profitability which are characterizing branches with a small share of export and not having a natural rent: Кe = D/E, Кf = D/F (15) The assessment of standard income Iin in the sectors producing rent has shown that the formula (14-b) gives close, but permanently smaller Iin value (and therefore, bigger value of a rent), than when using a formula (14-a). Summing up the result, we can say, that it is possible to calculate a rent, having enough data on expenses of the oil and gas enterprises, including tax rates, export duties, resource prices and product prices, and also average standard of profitability on branches of economy. As it was already told earlier, the investment income of an oil complex - it is excess by the total primary income of its standard value. Authors showed how to count average profitability of branches with a small share exports and not having a natural rent. The formula 14-b with the relation of the sum of primary income without the export income to fixed assets gives the closest value. Having increased coefficient of Кf by the sum of fixed assets, we will gain standard income. Having subtracted the standard income from total income, we will receive approximate value of a rent in the sum of all income. 2.3. Selecting and describing of the models for analyzing oil and gas rent We will examine a variety of different models for panel data. Broadly, they can be arranged as follows: 1. Fixed Effects: If zi is unobserved, but correlated with xit, then the least squares estimator of β is biased and inconsistent as a consequence of an omitted variable. However, in this instance, the model: yit = x’it β + αi + εit, (16) 27 where αi = z’iα, embodies all the observable effects and specifies an estimable conditional mean. This fixed effects approach takes αi to be a group-specific constant term in the regression model. It should be noted that the term “fixed” as used here signifies the correlation of ci and xit, not that ci is nonstochastic. 2. Random Effects: If the unobserved individual heterogeneity, however formulated, can be assumed to be uncorrelated with the included variables, then the model may be formulated as: yit = x’itβ + E [z’iα] + {z’iα − E [z’iα]} + εit (17) = x’itβ + α + ui + εit, that is, as a linear regression model with a compound disturbance that may be consistently, albeit inefficiently, estimated by least squares. This random effects approach specifies that ui is a groupspecific random element, similar to εit except that for each group, there is but a single draw that enters the regression identically in each period. Again, the crucial distinction between fixed and random effects is whether the unobserved individual effect embodies elements that are correlated with the regressors in the model, not whether these effects are stochastic or not. We will examine this basic formulation, then consider an extension to a dynamic model. The equation in this work will have the following view: Yit = ∑𝐾 𝑘=1 𝑥𝑘𝑖𝑡 𝛽𝑘𝑖𝑡 + εit, i = 1, …, N, t = 1, …, T, Where K – number of factors, N – number of objects, T – number of periods (18) 28 CHAPTER 3. ANALYZING THE DEGREE OF INFLUENCE OF OIL AND GAS RENT ON THE MONETARY POLICY IN HYDROCARBON-EXPORTING COUNTRIES 3.1. Selecting of the factors and making of the regression Regression analysis is a method of statistical data processing, by which is verified the existence of links between two or more variables, it can determine the need for inclusion of certain factors in the regression equation and estimate the resulting regression equation to meet the identified constraints (using the coefficient of determination). The coefficient of determination is a kind of measure of a random variable depending on many others. For the purpose of determining the value of oil and gas rent in execution of monetary policy we have to point the factors which may be significant in the future equation of regression on the examples of Russia and Norway (Table 3.1, Table 3.2). Table 3.1 — Factors for Russia Nominal Oil and gas rent Real effective Inflation Year interest per capita, exchange rate, rate, CPI rate thousands US$ 2010 = 100 2000 950.00 35.16 20.78 0.36 53.05 2001 1000.00 19.38 21.46 0.38 62.37 2002 1050.00 15.82 15.79 0.37 65.14 2003 1120.00 9.12 13.68 0.48 67.29 2004 1200.00 8.29 10.86 0.70 72.52 2005 1280.00 8.11 12.68 0.92 79.41 2006 1390.00 6.98 9.69 1.19 87.28 2007 1500.00 6.72 8.99 1.25 92.04 Russia 2008 1580.00 7.52 14.11 1.74 98.35 2009 1460.00 9.87 11.67 1.04 91.73 2010 1520.00 7.83 6.84 1.20 100.00 2011 1590.00 8.06 8.43 1.93 104.91 2012 1650.00 8.15 5.08 2.07 106.49 2013 1670.00 7.33 6.78 1.91 108.40 2014 1680.00 8.46 7.81 1.73 99.21 2015 1630.00 10.89 15.53 0.88 81.90 Sources: World Bank, Central Bank of Russian Federation, Trading Economies, OECD Stata Real GDP, billion US$ 29 Table 3.2 — Factors for Norway Nominal Inflation Year interest rate, CPI rate 2000 367.06 6.22 3,09 2001 374.71 6.24 3,02 2002 380.10 6.38 1,29 2003 383.60 5.05 2,48 2004 398.78 4.37 0,47 2005 409.25 3.75 1,52 2006 419.05 4.08 2,33 2007 431.33 4.77 0,73 Norway 2008 432.99 4.46 3,77 2009 425.96 4.00 2,17 2010 428.52 3.53 2,40 2011 432.68 3.14 1,30 2012 444.57 2.10 0,71 2013 449.01 2.58 2,13 2014 457.63 2.52 2,03 2015 465.00 1.57 2,17 Sources: World Bank, FRED, Trading Economies, OECD Stata Real GDP, billions US$ Oil and gas rent per capita, thousands US$ 4.37 3.60 3.41 4.24 5.44 7.55 8.66 8.27 11.23 6.46 6.62 9.69 9.82 8.50 8.64 9.97 Real effective exchange rate, 2010 = 100 87,69 90,73 98,47 97,30 93,70 97,32 97,20 97,69 97,75 95,20 100,00 100,58 100,27 98,90 94,03 86,26 In the full list of countries there are Russia, Azerbaijan, Algeria, Angola, Brunei, Venezuela, Iraq, Iran, Kazakhstan, Qatar, Kuwait, Libya, Nigeria, Norway, UAE, Oman, Saudi Arabia, Trinidad and Tobago, Mexico, Equatorial Guinea. This list of countries was chosen for investigation, because in these countries Oil and Gas rent per capita takes the biggest share in the total GDP per capita. Share of the total Oil and Gas rent in total GDP is also very high. The time period of 15 years is chosen for the analysis of monetary policies in hydrocarbonexporting countries. There are following factors in the model: 1. Real GDP – is an inflation-adjusted measure that reflects the value of all goods and services produced by an economy in a given year, expressed in base-year prices. 2. Nominal interest rate - refers to the interest rate before taking inflation into account. 3. Inflation rate - the rate at which the general level of prices for goods and services is rising and, consequently, the purchasing power of currency is falling. The aggregate index is taken for each year. 4. Oil and gas rent per capita - product of unit rents from oil extraction and production quantity. World Bank staff estimates rent using data from GEM Commodities database, IMF World Economic Outlook, International Energy Agency, Organization of the Petroleum Exporting Countries, United Nation's Monthly Bulletin of Statistics, BP and IPE. 30 The formulas are: Rents = Unit Rents * Production Unit Rents = Unit Price – Unit Cost 5) Real effective exchange rate - is the weighted average of a country's currency relative to an index or basket of other major currencies, adjusted for the effects of inflation. In the Figure 3.1 we see a share of Oil and gas rent per capita in total GDP per capita in chosen countries. In such countries as Kuwait, Saudi Arabia, Libya, Oman, Iraq and Angola oil and gas rent takes a half of total GDP per capita. Especially, for Middle-East countries oil and gas rent plays an important role. For example, in the USA share of the oil and gas rent per capita in total GDP per capita is about 0,3%, that is absolutely insignificant. It’s important to notice, that the majority of countries in the list are developing countries. This fact says that, perhaps, the oil and gas rent has an influence on such macro indexes as interest rate. Nigeria Angola Iraq Algeria Azerbaijan Iran Mexico Kazakhstan Venezuela Libya Russia Trinidad and Tobago Oman Saudi Arabia Equatiorial Guinea UAE Brunei Kuwait Qatar Norway 15.3% 41.3% 60.6% 22.7% 37.3% 23.5% 6.4% 18.7% 15.2% 55.0% 13.8% Oil and Gas rent per capita 19.0% 55.0% 47.5% 23.5% 26.2% 24.0% 56.7% 21.4% 9.7% 0.00 20000.00 40000.00 60000.00 80000.00 100000.00120000.00 Figure 3.1 — Share of Oil and gas rent per capita in total GDP per capita, year 2012 Source: World bank Starting with the construction of the analysis there is the basic multivariate model that shows the link between the interest rate and all the factors that may influence this rate. 31 The model takes the following form: Iratejt = β0jt + β1Iratejt-1 + β2GDPjt + β3Rentjt + β4REERjt + β5Inflationjt + εjt (19) Here: Iratejt — Nominal interest rate (%) GDPjt — Real GDP (in billions of US dollars) Rentjt — Oil and gas rent per capita (in thousands of US dollars) REERjt — Real effective exchange rate (2010 = 100) Inflationjt — Inflation rate, consumer prices (%) All variables will be taken in natural logarithms. This equation is a Monetary Policy Rule taking into account the interest rate smoothing case, the influence of exchange rate, besides the traditional GDP and inflation rate. When the Central Bank chooses the interest rate, it is able to influence aggregate demand through the IS curve. Taylor’s rule is a proposed guideline for how central banks should alter interest rates in response to changes in economic conditions. Taylor’s rule, introduced by economist John Taylor, was established to adjust and set prudent rates for the short-term stabilization of the economy, while still maintaining long-term growth. Taylor's rule has the set of modifications and any of rules including two variables (GDP gap and Inflation), has a name of Taylor. Supporters of the Taylor's rule attribute it a set of advantages. First, it has stabilization properties, i.e. the rule minimizes cyclic oscillations in economy. Secondly, it very simple and to the central bank it is possible to put it into practice. In the third, ex post it’s is easy to check its efficiency in practice. In the fourth, Taylor's Rule thanks to the simplicity serves as the fine communication medium between the monetary authorities and the private sector, informing society on monetary policy implementation methods. In the fifth, in the perspective version of the Taylor's rule the expected inflation as the trigger of response of the central bank is used, and according to the concept of the effective market (efficient market concept) Taylor's rule reflect all available economic information. So, on the example of Russia and Norway the final data representation will be the following (Table 3.3). Full list of countries and data you can see in the Appendix 1. 32 Table 3.3 — Representation of the data for analyzing Year GDPjt Iratejt Inflationjt Rentjt REERjt 2000 950.00 35.16 20.78 0.36 53.05 2001 1000.00 19.38 21.46 0.38 62.37 2002 1050.00 15.82 15.79 0.37 65.14 2003 1120.00 9.12 13.68 0.48 67.29 2004 1200.00 8.29 10.86 0.70 72.52 2005 1280.00 8.11 12.68 0.92 79.41 2006 1390.00 6.98 9.69 1.19 87.28 2007 1500.00 6.72 8.99 1.25 92.04 Russia 2008 1580.00 7.52 14.11 1.74 98.35 2009 1460.00 9.87 11.67 1.04 91.73 2010 1520.00 7.83 6.84 1.20 100.00 2011 1590.00 8.06 8.43 1.93 104.91 2012 1650.00 8.15 5.08 2.07 106.49 2013 1670.00 7.33 6.78 1.91 108.40 2014 1680.00 8.46 7.81 1.73 99.21 2015 1630.00 10.89 15.53 0.88 81.90 2000 367.06 6.22 3,09 4.37 87,69 2001 374.71 6.24 3,02 3.60 90,73 2002 380.10 6.38 1,29 3.41 98,47 2003 383.60 5.05 2,48 4.24 97,30 2004 398.78 4.37 0,47 5.44 93,70 2005 409.25 3.75 1,52 7.55 97,32 2006 419.05 4.08 2,33 8.66 97,20 2007 431.33 4.77 0,73 8.27 97,69 Norway 2008 432.99 4.46 3,77 11.23 97,75 2009 425.96 4.00 2,17 6.46 95,20 2010 428.52 3.53 2,40 6.62 100,00 2011 432.68 3.14 1,30 9.69 100,58 2012 444.57 2.10 0,71 9.82 100,27 2013 449.01 2.58 2,13 8.50 98,90 2014 457.63 2.52 2,03 8.64 94,03 2015 465.00 1.57 2,17 9.97 86,26 Source: World Bank, Central Bank of Russian Federation, Trading Economies, OECD Stata i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 2 The panel data analysis will be done in the program Stata. There it is possible to use some commands for the empirical estimation of different types of models: regression with fixed effects and regression with random effects. First of all, we have to give an i-number to every country in the list with help of the command: egen countrynum=group(Country) Then we have to check the balance of the parameters Country and Year with following commands: 33 xtset countrynum xtset countrynum Year, yearly These operations showed that our panel is balanced As we use natural logarithms, then we should generate them with list of commands: gen ln_Irate=ln(Irate) gen ln_Irate1=ln(Irate1) gen ln_GDP=ln(GDP) gen ln_Rent=ln(Rent) gen ln_REER=ln(REER) gen ln_Inflation=ln(Inflation) Now it’s possible to make the analysis of models with fixed effects and random effects with the list of commands: 1) For the model with one fixed effect xtreg ln_Irate ln_Irate1 ln_GDP ln_Rent ln_REER ln_Inflation, fe 2) For the model with random effects xtreg ln_Irate ln_Irate1 ln_GDP ln_Rent ln_REER ln_Inflation, re Then, it is possible to make Hausman test to evaluate the models with fixed and random effects using the following command: quietly xtreg ln_Irate ln_Irate1 ln_GDP ln_Rent ln_REER ln_Inflation, fe estimates store fix quietly xtreg ln_Irate ln_Irate1 ln_GDP ln_Rent ln_REER ln_Inflation, re estimates store ran hausman fix ran 3.2. Influence of the factors in the regression In this research the following model which is based on "Taylor's rule" has been constructed. It is one of rules of monetary policy which defines how to change an interest rate in case of change of indicators of GDP, inflation and other economic conditions. This model has included also an oil and gas rent to define extent of its influence on change of an interest rate. The studied model is model of panel data for 20 mainly developing countries, data on which are submitted from 2000 to 2015. In this work it is supposed that rent per capita, its change, influences formation of an interest rate. As factors the gap of GDP (in this case the natural logarithm of real GDP has been used), the rate of inflation, an interest rate for the previous period and real effective exchange rate of national 34 currency have also been chosen. It is worth noticing that the gap of GDP and the rate of inflation are important parameters which usually are always present at various variations of this model. The equation can be written as follow: Iratejt = β0jt + β1Iratejt-1 + β2GDPjt + β3Rentjt + β4REERjt + β5Inflationjt + εjt (19) Here: Iratejt — Nominal interest rate (%) GDPjt — Real GDP (in billions of US dollars) Rentjt — Oil and gas rent per capita (in thousands of US dollars) REERjt — Real effective exchange rate (2010 = 100) Inflationjt — Inflation rate, consumer prices (%) All sizes will be taken in natural logarithms, with the purpose to avoid a stationarity problem. Also, the logarithmic form should be used where there is a basis to assume constancy of elasticity. In other words, in this work there is a purpose to prove elasticity of an interest rate on oil and gas rent therefore use of natural logarithms is quite justified. In regression model with the fixed effects (Table 3.4) all factors, except for real GDP, were statistically significant as p-value < 0,05. The F-test < 0,05 that says about consistency of the model. Table 3.4 — Panel model with fixed effects 20 countries (2000-2015, balanced panel, 320 observations) β1 0,6049*** β2 -0,0446 β3 -0,1436*** β4 0,1848** β5 0,0978*** F-statistics F(5, 279) = 113,69 [0.0000] R^2 67,8% ***, **, * - Significance at 1%, 5%, 10% levels The variable Rent has a negative impact on formation of an interest rate (β3 = -0,1436). Remaining factors have a positive impact. The greatest influence, obviously, has a value of an interest rate for the previous period (β1 = 0,6049). 35 In regression model with random effects (Table 3.5) the GDP and REER variables are statistically insignificant as P-value > 0,05. Table 3.5 — Panel model with random effects 20 countries (2000-2015, balanced panel, 320 observations) β1 0,8170*** β2 -0,0196 β3 -0,0505*** β4 0,0776 β5 0,0749*** Wald 2489,36 R^2 65,7% ***, **, * - Significance at 1%, 5%, 10% levels In this model Rent is statistically significant with the negative influence on dependent variable (β3 = -0,0505) Expression of corr (u_i, X) = 0 (assumed) reflects the important hypothesis which is the cornerstone of the model. Regressors shall be uncorrelated with unobservable random effects. Otherwise estimation of the model will be inconsistent. Further the test of Hausman which is intended to evaluate model with the fixed effects and model with random effects and to select the most suitable was done (Table 3.6). Table 3.6 — Hausman test Coefficients (b-B) Sqrt (diag (V_b – (b) fix B (ran) Difference V_B)) S.E. Irate (t-1) 0,6049 0,8170 -0,2121 0,0294 GDP -0,0446 -0,0196 -0,0250 0,0774 Rent -0,1436 -0,0505 -0,0931 0,0487 REER 0,1848 0,0776 0,1072 0,0403 Inflation 0,0978 0,0749 0,0228 0,0132 b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(5) = 58,32 Prob>chi2 = 0.0000 36 In the test the following main hypothesis is checked: H0: corr (ui , Xit) = 0 or ui – can be considered as random effects; at alternative HA: corr (αi , Xit) ≠ 0 or ui – should be considered as fixed effects As p-level < 0,01, the main hypothesis is rejected. The received results allow to make a conclusion that in our case the model with the fixed individual effects approaches. It also should have been expected as for the research the concrete countries were chosen, which weren't changed year by year. 3.3. Analysis of the results of the panel data modeling In the model with fixed effects GDP was an insignificant factor. In the model with random effects GDP and REER were insignificant factors. Results showed that the most suitable model is the model with the fixed effects. The oil and gas rent in this model has a negative impact on formation of an interest rate, coefficient β3. The coefficient of determination R^2 is equal to 67, 8% and shows what share of a change of Y is considered in the model and explained by change of variables. Table 3.7 — Comparison of two models. Model with fixed effects Model with random effects β1 0,6049*** 0,8170*** β2 -0,0446 -0,0196 β3 -0,1436*** -0,0505*** β4 0,1848** 0,0776 β5 0,0978*** 0,0749*** R^2 67, 8% 65, 7% ***, **, * - Significance at 1%, 5%, 10% levels It had been found that nominal interest rate depends on the oil and gas rent per capita. This is being cleared out as β3 shows that 1% increase in oil and gas rent per capita giving 0.14% decrease in nominal interest rate Moreover, one can see the coefficient of Real effective exchange rate β4 is positive and equals 0,18 . You can also see that β5 is positive and equals 0,09. One can see clearly the significant role oil and gas rent in setting nominal interest rate. As the oil and gas rent grows the nominal interest rate go down and vice versa. No significant impact of real GDP. 37 It’s important to mention, that Taylor’s rule works not well for the countries where nominal interest rate is very low (for example, equals 0 like in Japan), but in countries in this work interest rates are quite high, so the using of Taylor’s rule is reasonable. The influence of inflation on interest rate is absolutely obvious: the higher inflation the higher interest rate. Real effective exchange rate plays a role of additional factor which shows the real strength of national currency – whether overvalued it or not. And if the currency becomes strong, the interest rate goes up. 38 CONCLUSION In 2000 — 2012 there is sharp increase of the balance of payments due to increase in prices for oil and gas resources. As a result actual effective ruble exchange rate has grown. The central bank of the Russian Federation has chosen policy of partial control of national currency, increasing gold and foreign exchange reserves with help of interventions in the foreign exchange market and softening a monetary policy. As a result, increase of import and decrease of competitiveness of the Russian economy became the main consequence of this policy. The main instrument of control of negative influence of the strong balance of payments is the policy of the government on saving of the part of the oil and gas income in Reserve fund and National welfare fund. Level of savings for last period was insufficient because of continuous revision and mitigation of criteria of reserve funds’ formation. Excess growth of the money supply became an additional consequence of policy of the Central Bank of the Russian Federation and government. They mitigate the monetary policy that didn’t allow to reach target indicators of inflation and to lower credit rates in the market. Saving of part of the income in reserve funds carries out the stabilizing role both for macroeconomic indicators, and for the budgetary system. But even after that the increase of money in the economy was excessive and additional source to inflation. Growth of quantity of money in economy much more exceeded the volume which it could accept. For the entire period of 2000 — 2012, despite savings in reserve funds, the quantity of money in economy never decreased. At the same time oil and gas rent must be invested into institutes, human capital, science, social sphere. High oil and gas prices keep rents high despite flagging output. And as long as rents remain extraordinarily high, political actors continue to be consumed by the struggle for control of distribution of rents. In works of various researchers it is possible to see that the oil and gas rent plays an important role in economy and even policy of the state. Rab Arezki and Markus Brückner believe that increase in an oil rent promotes corruption growth, deterioration in a political situation, at the same time leads to significant increase in civil liberties. Adam Ondo and Zachary Taylor claim that mechanisms of increase in capital outflow at increase in a share of a rent in GDP are corruption, economic and political instability. The corrupted power controls oil-extracting sector that gives them the chance illegally to take out profit from the country. Economic stability of the country suffers because it actually becomes dependent on the only resource – oil. It can lead to devaluation of currency that makes citizens and companies to save and 39 invest the capital in other countries. It means that direct foreign investments from oil-producing countries increase, thereby being added to capital outflow size. Professor Suslov in the research says that the rent gives a strong impulse to development of economy. The rent can influence quality of institutes: to improve them or to brake institutional development. On average, each dollar created in oil and gas sector of average economy adds 1,86 dollars to GDP without the interactive member which corrects this communication for the concrete countries. The rent can be used less effectively. Despite of that fact, that oil and gas often are generally exported the rent concluded in them can be used for the benefit of the state and society. But at bad investment climate such phenomenon as flight of the capital is shown, and a part of a rent can be taken out and invested abroad. Besides, in economies with bad institutes the most part of a rent can go for non-productive consumption of elite. Subsidizing of inefficient sectors of economy - one more factor of decrease in efficiency of use of a rent. For example, in Russia via the mechanism of cut prices for energy and tariffs for production services a considerable part of the Russian rent goes on support of the inefficient industrial enterprises and other sectors of economy which differently would be unprofitable. Here a problem not only that rent subsidies don't give effect of growth, but also that at the subsidized subjects incentives to investment into new technologies decrease. As a result the effectiveness ratio of use of a rent in Russia is not 2,28, as in Norway, but only 1,704 – lower than an average in the world. In this research it has been shown that in the majority of the countries participating in the analysis, the share of oil and gas rent per capita in the general share of GDP per capita in 2012 occupied from 6 to 60% that is , naturally, a lot. In six countries this share reaches 50% and more. Obviously, it can't but have impact on the economy of the countries. On the basis of models of panel data with fixed effects and random effects the econometric analysis has been done. Results have shown that the most preferable is the FE-model in which the oil and gas rent has a negative impact on formation of an interest rate. The coefficient at a regressor 0,14 says that at change of size of oil and gas a rent per capita by 1%, the nominal interest rate is corrected approximately by 0,14% in the opposite direction. The coefficient seems low, but if to consider that in many countries the oil and gas rent per capita increased even by 50% to previous year, then its influence on formation of an interest rate becomes already more considerable. Real GDP didn't justify the influence on dependent variable. The real effective exchange rate and inflation have an impact on an interest rate with coefficients 0,18 and 0,09 respectively. Their influence in this model is regarded as the positive. For the analysis the countries where a rent share in GDP and in GDP per capita are the highest were selected. These countries are in the top 30 of the countries by oil and gas production. Such large 40 players as the USA weren't taken because of extremely low share of a rent in GDP. For comparison, in the United States, the share of an oil and gas rent per capita in the general share of GDP per capita is only 0,3%. This work is useful that it explains the degree of influence of an oil and gas rent on monetary policy of the hydrocarbon-exporting countries, namely on formation of an interest rate. Increase in oil and gas rent per capita leads to gradual decrease in an interest rate that positively influences an economic environment within the country, providing the population and the companies with the cheap credits. Also, it positively influences unemployment rate, leaving it at rather low level even in comparison with the European developed countries. The exception is only made by the countries enduring political shocks (wars, civil revolutions), such as Libya, Iran, Iraq. However, a low interest rate negatively influences investment. In addition, a low interest rate may cause increase in prices for the real estate because of increase in demand. 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