Abstract This paper investigates the relationship between the RUB/USD exchange rate and oil prices. I apply a combination of time-varying cointegration techniques to the data of 1999–2017 to show how this relation evolved dynamically. When the Ruble was not decoupled from oil prices by the efforts of the Central Bank, the pass-through continuously grew over time, both in the long and the short run, substantially increasing during the oil price collapse of 2014. The results further indicate that the Ruble might still be overvalued, implying possible further depreciations, should oil prices remain low.