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Bid-ask Spread Determinants of Commercial Banks

Student: Vyacheslav Dolgov

Supervisor: Victoria V. Dobrynskaya

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2016

This paper tries to make use of the asymmetry of the retail bid-ask spreads of Russian banks in relation to the interbank market prices for foreign currency. Models of exchange rate prediction based on the proportion of the currency spread that is above the market price appeared to be either insignificant or less profitable than simpler strategies for one bank and rather profitable for another one considered in this paper.

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