Factor Model of Definition and Forecasting the Exchange Rate of the Ruble

The currency segment of the financial market plays a huge role in modern international economic relations. The currency rate determines the economic development of the country; it influences foreign trade, production volumes and many other macro and microeconomic phenomena. To date, it is very difficult to identify the most significant factors that determine the dynamics of the national currency. For many years, experienced economists have been trying to create econometric models and methods, using fundamental and technical analysis, in accordance with which the exchange rate is being formed. The purpose of this study is to build an econometric model that determines and predicts the exchange rate of the national currency. To achieve this goal, we have studied the structure of the financial market, the fundamental analysis and the factors that affect the behavior of the exchange rate. In addition, the paper presents the dynamics of the exchange rate of the ruble for 2000-2015, described the necessary economic indicators for constructing a regression model of the time-series with the aim of confirming or refuting the hypothesis of the study on the dependence of the exchange rate dynamics on macroeconomic indicators. As a result of the study, the necessary calculations were made, a regression model of the time series was constructed, and fundamental factors were evaluated for significance. The ARIMA model identified four macroeconomic regressors that have the greatest impact on the behavior of the national currency rate - the GDP indicators, the money supply, the refinancing rate and the country's imports. However, the tests also indicated a close relationship between the selected sample of data, which suggests the need to use all macro and microeconomic indicators in the analysis of the foreign exchange market and the dynamics of the exchange rate, since they have an aggregate role in determining and forecasting the exchange rate.