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Identification of the main factors determining the dynamics of the Russian foreign exchange market

Student: Andrey Malkov

Supervisor: Nikolay Pilnik

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Year of Graduation: 2017

The paper analyzes the dynamics of the foreign exchange market of Russia. An overview of the professional literature on this topic has been made, both world experience and published articles in Russian peer-reviewed scientific journals are reviewed. A reliable causal relationship has been established between the oil prices being formed in the world market and the dollar-ruble exchange rate. The characteristic of a direction of an economic policy concerning the exchange rate in Russia from the beginning of 90th years is studied and given. Next, a model was constructed for daily, weekly and monthly data for the periods from 2012 to 2017, 2008 to and from 2012 to 2017, respectively. Data were used on the price of Brent crude oil and the Russian foreign exchange market, primarily the dollar to ruble rate, as well as the euro exchange rate and the euro / dollar pair The calculations showed that oil prices have a negative impact on the exchange rate. The overall effect of this was shown with the help of the transfer effect, which clearly demonstrates that in the case of daily quotes, the exchange rate response to the change in the oil price lasts for 5 days, on weekly data, the entire effect is realized within 3 weeks, on monthly ones - for 1 month. At the same time, in all specifications, the coefficients at the euro exchange rate and the euro / dollar pair were not significant. It should be noted that despite the unambiguous relationship between oil prices and the currency market, the changes in oil prices themselves are caused by geopolitical events on the world stage, so it is extremely difficult to predict.

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