Modelling the Rouble Exchange Rate Dynamics with the Google Search Volume Index

Student: Chernyshova Iana

Faculty: International College of Economics and Finance

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

Final Grade: 9

Year of Graduation: 2019

This work is devoted to modelling ruble exchange rate dynamics under floating exchange rate regime. The aim of the work is investigation of the role of investors’ attention expressed as Google Search Volume Index in determination of changes in the USD/RUB weekly log-returns. The time period under consideration is from November 10, 2014 to December 31, 2018, it starts from the official announcement about the switch to the floating exchange rate regime in Russia. As a result of the analysis an ARMAX(0,0) – GARCH(1,1) model with a set of control variables was estimated. From the results of estimation, it was concluded that the coefficient of the change of Google SVI calculated for the term “USD RUB” is significant while controlling for other factors influencing the exchange rate dynamics. Moreover, it was found that the increase of attention to the USD/RUB currency pair expressed as the positive change of Google SVI leads to an improvement in the nominal value of ruble.

Full text (added June 13, 2019)

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