The Impact of Carry Trade on Exchange Rates in Russian Market

Student: Rumyantsev Maxim

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2020

The work attempts to determine the impact of carry trade activity on the exchange rate of Russian ruble. The relationship between carry trade and volatility is shown; existing data suggest that the positive return of carry trade-strategies is associated with low exchange rate volatility. Based on the analysis of data collected in Russian market, a regression analysis was performed with assistance of various carry trade proxies. Using the indicator of economic feasibility of a carry trade, a statistically significant positive relationship was found between carry trade activity and returns of Russian ruble.

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