The Bulletin of the Institute of Economics of the Russian Academy of Sciences № 2/2025.  Finance.

Konstantin D. Plachinda

Master’s student at the Faculty of Economics, Lomonosov Moscow State University, Expert at the Banking Book Interest Rate Risk Management Department, PJSC “Credit Bank of Moscow”, Moscow, Russia

THE IMPACT OF CHANGES IN OVERNIGHT INTEREST RATES ON THE MOSCOW EXCHANGE INDUSTRY INDICES

120-143

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The study evaluates the impact of changes in the overnight RUONIA rate on the dynamics of the Moscow Exchange industry total return indices. The analysis included index quotations, calculation of implied in interest rate swaps RUONIA rates for T+1, and the development of predictive models using machine learning, followed by their backtesting. The results show that the models correctly predict the direction of index changes in more than 50% of cases. A connection between changes in the implied RUONIA rate and index dynamics was identified. This confirms that the RUONIA rate and its forecast can be used to improve the prediction of index price movements, optimizing portfolio theory and investor strategies.

Keywords: monetary policy, monetary policy, key rate, stocks, stock market, sectoral indices, investments.

JEL: G11, G15, G17, G18

EDN: OKWWLJ

DOI: https://doi.org/10.52180/2073-6487_2025_2_120_143

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Manuscript submission date: 08.01.2025

Manuscript acceptance date: 16.04.2025

For citation:

Plachinda K.D. The Impact of changes in overnight interest rates on the Moscow Exchange industry indices // Vestnik Instituta Ekonomiki Rossiyskoy Akademii Nauk. 2025. № 2. Pp. 120-143. (In Russ.). https://doi.org/10.52180/2073-6487_2025_2_120_143  EDN: OKWWLJ

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