Email this article The Impact of changes in overnight interest rates on the Moscow Exchange industry indices
- Authors: Plachinda K.D.1,2
-
Affiliations:
- Lomonosov Moscow State University
- PJSC “Credit Bank of Moscow”
- Issue: No 2 (2025)
- Pages: 120-143
- Section: Finance
- URL: https://ogarev-online.ru/2073-6487/article/view/296991
- DOI: https://doi.org/10.52180/2073-6487_2025_2_120_143
- EDN: https://elibrary.ru/OKWWLJ
- ID: 296991
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Abstract
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.
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About the authors
Konstantin D. Plachinda
Lomonosov Moscow State University; PJSC “Credit Bank of Moscow”
Author for correspondence.
Email: plachinda.kd@gmail.com
master’s student at the Faculty of Economics; Expert at the Banking Book Interest Rate Risk Management Department
Russian Federation, MoscowReferences
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