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UNOBSERVABLE CHARACTERISTICS OF CURRENCY AND STOCK MARKETS SYSTEM IN RUSSIA
Abstract
Objective: To describe the dynamics of the joined currency and stock markets system in Russia and study the behavior of significant unobservable components of system state, in particular the dollar investment in the Russian currency. System structural model is proposed in which the main short-term control variable is the price of oil and when investing in currency rubles mass is taken from the stock market and vice versa. We use logarithms to obtain a linear relationship between due output vector and state vector. The Kalman filter uses observable quantities: the USD/RUR rate and the MICEX index,system operating parameters are estimated by minimizing the prediction error in observable variables. System parameters economic interpretation is given. Numerical calculations are carried out based on daily data from 1 November 2015 to 20 December 2015 and lead to following results. At decrease price of oil by $ 1 (~ 2%) on the same day rubles mass invested in dollars increased by 1%, 2 days later by another 0.5%. Investing of dollars, a day later decreases a few, then 2 days later increases significantly (about 1%). With increasing oil prices reverse processes goes. Somewhat unexpected result - dollars investments growth (in total) for the period of increasing its rate. With that, inflow/outflow of dollars is behind growth / decline of its rate approximately 6 days. Discusses the relationship of found results with the indicator Accumulation/Distribution of pair USD/RUR on the FOREX market. It is interesting to reveal from estimated parameters that rubles investments into dollars is about 30% of the capitalization of the MICEX index. Found results can be used in predicting and managing a national economy.
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