Analysis of the impact of the central bank’s key rate on the stock market index (IMOEX)

UDC 336.761
DOI: 10.36871/u.i.k.2025.04.01.006

Authors

Irina K. Mazur,
Sakhalin State University

Abstract

The assessment of the return on stock market assets in the CAPM (Capital Asset Pricing Model) is directly proportional to the covariance of asset and market returns and inversely proportional to the variance of market returns. In the model, market returns are assessed by the return on the stock index. Stock market returns are affected by many economic factors. Such economic factors include the key rate of the central bank, the inflation rate, economic growth, etc. In this regard, the question arises as to how well such factors are reflected in the index. The article analyzes the dependence of the values of the key rate of the Bank of Russia and the Moscow Exchange Index (IMOEX). The analysis was carried out on statistical data on the closing prices of the Moscow Exchange Index, using open sources. The influence of the inflation rate and negative random events on the correlation of the key rate and the stock index is shown. It is shown at what inflation levels the key rate most effectively regulates the dynamics of the financial market.

Keywords

stock index, central bank key rate, correlation, covariance, stock index variance, inflation rate, stock market, Moscow Exchange Index (IMOEX)