Empirical Research of Cash Currency Buy and Sell Rates in Russi

V. L. Okulov () and P. G. Savenkov ()

Economics of Contemporary Russia, issue 2

Abstract: This article is devoted to the empirical analysis of cash currency buy- and sell-rates (dollars, euros) by Russian commercial banks. The analysis showed that the spreads between sell rate and buy rate essentially depend on the situation on the foreign exchange market. Under a relative stability of exchange rates the spreads remain unchanged and determined by the costs of cash currency transactions. Under the sharp exchange rate fluctuations the relative spreads are directly proportional to the day-to-day volatility of the exchange rate. We analyze the buy and sell rates in 32 banks. The observed spreads are compared with calculated ones computed under the hypothesis of information asymmetry of market participants.

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