Assessment of the sanctions pressure impact on speculative activity in the currency market of futures contracts
Alexey E. Minin - Postgraduate Student. Moscow Financial and Industrial University “Synergy”
Abstract
The article deals with the econometric assessment of the impact of sanctions pressure and macroeconomic factors on the activity of participants in the USD/RUB market of futures contracts. The study aims to identify and quantitatively compare differences in the behaviour of natural and juridical persons from 2020 to 2025. Methodologically, the research rests on the multiple linear regression model (OLS) constructed on the basis of weekly data. The information base includes data from the Moscow Exchange service (FUTOI) on open interest, as well as data from the Bank of Russia on the key rate and inflation. The main result is a statistical confirmation of the multidirectional reaction of market participants. The paper proves that the imposition of sanctions has become the dominant factor triggering a sharp increase in the volume of positions held by juridical persons. At the same time, the activity of natural persons does not show a significant reaction to sanctions, but demonstrates a negative dependence on the key rate level. The findings highlight fundamental differences in the drivers of professional and retail investor behaviour, which is of high practical significance for analysing and forecasting market processes.
Keywords: market of futures contracts; USD/RUB; sanctions; open interest; mathematical modelling; investor behaviour; key rate.
For citation: Minin A. E. Assessment of the sanctions pressure impact on speculative activity in the currency market of futures contracts. Digital Models and Solutions. 2025. Vol. 4, no. 3, pp. 43–54. DOI: 10.29141/2949-477X-2025-4-3-3. EDN: LRDCFP.
