Hotly debated. Same with image.. does having images on a website improve its rankings?
The answer is yes and no. I wouldn't say there is a DIRECT correlation (i.e. simply having a or <video> object on your page won't increase rankings). However, if you have properly optimized the image/video, then there is addition relevance and context that gets added to the page that would help with rankings.</video>
At an indirect level, visitor would be less likely to bounce back to serps, spend more time on site, have a better user experience and be more likely to link to the website.