Event Study Analysis of Political and Economical Factors Influencing Bank Notes Exchange Rate Dynamics in the First Third of the 19th c.

Abstract

The article studies Russian ruble bank notes dynamics in the first half of the 19th century. In particular, it addresses political and economical factors for this dynamics and empirically evaluates the influence of important military, political and economical events on bank notes exchange rate. The author analyzes the direction and the intensity of this influence during the period which is up to three months beginning with the initial start of these factors.  To form time series of the bank notes exchange rate from 1800 to 1839 the article examines Moskovskie Vedomosti that published Moscow stock exchange rates schedules as well as Sankt-Peterburzhskie Vedomosti and Kommercheskaya Gazeta which published Saint Petersburg stock exchange rates schedules. Time series analysis of daily exchange rates has shown that they were more sensitive to endogenous and economical events rather than exogenous and political ones. The study has found out that an exchange rate is more sensitive to internal political and economical reasons rather than external political and political ones. For instance, the sensitivity to cholera was stronger than that to wars. One sees that stock exchange demonstrated more sensitivity to events hindering foreign trade and uncertainty as far as foreign policy is concerned. In addition, it has been found out that Moscow exchange rate was much more sensitive than Saint Petersburg one. However, the later demonstrated longer sensitivity to events. .