Evaluation of the Relationship Between Russian Stock Indices and Foreign Exchange Rates

In 2022, amid the start of the special operation, the introduction of partial mobilization and economic sanctions by the US and the EU, the Russian stock market experienced a sharp shock, with the MOEX index hitting a 5-year low at the end of September 2022. Despite speculation that the market would continue to fall or remain at a low level, Russian stocks stabilized in October of that year, and 2023 marked a steady rise in the stock market. At the same time, dollar and euro exchange rates against the ruble also grew steadily in 2023 and, in our opinion, had similar dynamics to the MOEX index: periods of rise, stabilization and decline coincided for both parameters. The research question of this paper is whether the relationship between the MOEX index and the dollar exchange rate changed after the start of the special operation? As part of the study, we tested the above variables for structural breaks and cointegration, as well as used VAR and VECM time series analysis models and concluded that before the special operation, the dollar exchange rate better explained the MOEX dynamics; at the same time, cointegration between the series is observed only after the special operation, which suggests the formation of an economic mechanism that has the same positive impact on both series in the long run.