Under double gravitation: the rouble between the dollar and the euro

The exchange rates of currencies fluctuate under the influence of the relevant national authorities (mostly also for those currencies for which "free float" is the formal system), and under that of (other) participants of currency markets. The question asked in our research is what regularities can be observed in the exchange rates of the currencies of some countries of the former Soviet Union and central Europe:

1. Does the fluctuation of the ECU/EURO exchange rate vis-a-vis the USD influence their exchange rate fluctuations vis-a-vis the USD?

2. Does the opposite of the above told hold: does the fluctuation of the USD exchange rate vis-a-vis the ECU/EURO influence their exchange rate fluctuations vis-a-vis the ECU/EURO?

3. Do exchange rate clusters (currencies fluctuating vis-a-vis one, the other or both big currencies together, in a more or less parallel way) emerge among these countries?

Our initial hypothesis was that among FSU countries we can find a cluster. This seems to be supported by our calculations - with the only surprise being that Latvia, the only Baltic country included in our sample, does not seem to be related to this cluster - not even a little (we did not expect more than a little, and let us remark: in our calculations we have tried to exclude the effect of the rouble's maxi-devaluation following August 1998). The observed Russian-Kazakh-Ukrainian currency cluster obviously reflects relatively important trade relations between these countries and also market perception of their related risks.
More strange is the central European cluster that we could observe: Hungary, Slovakia, the Czech Republic, Poland and Romania (with the latter's belonging to the group being less obvious) are not particularly strongly integrated by mutual trade relations, so the market perception of their related risks may play here a more important role.

As concerns the connections of exchange rate fluctuations to the two main international currencies, the ECU/EURO orientation of central European currencies is important but not equally for all of them, and the USD's influence is not negligible. More interesting is the fact that the rouble is less USD-oriented, and somewhat more ECU/EURO-oriented than are the Kazakh tenge and the Ukrainian hrivnya.