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This is because of the strain of realism throughout the novel which continually debunks the title character's fantasies and exaggerated love for adventure, which is typical of the older prose form known as the romance. (Think, for example, of the medieval Arthurian romances dealing with knights, beautiful ladies and great battles and monsters and so on.) Sancho Panza, Don Quixote's companion, is the embodiment of this strain of realism.
When the novel first developed as a distinct prose form about four hundred years ago it laid a new stress on everyday events and characters which has generally persisted to this day. Don Quixote was enormously influential throughout European literature in this shift towards realistic prose narratives.
In The Man who Invented Fiction, William Egginton argues that Don Quixote is the first modern novel because it's the first to explore a character's interiority and the way characters, such as Quixote and Sancho, transform through being in relationship with each other. If the romances that Don Quixote parodies and the satire that the book embraces (and transcends) both feature stock, one-dimensional characters, in Quixote Cervantes invents something remarkable, says Egginton, calling it "a new language ... fiction."
The remarkable innovations that make Quixote a modern novel are as follows: Not only do Cervantes' main characters have an interior life and grow through relationship with each other, Egginton argues that they draw us as readers into their own unique ways of seeing the world. In Quixote, in other words, Cervantes shifts from external character descriptions to actually letting us experience the world through various characters' eyes. And not only does Cervantes reveal to us different characters' points of view from the vantage point of their interiority, he shows how different characters can differently experience the same situation.
Finally, says Egginton, Cervantes also innovated in showing that characters play roles without necessarily believing them. That slippage between how a character is seen by the world and what is going on inside his or her mind, says Egginton, is essential to a character's ability to spring to life.
One might argue that Shakespeare and other Renaissance dramatists do the same thing at roughly the same time in drama (Hamlet surely springs to mind) and Montaigne with the essay, but Quixote represents an early and wildly popular attempt to create fully formed characters using prose in the context an imagined situation.
Before Cervantes' time, books weren't written like they are now. The idea of a long, fictional narrative was basically non-existent back then. Books were mainly written as historical narratives, philosophical treatises, scientific works, plays, or epic poems. The closest thing to a "novel" would have been something like the Iliad, or the Odyssey, or the Divine Comedy. But each of those was written in verse. Then along comes Don Quixote, which looks a lot like the fiction of Homer or Dante, but written in PROSE (non-verse). Don Quixote is considered the first modern novel because it was one of the first to contain a fictional narrative, written in prose.
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