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1 – 2 of 2Billy Prananta and Constantinos Alexiou
The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and…
Abstract
Purpose
The authors explore the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic.
Design/methodology/approach
The authors employ a non-linear autoregressive distributed lag (NARDL) methodology using daily data of the Indonesian economy over the period 2012–2021.
Findings
Whilst, over the full sample period, the authors find no cointegration between the exchange rate, the 10-year bond yield and stock market, for the COVID-19 period, evidence of cointegration is present. Furthermore, the results suggest that asymmetric effects are evident both in the short as well as the long run.
Originality/value
To the best of the authors’ knowledge, this is the first time that the relationship between the exchange rate, bond yield and the stock market as well as the effect of capital market dynamics on the exchange rate before and during the COVID-19 pandemic has been explored in the case of the Indonesian economy.
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Keywords
The purpose of this stud is to analyze the financialization effect on oil prices.
Abstract
Purpose
The purpose of this stud is to analyze the financialization effect on oil prices.
Design/methodology/approach
This study applied the technique of multibreak point analysis with Bai and Perron test plus VAR methodology.
Findings
Findings revealed that there was no effect on oil prices.
Originality/value
To the best of the author’s knowledge, this is the first paper combining the multibreakpoint analysis with VAR for the period analyzed in the present work.
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