Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/334115 
Year of Publication: 
2024
Citation: 
[Journal:] Asian Journal of Economics and Banking (AJEB) [ISSN:] 2633-7991 [Volume:] 8 [Issue:] 1 [Year:] 2024 [Pages:] 83-99
Publisher: 
Emerald, Leeds
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.
Subjects: 
Asymmetric effect
Bond market
Capital market dynamics
Exchange rate
Stock market
JEL: 
C32
F31
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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