Số 214+215_Tiếp theo | Tháng 01+02_Tiếp Theo
Tỷ giá hối đoái, lợi suất trái phiếu và thị trường chứng khoán: Bằng chứng phi tuyến tính của Indonesia trong giai đoạn COVID-19
Billy Prananta, Constantinos Alexiou
Tóm tắt:
Mục đích – Các tác giả khám phá mối quan hệ giữa tỷ giá hối đoái, lợi suất trái phiếu và thị trường chứng khoán cũng như ảnh hưởng của động lực thị trường vốn đến tỷ giá hối đoái trước và trong đại dịch COVID-19.
Thiết kế/phương pháp/cách tiếp cận – Các tác giả sử dụng phương pháp độ trễ phân phối tự hồi quy phi tuyến tính (NARDL) sử dụng dữ liệu hàng ngày của nền kinh tế Indonesia trong giai đoạn 2012–2021.
Những phát hiện mới – Trong khi, trong toàn bộ giai đoạn lấy mẫu, các tác giả không tìm thấy sự đồng liên kết giữa tỷ giá hối đoái, lãi suất trái phiếu kỳ hạn 10 năm và thị trường chứng khoán, đối với giai đoạn COVID-19, vẫn có bằng chứng về sự đồng liên kết. Hơn nữa, kết quả cho thấy tác động bất đối xứng thể hiện rõ ràng cả trong ngắn hạn cũng như dài hạn.
Tính mới / giá trị nguyên bản – Theo hiểu biết tốt nhất của tác giả, đây là lần đầu tiên mối quan hệ giữa tỷ giá hối đoái, lợi suất trái phiếu và thị trường chứng khoán cũng như tác động của động lực thị trường vốn đến tỷ giá hối đoái trước và trong đại dịch COVID-19 được xác định rõ ràng trong trường hợp của nền kinh tế Indonesia.
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Exchange Rates, Bond Yields and the Stock Market: Nonlinear Evidence of Indonesia During the COVID-19 Period
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.