Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia
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Abstract
This study aims to examine the symmetric and asymmetric effects of crude oil prices and exchange rate on bond yields in Indonesia. Dubai crude oil prices are used as a proxy for crude oil price data and the IDR/USD exchange rate is used as a proxy for exchange rate. Meanwhile, the 10-year Indonesian bond yields are used as a proxy for bond yields. Data on Dubai crude oil prices, the IDR/USD exchange rate, and the 10-year Indonesian government bond yields are time-series data from January 2007 to April 2019. The results of the test using the ARDL and NARDL models show that (1) in the long-run, neither the crude oil prices nor the exchange rate has symmetric and asymmetric effects on the bond yields, and (2) in the short-run, both of them have symmetric and asymmetric effects on the bond yields.Keywords: crude oil prices, exchange rates, bond yields, ARDL model, NARDL model.JEL Classifications: C120, C130, E310, G150DOI: https://doi.org/10.32479/ijeep.8878Downloads
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Published
2020-01-21
How to Cite
Saenong, Z., Muthalib, A. A., Adam, P., Rumbia, W. A., Millia, H., & Saidi, L. O. (2020). Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia. International Journal of Energy Economics and Policy, 10(2), 95–100. Retrieved from https://econjournals.com/index.php/ijeep/article/view/8878
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