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  • 标题:PREDICTORS OF EXCHANGE RATE RETURNS: EVIDENCE FROM INDONESIA
  • 本地全文:下载
  • 作者:Bayu Arie Fianto ; Nisful Laila ; Raditya Sukmana
  • 期刊名称:Bulletin Ekonomi Moneter dan Perbankan
  • 印刷版ISSN:1410-8046
  • 电子版ISSN:2460-9196
  • 出版年度:2020
  • 卷号:23
  • 期号:2
  • 页码:239-252
  • DOI:10.21098/bemp.v23i1.1169
  • 出版社:Bank Indonesia
  • 摘要:Using historical time-series data, we investigate Indonesia’s exchange rate return predictability. We employ nine predictors, namely stock price, gold price, oil price, commodity price, inflation, balance of payment, total exports, the US T-bill rate, and the US federal fund rate. With historical data, we fail to discover any evidence that these factors predict Indonesia’s exchange rate returns. However, we find that oil price, commodity price, inflation, and the US T-bill rate can significantly predict Indonesia’s exchange rate returns during the Asian financial crisis. Our findings key implication is that it is the external factors that dominate the evolution of Indonesia’s exchange rate, and inflation rate is the only domestic factor for policy makers to control.
  • 关键词:Exchange rate; Predictors; Inflation; External factors; Indonesia
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