期刊名称:International Journal of Energy Economics and Policy
电子版ISSN:2146-4553
出版年度:2020
卷号:10
期号:2
页码:95-100
DOI:10.32479/ijeep.8878
出版社:EconJournals
摘要: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.