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  • 标题:Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia
  • 本地全文:下载
  • 作者:Zainuddin Saenong ; Abd Azis Muthalib ; Pasrun Adam
  • 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.
  • 关键词:crude oil prices;exchange rates;bond yields;ARDL model;NARDL model.
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