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Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia

Author

Listed:
  • Zainuddin Saenong

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Abd Azis Muthalib

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Pasrun Adam

    (Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia.)

  • Wali Aya Rumbia

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • Heppi Millia

    (Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia,)

  • La Ode Saidi

    (Department of Mathematics, Universitas Halu Oleo, Kendari 93232, Indonesia.)

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.

Suggested Citation

  • Zainuddin Saenong & Abd Azis Muthalib & Pasrun Adam & Wali Aya Rumbia & Heppi Millia & La Ode Saidi, 2020. "Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 95-100.
    • Handle: RePEc:eco:journ2:2020-02-13
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    References listed on IDEAS

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    Cited by:

    1. Hlongwane, Nyiko Worship, 2022. "The relationship between oil prices and exchange rates in South Africa," MPRA Paper 113209, University Library of Munich, Germany.

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    More about this item

    Keywords

    crude oil prices; exchange rates; bond yields; ARDL model; NARDL model.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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