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Exchange Rate Responses and Volatility Spillover Effects during the COVID-19 Pandemic in Indonesia

Panky Tri Febiyansah

Economics and Finance in Indonesia2023https://doi.org/10.47291/efiarticle
ABDC C
Weight
0.34

What the paper says

This paper aims to assess the impact of the confirmed COVID-19 cases, the timing of the outbreak, and physical measures on the returns and spillover effects of exchange rate in Indonesia. The model will be tested by the exponential generalized autoregressive conditional heteroskedastic (EGARCH) process and the spillover volatility index. The study discovers that the confirmed cases, outbreak news, and the implementation of large-scale social restrictions simultaneously contribute to a leverage effect on the volatility of a direct quote of Indonesian Rupiah to Australian Dollar, Euro, US Dollar, Singapore Dollar, and Great British Pound. To a certain extent, the heatwave as well as the meteor-shower effects as a result of clustering events and intense spillover effects in the currency market of Indonesia are observed.

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https://doi.org/https://doi.org/10.47291/efi

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@article{panky2023,
  title        = {{Exchange Rate Responses and Volatility Spillover Effects during the COVID-19 Pandemic in Indonesia}},
  author       = {Panky Tri Febiyansah},
  journal      = {Economics and Finance in Indonesia},
  year         = {2023},
  doi          = {https://doi.org/https://doi.org/10.47291/efi},
}

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Exchange Rate Responses and Volatility Spillover Effects during the COVID-19 Pandemic in Indonesia

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Evidence weight

0.34

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.