文章基本信息

标题：INFORMATION FLOW BETWEEN THE US DOLLAR-RUPIAH EXCHANGE RATES
本地全文：下载
作者：Wee-Yeap Lau ; Tien-Ming Yip
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：3
页码：441-464
DOI：10.21098/bemp.v23i3.918
出版社：Bank Indonesia
摘要：This study investigates the information flow between non-deliverable forward (NDF), spot, and forward US dollar–rupiah exchange rates during the post-Quantitative Easing (QE) period. Our results show a unidirectional information flow from NDF to the spot and forward rates in the post-QE period. We also find that the Indonesian government securities (IGS) played a vital role during the QE period, while international reserves preceded the US dollar–rupiah spot, forward, and NDF exchange rates post-QE. Hence, international reserves became an important policy variable in managing the currency value. Our finding redefines the role of IGS as a policy tool. As a policy suggestion, the Bank Indonesia should maintain a sufficient amount of foreign reserves to mitigate foreign exchange risks of the rupiah.
关键词：Spot; Forward; Non-deliverable forward; Quantitative easing; Rupiah; Exchange rates;