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

Author

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  • Panky Tri Febiyansah

    (National Research and Innovation Agency - BRIN, Indonesia)

Abstract

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 heat-wave 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.

Suggested Citation

  • Panky Tri Febiyansah, 2023. "Exchange Rate Responses and Volatility Spillover Effects during the COVID-19 Pandemic in Indonesia," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 69, pages 87-97, December.
    • Handle: RePEc:lpe:efijnl:202301
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; exchange rate return; spillover effect; volatility;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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