|
Does Macro News Matter In The Exchange Rate Indonesia?
[Full Text]
AUTHOR(S)
Badara Shofi Dana, Moh. Adenan, Zainuri
KEYWORDS
Exchange rate, macro news, VAR
ABSTRACT
News related to macroeconomic conditions has an impact on exchange rate movements in the foreign exchange market. The Exchange rate relations with macroeconomic news on the foreign exchange market only in the short term. This study aims to mitigate exchange rate relationships with macroeconomic news in Indonesia. The variable used is the index of domestic macroeconomic news, index of US and Chinese macroeconomic news and nominal exchange rates. The analytical tool used in viewing the relationship of macroeconomic news with exchange rates is Vector Autoregression (VAR). The results of the study show that the news of domestic macroeconomic conditions and the United States has an influence on exchange rate movements. Expectations of players in the foreign exchange market are based on macroeconomic news conditions. The policy to mitigate the effects of macroeconomic news is the stability of Indonesia's macroeconomic fundamentals. Maintaining the stability of macroeconomic fundamentals can have an effect on good news.
REFERENCES
[1]. Dominguez, K. M. E. & Panthaki, F. What defines ‘ news ’ in foreign exchange markets ? 25, 168–198 (2006).
[2]. Evans, M. D. D. & Lyons, R. K. How is macro news transmitted to exchange rates ? $. 88, 26–50 (2008).
[3]. Maserumule, T. & Alagidede, P. Impact of macroeconomic announcements on foreign exchange volatility : Evidence from South Africa Impact of macroeconomic announcements on foreign exchange volatility : Evidence from South Africa. (2018).
[4]. Lott, J. R. & Kevin, J. Is newspaper coverage of economic events politically biased ? 65–108 (2014). doi:10.1007/s11127-014-0171-5
[5]. Birz, G. & Jr, J. R. L. The effect of macroeconomic news on stock returns : New evidence from newspaper coverage. J. Bank. Financ. 35, 2791–2800 (2011).
[6]. Horioka, C. Y. & Ford, N. A Possible Explain of The Exchange Rate Disconnect Puzzle: A Common Solution to Three Major Macroeconomcs Puzzles? (2016).
[7]. Tawadros, G. B. Revisiting the exchange rate disconnect puzzle Revisiting the exchange rate disconnect puzzle. Appl. Econ. 00, 1–24 (2017).
[8]. Maria, G., Spagnolo, F. & Spagnolo, N. Macro news and exchange rates in the BRICS. 21, 140–143 (2017).
[9]. Cheung, Y., Fatum, R. & Yamamoto, Y. The Exchange Rate Effects of Macro News after the Global Financial Crisis. (2017).
[10]. Galati, G. & Ho, C. Macroeconomic news and the euro / dollar exchange rate. (2001).
[11]. Ega, C. L. V. Micro Effects of Macro Announcements : Real-Time Price Discovery in Foreign Exchange. (2002).
[12]. Maria, G., Spagnolo, F. & Spagnolo, N. Research in International Business and Finance Exchange rates and macro news in emerging markets ☆. Res. Int. Bus. Financ. 46, 516–527 (2018).
[13]. Redl, C. Noisy news and exchange rates: a SVAR approach. J. Int. Money Financ. (2015). doi:10.1016/j.jimonfin.2015.08.002
[14]. Fatum, R., Hutchison, M. & Wu, T. Asymmetries and state dependence : The impact of macro surprises on intraday exchange rates. J. Jpn. Int. Econ. 26, 542–560 (2012).
[15]. Li, W., Wong, M. C. S. & Cenev, J. High frequency analysis of macro news releases on the foreign exchange market: A survey of literature. Big Data Res. (2015). doi:10.1016/j.bdr.2015.02.003
[16]. Cheung, Y. & Chinn, M. D. Currency traders and exchange rate dynamics : a survey of the US market. 20, (2001).
[17]. Luetkepohl, H. Vector autiregressive models. (2011).
[18]. Jongwanich, J. & Kohpaiboon, A. Journal of Asian Economics Capital flows and real exchange rates in emerging Asian countries. J. Asian Econ. 24, 138–146 (2013).
[19]. Omrane, W. Ben & Savaşer, T. Exchange rate volatility response to macroeconomic news during the global financial crisis. Int. Rev. Financ. Anal. (2017). doi:10.1016/j.irfa.2017.05.006
[20]. Fro, M. Order flows , news , and exchange rate volatility. 27, 994–1012 (2008).
[21]. Adusei, M. & Gyapong, E. Y. The impact of macroeconomic variables on exchange rate volatility in ghan: the partial least square structural equation modelling approach. Res. Int. Bus. Financ. (2017). doi:10.1016/j.ribaf.2017.07.081
[22]. Chang, M. J. & Su, C. Y. The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries. J. Int. Financ. Mark. Institutions Money 30, 220–246 (2014).
|
