OFFSHORE AND ONSHORE IDR MARKET: EVIDENCE ON INFORMATION SPILLOVER

OFFSHORE AND ONSHORE IDR MARKET: EVIDENCE ON INFORMATION SPILLOVER

This paper investigates the information transmission between off-shore and on-shore Rupiah currency markets Indonesian. We found the evidence of persistent volatility in all IDR/USD markets. Using EGARCH model on daily data for the period of 2008 - 2011, this paper provide several empirical conclusi...

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Bibliographic Details
Main Authors: Yayat Cadarajat, Alexander Lubis
Format: Article
Language:Indonesian
Published: Bank Indonesia 2012-06-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
Foreign Exchange
Non-Deliverable Forward
exchange rate
spillover
EGARCH
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/363

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/363

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