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...
| Main Authors: | , |
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| Format: | Article |
| Language: | Indonesian |
| Published: |
Bank Indonesia
2012-06-01
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| Series: | Bulletin Ekonomi Moneter dan Perbankan |
| Subjects: | |
| Online Access: | https://www.bmeb-bi.org/index.php/BEMP/article/view/363 |