Predictors of Exchange Rate Returns: Evidence from Indonesia

• Main Authors: Bayu Arie Fianto, -, Nisful Laila, -, Raditya Sukmana, -, Muhammad Madyan, -
• Format: Article PeerReviewed
• Language: English; Indonesian; English; Indonesian; English; Indonesian
• Published: Bank Indonesia Institute 2020
• Subjects: H Social Sciences; HG Finance; HG4501-6051 Investment, capital formation, speculation; HG4551-4598 Stock exchanges
• Online Access: https://repository.unair.ac.id/114069/3/Moh%20Madyan_Artikel103_Predictors%20of%20Exchange.pdf; https://repository.unair.ac.id/114069/1/Moh%20Madyan_Peer%20Review103.pdf; https://repository.unair.ac.id/114069/2/Moh%20Madyan_Similarity103_Predictors%20of%20Exchange.pdf; https://repository.unair.ac.id/114069/7/BayuArieF_PeerReview102.pdf; https://repository.unair.ac.id/114069/6/BayuArieF_Bukti-Korespondensi102.pdf; https://repository.unair.ac.id/114069/10/BayuArieF_Kesesuaian-Bid-Ilmu102.pdf; https://repository.unair.ac.id/114069/; https://www.bmeb-bi.org/index.php/BEMP/article/view/1169; https://doi.org/10.21098/bemp.v23i1.1169
• Institution: Universitas Airlangga

Using historical time-series data, we investigate Indonesia’s exchange rate return predictability. We employ nine predictors, namely stock price, gold price, oil price, commodity price, inflation, balance of payment, total exports, the US T-bill rate, and the US federal fund rate. With historical da...