Asymmetric Exchange Rate Exposure in Indonesian Industry Sectors

Lestano Lestano

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates asymmetric exchange rate exposure on Indonesia industry’s stock returns in both (non)linear specifications and different setting in exchange rate regimes and sub-sample periods using the EGARCH model. The results reveal that negative exchange rate exposure dominates over positive exposure in the linear exposure setting, but there is no dominance sign in nonlinear exposure effect specification. The negative exchange rate exposure is more pronounced in the episodes of Asian and Global financial crisis and largely reduces in tranquility period. In relation to exchange rate arrangements, many industries experience statistically significant negative exposure to the US dollar with managed floating exchange rate regime than flexible regime.

Keywords: exchange rate exposure; industry-level exposure; exponential GARCH-type model; Indonesia (search for similar items in EconPapers)
JEL-codes: C22 F31 G15 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-sea
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64357

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