Financial Market Responses to Bank Indonesia’s Policy Announcements

Sahminan Sahminan

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines the effect of the BI rate announcements on financial markets in Indonesia. The estimation results show that interbank interest rates with overnight, 1-week, and 1-month maturity are significantly lower a day before the announcement of lower BI-rate. On the other hand, the levels of exchange rate return, stock return, or government bond’s yield are not significantly affected by BI-rate announcements. The announcements of lower or constant BI-rate significantly bring down volatility of interbank interest rate with overnight, 1-week, and 1-month maturity, as well as the volatility of government bonds’ yield, exchange rate return and stock returns. The largest effect of BI rate announcement is experienced by overnight interbank interest rate, both in terms of level as well as in terms of volatility.

Keywords: Monetary Policy; Announcement; Bank Indonesia (search for similar items in EconPapers)
JEL-codes: C22 E43 E44 E52 E58 (search for similar items in EconPapers)
Date: 2007-12
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/93401/1/MPRA_paper_93401.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:93401

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().