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All Journal SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS
Sugiharso Safuan
Department of Economics, Faculty of Economics, Universitas Indonesia
Economics, Econometrics & Finance

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The Effectiveness of Unconventional Monetary Policy (UMP) on Financial Markets in Indonesia and Malaysia during the Covid-19 Pandemic Ardina Yulia Putri; Sugiharso Safuan
SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS SIJDEB, Vol. 6, No. 4, December 2022
Publisher : Faculty of Economics, Universitas Sriwijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29259/sijdeb.v6i4.413-438

Abstract

Abstract: This paper discusses the effectiveness of unconventional monetary policy (UMP) on financial markets, includes the exchange rate and stock return index in Indonesia and Malaysia during the Covid-19 pandemic. Using announcements issued by the central banks of Indonesia and Malaysia as a benchmark for changes of yield curve in response to UMP, the effectiveness of UMP on exchange rates and stock return index is estimated using the sign and zero restriction VAR. As a result, UMP is effective on exchange rates in Indonesia and Malaysia, but it is not effective on stock return index in those two countries.
The Effectiveness of Unconventional Monetary Policy (UMP) on Financial Markets in Indonesia and Malaysia during the Covid-19 Pandemic Ardina Yulia Putri; Sugiharso Safuan
SRIWIJAYA INTERNATIONAL JOURNAL OF DYNAMIC ECONOMICS AND BUSINESS SIJDEB, Vol. 6, No. 4, December 2022
Publisher : Faculty of Economics, Universitas Sriwijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29259/sijdeb.v6i4.413-438

Abstract

Abstract: This paper discusses the effectiveness of unconventional monetary policy (UMP) on financial markets, includes the exchange rate and stock return index in Indonesia and Malaysia during the Covid-19 pandemic. Using announcements issued by the central banks of Indonesia and Malaysia as a benchmark for changes of yield curve in response to UMP, the effectiveness of UMP on exchange rates and stock return index is estimated using the sign and zero restriction VAR. As a result, UMP is effective on exchange rates in Indonesia and Malaysia, but it is not effective on stock return index in those two countries.
Co-Authors Ardina Yulia Putri