DYNAMIC LINKAGES AMONG GOVERNMENT BONDS YIELD (SBN-DOMESTIC), MARKET INDEX (IHSG), US TREASURY BOND YIELD, SP500 AND EXCHANGE RATE (IDR/USD)- EFFECT OF PANDEMIC-COVID19 BY VECTOR ERROR CORRECTION MODEL (VECM) APPROACH: EVIDENCE FROM INDONESIA

Author: Martono Tampubolon

ABSTRACT

This study empirically examines the dynamic linkages among yield SBN-Domestic and IDX-Composite to the shocks of US Treasury bonds, SP500, and IDR/USD. Analysis applying VECM. IRF, VD, and Granger causality. testing proved that in the long run, during the pandemic-covid19 period, the SBN-Domestic experienced a significant change to all shocks, but the biggest changes were on SBN3Y and SBN5Y. This was due to the fact that during the Covid-19 pandemic, SBN3Y and SBN5Y were considered high risk. IDX-Composite was significantly changed for SP500 during the pandemic-covid19 period. The variance decomposition test proved that in the long run, SP500 has the highest variance contribution.

Keywords: Dynamic linkages, SBN-Domestics, IDX-Composite, VECM, Shock

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