The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter?
The Generalized Supremum Augmented Dickey-Fuller (GSADF) technique is performed to resolve whether the Indonesian Rupiah/US exchange rate has experienced multiple explosive bubbles. The GSADF uncovers that the Indonesian Rupiah/US exchange rate deviates from the fundamental values by six ti...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Growing Science
2024-01-01
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| Series: | Decision Science Letters |
| Online Access: | http://www.growingscience.com/dsl/Vol13/dsl_2024_5.pdf |
| _version_ | 1797248756828078080 |
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| author | Abdul Khaliq Syafruddin Karimi Werry Darta Taifur Endrizal Ridwan |
| author_facet | Abdul Khaliq Syafruddin Karimi Werry Darta Taifur Endrizal Ridwan |
| author_sort | Abdul Khaliq |
| collection | DOAJ |
| description | The Generalized Supremum Augmented Dickey-Fuller (GSADF) technique is performed to resolve whether the Indonesian Rupiah/US exchange rate has experienced multiple explosive bubbles. The GSADF uncovers that the Indonesian Rupiah/US exchange rate deviates from the fundamental values by six times from January 1985 to September 2023, periodically indicating the presence of numerous explosive behaviors. Once the full-sample period separates into the managed-floating regime and the free-floating regime, the GSADF still detects multiple bubbles. Of particular curiosity on uncertainty trinity, this study underlines that global geopolitical risk negatively drives explosive actions in the ratio of exchange rates for non-traded and traded goods. The global economic policy uncertainty negatively affects speculative bubbles in the exchange rate and the ratio of exchange rates for non-traded. The country's geopolitical risks negatively strike only speculative bubbles in the exchange rate. Further, we find heterogeneity in our results by examining different exchange rate systems. The robustness checks further firmly ascertain across baseline empirical findings. |
| first_indexed | 2024-04-24T20:19:39Z |
| format | Article |
| id | doaj.art-8c2b7ee51002454691a0c5b63dbc68f3 |
| institution | Directory Open Access Journal |
| issn | 1929-5804 1929-5812 |
| language | English |
| last_indexed | 2024-04-24T20:19:39Z |
| publishDate | 2024-01-01 |
| publisher | Growing Science |
| record_format | Article |
| series | Decision Science Letters |
| spelling | doaj.art-8c2b7ee51002454691a0c5b63dbc68f32024-03-22T08:54:27ZengGrowing ScienceDecision Science Letters1929-58041929-58122024-01-0113241542610.5267/j.dsl.2024.1.005The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter?Abdul KhaliqSyafruddin KarimiWerry Darta TaifurEndrizal Ridwan The Generalized Supremum Augmented Dickey-Fuller (GSADF) technique is performed to resolve whether the Indonesian Rupiah/US exchange rate has experienced multiple explosive bubbles. The GSADF uncovers that the Indonesian Rupiah/US exchange rate deviates from the fundamental values by six times from January 1985 to September 2023, periodically indicating the presence of numerous explosive behaviors. Once the full-sample period separates into the managed-floating regime and the free-floating regime, the GSADF still detects multiple bubbles. Of particular curiosity on uncertainty trinity, this study underlines that global geopolitical risk negatively drives explosive actions in the ratio of exchange rates for non-traded and traded goods. The global economic policy uncertainty negatively affects speculative bubbles in the exchange rate and the ratio of exchange rates for non-traded. The country's geopolitical risks negatively strike only speculative bubbles in the exchange rate. Further, we find heterogeneity in our results by examining different exchange rate systems. The robustness checks further firmly ascertain across baseline empirical findings.http://www.growingscience.com/dsl/Vol13/dsl_2024_5.pdf |
| spellingShingle | Abdul Khaliq Syafruddin Karimi Werry Darta Taifur Endrizal Ridwan The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter? Decision Science Letters |
| title | The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter? |
| title_full | The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter? |
| title_fullStr | The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter? |
| title_full_unstemmed | The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter? |
| title_short | The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter? |
| title_sort | quest for explosive bubbles in the indonesian rupiah us exchange rate does the uncertainty trinity matter |
| url | http://www.growingscience.com/dsl/Vol13/dsl_2024_5.pdf |
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