Global Economic Crises: A Catalyst for Shifting Causal Dynamics Between Interest Rates, Exchange Rates, and Stock Prices in Indonesia

Rahmadani Nur Permanawati; Anindya Ardiansari; Nadia Ingrida Kusumadewi

doi:10.22219/jamanika.v5i1.39725

Authors

Rahmadani Nur Permanawati Universitas Negeri Semarang
Anindya Ardiansari Universitas Negeri Semarang
Nadia Ingrida Kusumadewi Universitas Negeri Semarang

DOI:

https://doi.org/10.22219/jamanika.v5i1.39725

Keywords:

IDX Composite, Exchange Rate, Interest Rate, Global Crisis

Abstract

This study aims to analyze the global crisis's effect on the causal relationship between interest rate, exchange rate, and stock price. The sample used in this study is the IDX Composite, rupiah to US dollar exchange rate, and interest rates in Indonesia with monthly data during the observation period from January 2003 until December 2020. The pre-crisis results indicate a one-way causality relationship between exchange rates and interest rates; there is no causal relationship between the IDX Composite and the exchange rate and the IDX Composite and interest rates. The post-crisis results indicate a one-way causality relationship between the IDX Composite and the exchange rate and the IDX Composite and interest rates. Meanwhile, there is a two-way causality between exchange and interest rates. The study results in all periods indicate a one-way causality relationship between the IDX Composite and the exchange rate and IDX Composite and interest rates. Meanwhile, there is no causal relationship between exchange rates and interest rates

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