NEWS EFFECTS GOOD VS BAD NEWS ON EXCHANGE RATES

Untara, Untara and Sugiharto, Toto and Lestari, Titi Ayem (2010) NEWS EFFECTS GOOD VS BAD NEWS ON EXCHANGE RATES. Global Management Conference.

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Abstract

Rate of Exchange rate fluctuations are influenced by market sentiments which were formed by the development of economic and noneconomic fundamentals in either domestic economy or worldwide economy, especially various macro economics news from United States of America. Market reacts toward surprises which were generated due to differences between actual data and market expectations (i.e., macro economics news by associated institutions). Market reactions would results in exchange rate corrections, that is either weakening or strengthening, which depends on the magnitude of differences between actual data and market prediction toward the data. This study is aimed for analyzing reactions of exchange rates between Indonesia Rupiah (IDR) and US Dollar (USD) toward macro economics surprises which came either from Indonesia or from the US. Surprises in this study include positive (good) and negative (bad) macro economics news which come from Indonesia and the US as well. Secondary data were used in this research, in the form of daily data exchange rate USD-IDR, and data of macro economic news from within country and from United States between year 1998-2006. Analysis doubled linear regression and Error Correction Model were used in this research. Results of the study indicated that macro economics surprises have significant effect on USD-IDR exchange rate; macro economics surprises from both domestic and the US have significant effect on USD-IDR exchange rate; and neither positive and negative macro economics surprises have significant effect on USD-IDR exchange rate.

Item Type: Article
Uncontrolled Keywords: exchange rates; news; good news; bad news
Subjects: A General Works > AI Indexes (General)
Depositing User: Mr Reza Chandra
Date Deposited: 14 Mar 2014 04:16
Last Modified: 14 Mar 2014 04:16
URI: http://repository.gunadarma.ac.id/id/eprint/1464

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