TY - JOUR ID - 81867 TI - The Causal Relationship between Exchange Rates and Bond Yield in Indonesia JO - Iranian Economic Review JA - IER LA - en SN - 1026-6542 AU - ., Rosnawintang AU - Syarif, Muh. AU - Indrijawati, Aini AU - Adam, Pasrun AU - Saidi, La Ode AD - Department of Economics, Universitas Halu Oleo, Kendari 93232, Indonesia AD - Department of Accounting, Universitas Hasanuddin, Makassar 90245, Indonesia Y1 - 2021 PY - 2021 VL - 25 IS - 1 SP - 167 EP - 178 KW - Exchange rate KW - Bond yield KW - VAR Model KW - Granger Causality DO - 10.22059/ier.2021.81867 N2 - The aim of this study was to examine the causal relationship between exchange rate and bond yield in Indonesia using monthly time series data from January 2006 to December 2018. The exchange rate was proxied by IDR/USD, while the bond yield was proxied by a 10-year government bond yield. The VAR model and Granger causality test were used to test the relationship. The results of the test revealed that in the short-run, there is a two-way relationship between IDR/USD exchange rate and government bond yield. In the short term, the response of the government bond yield to the IDR/USD exchange rate was very strong (significant1%) and also positive in the first three months period. Meanwhile, the response of the IDR/USD exchange rate against the government bond yield was weak (significant 10%). In addition, it was negative in the first 3.5 month period. Furthermore, the study revealed that there is no long-term relationship between the IDR/USD exchange rate and the government bond yield.  UR - https://ier.ut.ac.ir/article_81867.html L1 - https://ier.ut.ac.ir/article_81867_7a941a84fd82e8ad3660e821247c333b.pdf ER -