How to cite this paper
Khaliq, A., Karimi, S., Taifur, W & Ridwan, E. (2024). The quest for explosive bubbles in the Indonesian Rupiah/US exchange rate: Does the uncertainty trinity matter?.Decision Science Letters , 13(2), 415-426.
Refrences
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Aftab, M., Naeem, M., Tahir, M., & Ismail, I. (2023). Does uncertainty promote exchange rate volatility? Global evidence. Studies in Economics and Finance. https://doi.org/10.1108/SEF-12-2022-0579
Akcora, B., & Kocaaslan, O. K. (2023). Price bubbles in the European natural gas market between 2011 and 2020. Resources Policy, 80, 103186. https://doi.org/10.1016/j.resourpol.2022.103186
Aysun, U. (2024). Identifying the external and internal drivers of exchange rate volatility in small open economies. Emerging Markets Review, 58, 101085. https://doi.org/10.1016/j.ememar.2023.101085
Bartsch, Z. (2019). Economic policy uncertainty and dollar-pound exchange rate return volatility. Journal of International Money and Finance, 98, 102067. https://doi.org/10.1016/j.jimonfin.2019.102067
Bazán-Palomino, W. (2022). Interdependence, contagion and speculative bubbles in cryptocurrency markets. Finance Research Letters, 49, 103132. https://doi.org/10.1016/j.frl.2022.103132
Bettendorf, T., & Chen, W. (2013). Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests. Economics Letters, 120(2), 350–353. https://doi.org/10.1016/j.econlet.2013.04.039
Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters. Retrieved from https://www.sciencedirect.com/science/article/pii/S1544612318303647
Bush, G., & Noria, G. L. (2021). Uncertainty and exchange rate volatility: Evidence from Mexico. International Review of Economics and Finance, 75(March), 704–722. https://doi.org/10.1016/j.iref.2021.04.029
Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review. Retrieved from https://www.aeaweb.org/articles?id=10.1257/aer.20191823
Caporale, G. M., Menla Ali, F., & Spagnolo, N. (2015). Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach. Journal of International Money and Finance, 54, 70–92. https://doi.org/10.1016/j.jimonfin.2015.02.020
Caspi, I., & Graham, M. (2018). Testing for bubbles in stock markets with irregular dividend distribution. Finance Research Letters, 26, 89–94. https://doi.org/10.1016/j.frl.2017.12.015
Che, M., Zhu, Z., & Li, Y. (2023). Geopolitical risk and economic policy uncertainty: Different roles in China’s financial cycle. International Review of Financial Analysis, 90, 102867. https://doi.org/10.1016/j.irfa.2023.102867
Chen, C.-F., Hui, E. C. M., & Chiang, S. (2021). What do we know about the status of housing market in China? Evidence from price and rent spillovers across first-tier cities. Habitat International, 118, 102471. https://doi.org/10.1016/j.habitatint.2021.102471
Chen, L., Du, Z., & Hu, Z. (2020). Impact of economic policy uncertainty on exchange rate volatility of China. Finance Research Letters, 32(109), 1–5. https://doi.org/10.1016/j.frl.2019.08.014
Chen, M.-P., Lin, Y.-H., Tseng, C.-Y., & Chen, W.-Y. (2015). Bubbles in health care: Evidence from the U.S., U.K., and German stock markets. The North American Journal of Economics and Finance, 31, 193–205. https://doi.org/10.1016/j.najef.2014.11.003
Cheung, A. (Wai-K., Roca, E., & Su, J.-J. (2015). Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics, 47(23), 2348–2358. https://doi.org/10.1080/00036846.2015.1005827
Chiang, T. C. (2021). Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets. China Finance Review International. https://doi.org/10.1108/CFRI-08-2020-0115
Chowdhury, M. S. R., & Damianov, D. S. (2024). Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. International Review of Financial Analysis, 91, 102949. https://doi.org/10.1016/j.irfa.2023.102949
Coskun, Y., Seven, U., Ertugrul, H. M., & Alp, A. (2020). Housing price dynamics and bubble risk: the case of Turkey. Housing Studies, 35(1), 50–86. https://doi.org/10.1080/02673037.2017.1363378
El Montasser, G., Fry, J., & Apergis, N. (2016). Explosive bubbles in the US–China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal, 9(1), 34–46. https://doi.org/10.1080/17538963.2015.1125591
El Montasser, G., Naoui, K., & Fry, J. (2018). Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests. Journal of Statistics and Management Systems, 21(1), 93–106. https://doi.org/10.1080/09720510.2017.1401799
Engel, C. (1999). Accounting for U.S. Real Exchange Rate Changes. Journal of Political Economy, 107(3), 507–538. https://doi.org/10.1086/250070
Engel, C., & West, K. D. (2005). Exchange Rates and Fundamentals. Journal of Political Economy, 113(3), 485–517. https://doi.org/10.1086/429137
Fang, M., Lin, Y., & Chang, C.-L. (2023). Positive and negative price bubbles of Chinese agricultural commodity futures. Economic Analysis and Policy, 78, 456–471. https://doi.org/10.1016/j.eap.2023.03.023
Gemici, E., Polat, M., Gök, R., Khan, M. A., Khan, M. A., & Kilic, Y. (2023). Do Bubbles in the Bitcoin Market Impact Stock Markets? Evidence From 10 Major Stock Markets. SAGE Open, 13(2). https://doi.org/10.1177/21582440231178666
Guo, M., Wang, S., & Wei, Y. (2023). Bubbles in NFT markets: correlated with cryptocurrencies or sentiment indexes? Applied Economics Letters, 1–7. https://doi.org/10.1080/13504851.2023.2275649
Haykir, O., & Yagli, I. (2022). Speculative bubbles and herding in cryptocurrencies. Financial Innovation, 8(1), 78. https://doi.org/10.1186/s40854-022-00383-0
Homm, U., & Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198–231. https://doi.org/10.1093/jjfinec/nbr009
Hoque, M. E., Zaidi, M. A. S., & Hassan, M. K. (2021). Geopolitical uncertainties and malaysian stock market returns: Do market conditions matter? Mathematics, 9(19), 1–16. https://doi.org/10.3390/math9192393
Hossain, A. T., Masum, A.-A., & Saadi, S. (2023). The Impact of Geopolitical Risks on Foreign Exchange Markets: Evidence from The Russia-Ukraine War. Finance Research Letters, 104750. https://doi.org/10.1016/j.frl.2023.104750
Hu, Y. (2023). A review of Phillips‐type right‐tailed unit root bubble detection tests. Journal of Economic Surveys, 37(1), 141–158. https://doi.org/10.1111/joes.12524
Hu, Y., & Oxley, L. (2017). Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. Economic Modelling, 64, 419–442. https://doi.org/10.1016/j.econmod.2017.02.022
Huang, H., & Xiong, T. (2020). Price bubbles and market integration in global sugar futures markets. Journal of Applied Economics, 23(1), 1–20. https://doi.org/10.1080/15140326.2019.1693202
Huang, J., & Shen, G. Q. (2017). Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model. Journal of Property Research, 34(2), 108–128. https://doi.org/10.1080/09599916.2017.1321574
Iyke, B. N., Phan, D. H. B., & Narayan, P. K. (2022). Exchange rate return predictability in times of geopolitical risk. International Review of Financial …. Retrieved from https://www.sciencedirect.com/science/article/pii/S1057521922000692
Jiang, C., Wang, Y., Chang, T., & Su, C.-W. (2015). Are there bubbles in Chinese RMB–dollar exchange rate? Evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120–6135. https://doi.org/10.1080/00036846.2015.1064080
Jirasakuldech, B., Emekter, R., & Went, P. (2006). Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies. Applied Financial Economics, 16(3), 233–243. https://doi.org/10.1080/09603100500378997
Khaliq, A. (2022). Global and Country-Specific Geopolitical Risks and Exchange Rate Volatility: New Empirical Evidence from Indonesia. Jurnal Ekonomi Kuantitatif Terapan, 15(2), 225–239. https://doi.org/10.24843/JEKT.2022.v15.i02.p05
Khan, K., & Köseoğlu, S. D. (2020). Is palladium price in bubble? Resources Policy, 68, 101780. https://doi.org/10.1016/j.resourpol.2020.101780
Khan, K., Su, C.-W., & Rehman, A. U. (2021). Do multiple bubbles exist in coal price? Resources Policy, 73, 102232. https://doi.org/10.1016/j.resourpol.2021.102232
Lawal, A. I., Oseni, E., Lawal-Adedoyin, B. B., Dicktonye, A. O., & Ogunwole, E. B. (2022). Examining rational bubbles in global natural gas prices: Evidence from frequency domain estimates. Energy Strategy Reviews, 44, 100979. https://doi.org/10.1016/j.esr.2022.100979
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Ma, R. R., & Xiong, T. (2021). Price explosiveness in nonferrous metal futures markets. Economic Modelling, 94, 75–90. https://doi.org/10.1016/j.econmod.2020.09.012
Maldonado, W. L., Ribeiro, J., & Tourinho, O. A. F. (2021). Testing Four Types of Bubbles in BRICS Exchange Rates. Emerging Markets Finance and Trade, 57(4), 1103–1123. https://doi.org/10.1080/1540496X.2019.1603542
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Akcora, B., & Kocaaslan, O. K. (2023). Price bubbles in the European natural gas market between 2011 and 2020. Resources Policy, 80, 103186. https://doi.org/10.1016/j.resourpol.2022.103186
Aysun, U. (2024). Identifying the external and internal drivers of exchange rate volatility in small open economies. Emerging Markets Review, 58, 101085. https://doi.org/10.1016/j.ememar.2023.101085
Bartsch, Z. (2019). Economic policy uncertainty and dollar-pound exchange rate return volatility. Journal of International Money and Finance, 98, 102067. https://doi.org/10.1016/j.jimonfin.2019.102067
Bazán-Palomino, W. (2022). Interdependence, contagion and speculative bubbles in cryptocurrency markets. Finance Research Letters, 49, 103132. https://doi.org/10.1016/j.frl.2022.103132
Bettendorf, T., & Chen, W. (2013). Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests. Economics Letters, 120(2), 350–353. https://doi.org/10.1016/j.econlet.2013.04.039
Bouri, E., Gupta, R., & Roubaud, D. (2019). Herding behaviour in cryptocurrencies. Finance Research Letters. Retrieved from https://www.sciencedirect.com/science/article/pii/S1544612318303647
Bush, G., & Noria, G. L. (2021). Uncertainty and exchange rate volatility: Evidence from Mexico. International Review of Economics and Finance, 75(March), 704–722. https://doi.org/10.1016/j.iref.2021.04.029
Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review. Retrieved from https://www.aeaweb.org/articles?id=10.1257/aer.20191823
Caporale, G. M., Menla Ali, F., & Spagnolo, N. (2015). Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach. Journal of International Money and Finance, 54, 70–92. https://doi.org/10.1016/j.jimonfin.2015.02.020
Caspi, I., & Graham, M. (2018). Testing for bubbles in stock markets with irregular dividend distribution. Finance Research Letters, 26, 89–94. https://doi.org/10.1016/j.frl.2017.12.015
Che, M., Zhu, Z., & Li, Y. (2023). Geopolitical risk and economic policy uncertainty: Different roles in China’s financial cycle. International Review of Financial Analysis, 90, 102867. https://doi.org/10.1016/j.irfa.2023.102867
Chen, C.-F., Hui, E. C. M., & Chiang, S. (2021). What do we know about the status of housing market in China? Evidence from price and rent spillovers across first-tier cities. Habitat International, 118, 102471. https://doi.org/10.1016/j.habitatint.2021.102471
Chen, L., Du, Z., & Hu, Z. (2020). Impact of economic policy uncertainty on exchange rate volatility of China. Finance Research Letters, 32(109), 1–5. https://doi.org/10.1016/j.frl.2019.08.014
Chen, M.-P., Lin, Y.-H., Tseng, C.-Y., & Chen, W.-Y. (2015). Bubbles in health care: Evidence from the U.S., U.K., and German stock markets. The North American Journal of Economics and Finance, 31, 193–205. https://doi.org/10.1016/j.najef.2014.11.003
Cheung, A. (Wai-K., Roca, E., & Su, J.-J. (2015). Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics, 47(23), 2348–2358. https://doi.org/10.1080/00036846.2015.1005827
Chiang, T. C. (2021). Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets. China Finance Review International. https://doi.org/10.1108/CFRI-08-2020-0115
Chowdhury, M. S. R., & Damianov, D. S. (2024). Uncertainty and bubbles in cryptocurrencies: Evidence from newly developed uncertainty indices. International Review of Financial Analysis, 91, 102949. https://doi.org/10.1016/j.irfa.2023.102949
Coskun, Y., Seven, U., Ertugrul, H. M., & Alp, A. (2020). Housing price dynamics and bubble risk: the case of Turkey. Housing Studies, 35(1), 50–86. https://doi.org/10.1080/02673037.2017.1363378
El Montasser, G., Fry, J., & Apergis, N. (2016). Explosive bubbles in the US–China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal, 9(1), 34–46. https://doi.org/10.1080/17538963.2015.1125591
El Montasser, G., Naoui, K., & Fry, J. (2018). Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests. Journal of Statistics and Management Systems, 21(1), 93–106. https://doi.org/10.1080/09720510.2017.1401799
Engel, C. (1999). Accounting for U.S. Real Exchange Rate Changes. Journal of Political Economy, 107(3), 507–538. https://doi.org/10.1086/250070
Engel, C., & West, K. D. (2005). Exchange Rates and Fundamentals. Journal of Political Economy, 113(3), 485–517. https://doi.org/10.1086/429137
Fang, M., Lin, Y., & Chang, C.-L. (2023). Positive and negative price bubbles of Chinese agricultural commodity futures. Economic Analysis and Policy, 78, 456–471. https://doi.org/10.1016/j.eap.2023.03.023
Gemici, E., Polat, M., Gök, R., Khan, M. A., Khan, M. A., & Kilic, Y. (2023). Do Bubbles in the Bitcoin Market Impact Stock Markets? Evidence From 10 Major Stock Markets. SAGE Open, 13(2). https://doi.org/10.1177/21582440231178666
Guo, M., Wang, S., & Wei, Y. (2023). Bubbles in NFT markets: correlated with cryptocurrencies or sentiment indexes? Applied Economics Letters, 1–7. https://doi.org/10.1080/13504851.2023.2275649
Haykir, O., & Yagli, I. (2022). Speculative bubbles and herding in cryptocurrencies. Financial Innovation, 8(1), 78. https://doi.org/10.1186/s40854-022-00383-0
Homm, U., & Breitung, J. (2012). Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods. Journal of Financial Econometrics, 10(1), 198–231. https://doi.org/10.1093/jjfinec/nbr009
Hoque, M. E., Zaidi, M. A. S., & Hassan, M. K. (2021). Geopolitical uncertainties and malaysian stock market returns: Do market conditions matter? Mathematics, 9(19), 1–16. https://doi.org/10.3390/math9192393
Hossain, A. T., Masum, A.-A., & Saadi, S. (2023). The Impact of Geopolitical Risks on Foreign Exchange Markets: Evidence from The Russia-Ukraine War. Finance Research Letters, 104750. https://doi.org/10.1016/j.frl.2023.104750
Hu, Y. (2023). A review of Phillips‐type right‐tailed unit root bubble detection tests. Journal of Economic Surveys, 37(1), 141–158. https://doi.org/10.1111/joes.12524
Hu, Y., & Oxley, L. (2017). Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. Economic Modelling, 64, 419–442. https://doi.org/10.1016/j.econmod.2017.02.022
Huang, H., & Xiong, T. (2020). Price bubbles and market integration in global sugar futures markets. Journal of Applied Economics, 23(1), 1–20. https://doi.org/10.1080/15140326.2019.1693202
Huang, J., & Shen, G. Q. (2017). Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model. Journal of Property Research, 34(2), 108–128. https://doi.org/10.1080/09599916.2017.1321574
Iyke, B. N., Phan, D. H. B., & Narayan, P. K. (2022). Exchange rate return predictability in times of geopolitical risk. International Review of Financial …. Retrieved from https://www.sciencedirect.com/science/article/pii/S1057521922000692
Jiang, C., Wang, Y., Chang, T., & Su, C.-W. (2015). Are there bubbles in Chinese RMB–dollar exchange rate? Evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120–6135. https://doi.org/10.1080/00036846.2015.1064080
Jirasakuldech, B., Emekter, R., & Went, P. (2006). Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies. Applied Financial Economics, 16(3), 233–243. https://doi.org/10.1080/09603100500378997
Khaliq, A. (2022). Global and Country-Specific Geopolitical Risks and Exchange Rate Volatility: New Empirical Evidence from Indonesia. Jurnal Ekonomi Kuantitatif Terapan, 15(2), 225–239. https://doi.org/10.24843/JEKT.2022.v15.i02.p05
Khan, K., & Köseoğlu, S. D. (2020). Is palladium price in bubble? Resources Policy, 68, 101780. https://doi.org/10.1016/j.resourpol.2020.101780
Khan, K., Su, C.-W., & Rehman, A. U. (2021). Do multiple bubbles exist in coal price? Resources Policy, 73, 102232. https://doi.org/10.1016/j.resourpol.2021.102232
Lawal, A. I., Oseni, E., Lawal-Adedoyin, B. B., Dicktonye, A. O., & Ogunwole, E. B. (2022). Examining rational bubbles in global natural gas prices: Evidence from frequency domain estimates. Energy Strategy Reviews, 44, 100979. https://doi.org/10.1016/j.esr.2022.100979
León-Ledesma, M., & Mihailov, A. (2014). Advanced International Macroeconomics and Finance. Oxford University Press Oxford.
Luo, T., Zhang, L., Sun, H., & Bai, J. (2023). Enhancing exchange rate volatility prediction accuracy: Assessing the influence of different indices on the USD/CNY exchange rate. Finance Research Letters, 58, 104483. https://doi.org/10.1016/j.frl.2023.104483
Ma, R. R., & Xiong, T. (2021). Price explosiveness in nonferrous metal futures markets. Economic Modelling, 94, 75–90. https://doi.org/10.1016/j.econmod.2020.09.012
Maldonado, W. L., Ribeiro, J., & Tourinho, O. A. F. (2021). Testing Four Types of Bubbles in BRICS Exchange Rates. Emerging Markets Finance and Trade, 57(4), 1103–1123. https://doi.org/10.1080/1540496X.2019.1603542
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