The Impact of Treasury Bills on the Financial Conditions in Indonesia and Philippines

DOI

10.2991/aebmr.k.220702.071How to use a DOI?

Keywords

Treasury Bills; Stock Price Index; Exchange Rate; Global Financial Crisis 2008

Abstract

This study aims to identify the impact of the United States monetary policy on financial conditions in Indonesia and the Philippines before and after the 2008 global financial crisis. The research type used is associative and descriptive. The data type used is secondary data using time series data in Indonesia and the Philippines from 2004 M1 to 2019 M4. This study uses a Vector Error Correction Model (VECM) analysis tool. The variables in this study are treasury bills, exchange rate, and stock price index. The results of this study focused on impulse response function (IRF) and forecast error variance decomposition (FEVD) tests. The results of this research show that: (1) Shock by T-Bills will be responded positively by Stock Price in Indonesia and the Philippines, (2) The shocks by T-Bills will be responded positively by the Exchange Rate in Indonesia and the Philippines, (3) The shocks by T-Bills will be responded negatively by the Stock Price in Indonesia, while the Stock Price in the Philippines responded positively before the Global Financial Crisis in 2008, (4) The shocks by T-Bills will be responded positively by Exchange Rate in Indonesia and the Philippines prior to the 2008 Global Financial Crisis, (5) The shocks by T-Bills will be responded positively by Stock Price in Indonesia and the Philippines after the Global Financial Crisis in 2008, (6) The shock by T-Bills will be responded positively by Exchange Rate in Indonesia and the Philippines after the Global Financial Crisis in 2008, (7) The shock caused by the Exchange Rate due to T-Bills is responded positively by the Stock Price in Indonesia and the Philippines, (8) Shocks caused by Stock Prices due to T-Bills were responded positively by the Exchange Rate in Indonesia and the Philippines, (9) Shocks caused by Exchange Rates due to T-Bills responded positively by Stock Prices prior to the 2008 Global Financial Crisis in Indonesia and the Philippines, (10) The shock caused by the Stock Price due to T-Bills was responded negatively by the Exchange Rate before the 2008 Global Financial Crisis in Indonesia and the Philippines, (11) Shock caused by the Exchange Rate as a result of T-Bills responded positively by the Stock Price after the Global Financial Crisis in 2008 in Indonesia and the Philippines, and (12) Shocks caused by Stock Prices due to T-Bills were responded positively by Exchange Rates after the 2008 Global Financial Crisis in Indonesia and the Philippines.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article distributed under the CC BY-NC 4.0 license.

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TY  - CONF
AU  - Yuli Afmi Afika
AU  - Idris Idris
PY  - 2022
DA  - 2022/07/21
TI  - The Impact of Treasury Bills on the Financial Conditions in Indonesia and Philippines
BT  - Proceedings of the Eighth Padang International Conference On Economics Education, Economics, Business and Management, Accounting and Entrepreneurship (PICEEBA-8 2021)
PB  - Atlantis Press
SP  - 476
EP  - 490
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220702.071
DO  - 10.2991/aebmr.k.220702.071
ID  - Afika2022
ER  -