Exchange rates, bond yields and the stock market: nonlinear evidence of Indonesia during the COVID-19 period

Purpose The authors explore the relationship between exchange rate, bond yield and stock market as well effect of capital dynamics on rate before during COVID-19 pandemic. Design/methodology/approach employ a non-linear autoregressive distributed lag (NARDL) methodology using daily data Indonesian economy over period 2012–2021. Findings Whilst, full sample period, find no cointegration 10-year market, for evidence is present. Furthermore, results suggest that asymmetric effects are evident both in short long run. Originality/value To best authors’ knowledge, this first time pandemic has been explored case economy.