Abstract
The spread of the Corona Virus Disease pandemic (COVID-19) is so fast that it poses a health threat and an economic crisis. Since the beginning of March, COVID-19 has spread in Indonesia. Some economic elements, such as the exchange rate, share prices, and so on, have been quite turbulent. This study analyzes the effect of Corona Virus Disease variable (COVID-19), as well as national stock price variables, world oil price variables and exchange rates of countries in ASEAN on IDR / USD exchange rate volatility in the long term and short term. The approach used is a quantitative analysis with the ARDL method and using the ARCH / GARCH method to calculate exchange rate volatility. Estimation results in the selected model show that national stock prices, COVID-19, and world oil prices have a significant effect. Both have a negative correlation with exchange rate volatility in the long run. In the short term, only the national stock price variable does not affect the exchange rate volatility. In contrast, the COVID-19 variable and world oil prices have a significant effect, and each is positively and negatively related to exchange rate volatility. Estimation results show that the exchange rates of countries in ASEAN affected exchange rate volatility during the COVID-19 Pandemic.
Highlights
The World Health Organization (WHO) issued a global warning about deadly infectious diseases that began in December 2019 in Wuhan, China (Maclntyre, 2020)
It has increasingly spread to several parts of Indonesia, recorded during March around 200 people who have been infected with the infectious disease
The estimation results of the Autoregressive Distributed Lag (ARDL) 1 model show that national stock price variables have significant and adverse effects on exchange rate volatility in the long run, but do not have a significant effect in the short term
Summary
The World Health Organization (WHO) issued a global warning about deadly infectious diseases that began in December 2019 in Wuhan, China (Maclntyre, 2020). On February 11, 2020, WHO named the disease Corona Virus Disease (COVID-19) caused by the Severe Acute Respiratory Syndrome Corona Virus-2 (SARS-CoV-2) virus (WHO, 2020a). The first COVID-19 case was in December 2019, in Wuhan, Hubei Province, China, with reports of mysterious cases of Pneumonia, precisely on 18 to December 19, 2019, there were five patients treated with the diagnosis of Acute Respiratory Distress Syndrome (ADRS) (Ren, 2020). The spread of the disease is out of control; in its development on March 30, 2020, there were 693,224 cases and 33,106 deaths worldwide, including Indonesia, which has the highest mortality rate in Southeast Asia with 8.9% (WHO, 2020b) Total Cases of COVID-19 in the World (March 2, 2020 - April 19, 2020)
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