Global Commodity Prices, Exchange Rates, and Policy Interest Rates: ARDL Evidence from Indonesia's Stock Market, 2017–2024

Muhammad  Alfarid; Muhammad  Ahyar

doi:10.63922/ijbqr.v4i04.7344

Muhammad Alfarid Faculty of Economics and Business, University of Mataram
Muhammad Ahyar Faculty of Economics and Business, University of Mataram

DOI: https://doi.org/10.63922/ijbqr.v4i04.7344

Keywords: Jakarta Composite Index, Gold Prices, Brent Crude Oil, Exchange Rate, Policy Interest Rate, ARDL, Cointegration

Abstract

This study examines the short- and long-run associations between global gold prices, Brent crude oil prices, the Indonesian rupiah–U.S. dollar exchange rate, the Bank Indonesia policy rate, and the Jakarta Composite Stock Price Index (JCI) over January 2017–December 2024. Monthly secondary data comprise 96 observations. Following unit-root screening, an autoregressive distributed lag (ARDL) framework is estimated, with lag orders selected by the Akaike information criterion. The preferred ARDL(1,0,0,1,0) model uses 95 effective observations. The bounds F-statistic reported in the thesis (3.942) exceeds its 5% upper critical bound (3.698), supporting a long-run level relationship. Appendix-based re-estimation finds positive and statistically significant long-run coefficients for gold prices (0.219, p = .016) and Brent oil prices (0.339, p < .001); the exchange-rate and policy-rate coefficients are not significant at 5%. In the short run, rupiah depreciation is negatively associated with stock-market movements (coefficient ≈ −0.980, p < .001). The error-correction coefficient (−0.246, p < .001) implies that approximately 24.6% of disequilibrium is corrected per month. These findings underline the importance of distinguishing persistent commodity-related co-movements from short-term currency sensitivity when assessing Indonesian equity-market conditions.

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