How Do Global Shocks Affect Exchange Rate Dynamics in ASEAN-6? Evidence from VAR Analysis
Keywords:
Global Geopolitical Risk; S&P 500; VIX; Brent crude oil; Gold price; Exchange rate; ASEAN-6; Vector Autoregression.
Abstract
Despite growing global economic uncertainty, limited evidence exists on the combined transmission of geopolitical, financial, and commodity shocks to ASEAN-6 exchange rates. This study investigates the effects of the Global Geopolitical Risk (GPR) Index, the S&P 500 Index, the CBOE Volatility Index (VIX), Brent crude oil prices, and global gold prices on ASEAN-6 exchange rates using daily data from January 2023 to March 2026. A Vector Autoregression (VAR) framework is employed, incorporating Pairwise Granger Causality, Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD). The findings reveal heterogeneous transmission patterns across ASEAN-6 economies. Financial market shocks, particularly the S&P 500 and VIX, exert broader and more pronounced effects on exchange rates than geopolitical risk, while the impacts of oil and gold prices vary across countries. These findings underscore the importance of country-specific exchange rate stabilization policies to mitigate the effects of external shocks and strengthen financial resilience.
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Alamsyah, R., Andrian, T., & Awaluddin, I. (2024). Rupiah Exchange Rate Reaction to Macroeconomic News Using Daily Data for 2015–2022. International Journal of Social Science, Education, Communication and Economics, 2(6), 1799–1812.
Board of Governors of the Federal Reserve System. (2022, May 27). The Effect of the War in Ukraine on Global Activity and Inflation. FEDS Notes. https://doi.org/10.17016/2380-7172.3141
Bossman, A., Gubareva, M., & Teplova, T. (2023). Asymmetric Effects of Geopolitical Risk on Major Currencies: Russia–Ukraine Tensions. Finance Research Letters, 51, 103440. https://doi.org/10.1016/j.frl.2022.103440
Caldara, D., & Iacoviello, M. (2022). Measuring Geopolitical Risk. American Economic Review, 112(4), 1194–1225. https://doi.org/10.1257/aer.20191823
Caldara, D., & Iacoviello, M. (2022). Geopolitical Risk (GPR) Index. https://www.matteoiacoviello.com/gpr.htm
Castro, C., & Jiménez-Rodríguez, R. (2020). Dynamic Interactions Between Oil Price and Exchange Rate. PLOS ONE, 15(8), e0237172. https://doi.org/10.1371/journal.pone.0237172
Cboe Global Markets. (2022). Cboe Volatility Index (VIX). https://www.cboe.com/tradable_products/vix/
Federal Reserve Bank of St. Louis. (2026). Crude Oil Prices: Brent—Europe (DCOILBRENTEU). Federal Reserve Economic Data (FRED). https://fred.stlouisfed.org/series/DCOILBRENTEU
Federal Reserve Bank of St. Louis. (2026). S&P 500 (SP500). Federal Reserve Economic Data (FRED). https://fred.stlouisfed.org/series/SP500
Frikha, I. G. (2025). Do Geopolitical Shocks Drive Currency Volatility? New Evidence From a TVP-VAR Framework. Journal of Risk and Financial Management, 19(1), 18. https://doi.org/10.3390/jrfm19010018
Gujarati, D. N., & Porter, D. C. (2009). Basic Econometrics (5th ed.). McGraw-Hill.
Hui, H. C. (2022). The Long-Run Effects of Geopolitical Risk on Foreign Exchange Markets: Evidence From Some ASEAN Countries. International Journal of Emerging Markets, 17(6), 1543–1564. https://doi.org/10.1108/IJOEM-08-2020-1001
International Energy Agency. (2026). Southeast Asia Energy Outlook 2026. https://www.iea.org/reports/southeast-asia-energy-outlook-2026
Investing.com. (2026). Gold Spot Prices. https://www.investing.com/commodities/gold
Juanda, B., & Junaidi. (2012). Ekonometrika Deret Waktu: Teori dan Aplikasi (L. Utari & P. Komalasari, Eds.). IPB Press.
Kallianiotis, I. N. (2021). Exchange Rate Determination: The Portfolio-Balance Approach. Journal of Applied Finance & Banking, 11(1), 19–40.
Mishkin, F. S. (2019). The Economics of Money, Banking, and Financial Markets (12th ed.). Pearson.
Moore, T., & Wang, P. (2014). Dynamic Linkage Between Real Exchange Rates and Stock Prices: Evidence From Developed and Emerging Asian Markets. International Review of Economics & Finance, 29, 1–11. https://doi.org/10.1016/j.iref.2013.02.004
Neffelli, M., & Resta, M. R. (2018). Is VIX Still the Investor Fear Gauge? Evidence for the US and BRIC Markets. SSRN Electronic Journal, 1–29. https://doi.org/10.2139/ssrn.3199634
S&P Dow Jones Indices. (2022). S&P 500 Index. https://www.spglobal.com/spdji/en/indices/equity/sp-500/
Siddiqui, S., & Roy, P. (2019). Predicting Volatility and Dynamic Relation Between Stock Market, Exchange Rate and Select Commodities. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 67(6), 1597–1611. https://doi.org/10.11118/actaun201967061597
Sims, C. A., Stock, J. H., & Watson, M. W. (1990). Inference in Linear Time Series Models With Some Unit Roots. Econometrica, 58(1), 113–144. https://doi.org/10.2307/2938337
Triki, M. B., & Ben Maatoug, A. (2021). The Gold Market as a Safe Haven Against the Stock Market Uncertainty: Evidence From Geopolitical Risk. Resources Policy, 70, 101872. https://doi.org/10.1016/j.resourpol.2020.101872
United Nations Conference on Trade and Development. (2022). ASEAN Investment Report 2022: Pandemic Recovery and Investment Facilitation. https://unctad.org/publication/asean-investment-report-2022
United Nations Conference on Trade and Development. (2023). A Special ASEAN Investment Report 2023. https://unctad.org/publication/special-asean-investment-report-2023
Widarjono, A. (2013). Ekonometrika: Pengantar dan Aplikasi EViews (5th ed.). UPP STIM YKPN.
World Bank. (2022). Commodity Markets Outlook: The Impact of the War in Ukraine on Commodity Markets. https://www.worldbank.org/en/research/commodity-markets
World Bank. (2025). World Development Indicators. https://databank.worldbank.org/source/world-development-indicators
World Gold Council. (2025). Gold Demand Trends: Full Year 2024. https://www.gold.org/goldhub/research/gold-demand-trends/gold-demand-trends-full-year-2024
Yanuar, N. S. (2019). Exchange Rate and ASEAN Share Price: An Analysis of Asymmetry Response. Jurnal Manajemen, 23(1), 68. https://doi.org/10.24912/jm.v23i1.445
Yilmazkuday, H. (2025). Geopolitical Risks and Exchange Rates. Finance Research Letters, 74, 106769. https://doi.org/10.1016/j.frl.2025.106769
Published
2026-07-26
How to Cite
Agustina, M., Imam Awaluddin, & Dian Fajarini. (2026). How Do Global Shocks Affect Exchange Rate Dynamics in ASEAN-6? Evidence from VAR Analysis. International Journal of Economics, Business and Innovation Research, 5(04), 5795-5813. https://doi.org/10.63922/ijebir.v5i04.5596
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