THE ANALYSIS THE EFFECT OF MACROECONOMIC FACTORS ON INDONESIA 10-YEAR GOVERNMENT BOND YIELD

Main Article Content

Chyntia Juliana Pratiwi
Matrodji H. Mustafa

Abstract

The purpose of this research is to analyze macroeconomics, namely Inflation, Gross Domestic Product, Exchange Rates, Interest Rates and Sovereign Risk to Indonesia 10-Year Government Bond Yield. The population in this study were all government bond yield tenors of the benchmark series for the period 2017 to 2019. The type of research used in this study is causal associative research. The research sample is Indonesian government bonds with a tenor of 10 years. The sample amounted to 36 data. The data analysis technique used multiple regression analysis method. The results showed that inflation and Gross Domestic Product have no effect on the Indonesia 10-Year Government Bond Yield. Exchange Rates, Interest Rates and Sovereign Risk have a positive and significant effect on the Indonesia 10-Year Government Bond Yield.

Article Details

Section
Articles

References

Abid, F., & Naifar, N. (2006). The determinants of credit default swap rates: An explanatory study. International Journal of Theoretical and Applied Finance, 9(1), 23–42. https://doi.org/10.1142/S0219024906003445
Badan Pusat Statistik. (2020). Inflasi. Diakses pada 2 Maret 2020, https://www.bps.go.id/ subject/3/inflasi.html
Bank Indonesia. (2020). Pengenalan Inflasi. Diakses pada 2 Maret 2020, https://www.bi.go.id/ id/moneter/inflasi/pengenalan/Contents/Default.aspx
Bloomberg. (2020). Data pergerakan Yield tenor seri Benchmark. Diakses pada 4 April 2020.
Direktorat Jenderal Pengelolaan Pembiayaan dan Risiko. (2020). Surat Utang Negara Seri Benchmark Tahun 2020. Diakses pada 1 Maret 2020,https://www.djppr.kemenkeu.go.id/page/loadViewer?idViewer=9300&action=download
Fabozzi, FJ. Fabozzi, TD. & Pollack., M. (2002). The Handbook of Fixed Income Securities. New York (US): Dow Jones-Irwinn.
Hsing, Y. (2015). Determinants of the Government Bond Yield in Spain: A Loanable Funds Model. International Journal of Financial Studies, 3(3), 342–350.
Indonesia Stock Exchange. (2020). Surat Utang. Diakses pada 4 April 2020, (https://www.idx.co.id/produk/surat-utang-obligasi/).
Kurniasih, A., & Restika, Y. (2015). The influence of Macroeconomic Indicators and Foreign Ownership on Government Bond Yields: A Case of Indonesia. Mediterranean Journal of Social Sciences, October.
Listiawati, Laras., & Paramita, V. (2018). Pengaruh Tingkat Suku Bunga, Inflasi, Debt to Equity Ratio, dan Ukuran Perusahaan terhadap Yield Obligasi pada Perusahaan yang terdaftar di Bursa Efek Indonesia tahun 2015 – 2016. Skripsi. Fakultas Ekonomi dan Bisnis, Univesitas Jenderal Achmad Yani, Semarang.
Madura, Jeff. (2009). International Corporate Finance. Edisi 8. Buku 1. Jakarta: Salemba Empat.
Mankiw, N. G., Euston Quah, & Peter, Wilson. (2012). Pengantar Ekonomi Makro. Edisi Asia. Jakarta: Salemba Empat.
Murtianingsih. (2012). Variabel Ekonomi Makro dan Indeks Harga Saham Gabungan. Jurnal Manajemen dan Akuntansi, 1 (3).
Nielsen, Mads S,. (2012). The Empirical Relationship between CDS Prices and Bond Yields after the Financial Crisis. Master’s Thesis. Copenhagen Business School Department of Finance.
Penilai Harga Efek Indonesia (PHEI). (2020). Data Pasar Surat Utang. Diakses pada 19 Juni 2020,http://www.ibpa.co.id/DataPasarSuratUtang/HargadanYieldHarian /tabid/84/Default.aspx
Saputra, Tiyas Ardian & Prasetiono. (2014). Analisis Faktor-Faktor Yang Mempengaruhi Yield Obligasi Konvensional Di Indonesia (Studi Kasus Pada Perusahaan Listed Di BEI). Jurnal Studi Manajemen & Organisasi 11 (2014) Juni 67-77.
Sihombing, Pardomuan. (2014). Determinan Yield Curve Surat Utang Negara (SUN). Disertasi. Institut Pertanian Bogor, Bogor.
Sihombing, Pardomuan & Hary Saputra Sundoro. (2017). Pengaruh Faktor Makroekonomi dan Likuiditas terhadap Yield Curve Obligasi Pemerintah Indonesia. Media Ekonomi, Vol. 25 No. 2 Oktober 2017: 117-132.
Shim, Ilhyock & Haibin Zhu. (2010). The Impact of CDS Trading on the Bond Market: Evidence From Asia’, Monetary and Economic Department. BIS Working Papers No 332.
Tandelilin, Eduardus. (2010). Portofolio dan Investasi Teori dan Aplikasi. Edisi pertama, Yogyakarta : Kanisius.
Wulandari, D. (2017). Pengaruh Tingkat Asuku Bunga, Peringat Obligasi dan Debt to Equity Ratio (DER) terhadap Yield Obligasi Korporasi (Studi Kaus Pada Seluruh Perusahaan Penerbit Obligasi Yang Terdaftar Di BEI Periode 2013-2015). Universitas Mercu buana, Jakarta.
Yuliawati, D., & Suarjaya, A. (2017). Pengaruh Umur Obligasi, Tingkat Suku Bunga, Dan Inflasi Pada Imbal Hasil Obligasi Pemerintah Di Bei. None, 6(11), 254500.