DETERMINANT OF GOVERNMENT BOND YIELDS
DOI:
https://doi.org/10.31933/dijdbm.v1i1.85Keywords:
Government bond yieldAbstract
This study aims to analyze the influence of determinant factors: (i) exchange rates, (ii) inflation, (iii) CDS spreads, (iv) bid-ask spreads, (v) overnight rate, (vi) CB’s rate (Central Bank Rate), and (vii) oil prices on Government bond yields. The data used are monthly data in the period 2012 - 2018. The research method used is the Vector Auto Regression (VAR) approach. Our analysis indicated that the determinant factors have impact on government bond yields. Based on the analysis of the impulse response function (IRF), the yield is to respond to any shocks given by the long term. While through forecast error variance decomposition (FEVD) analysis, found that CDS spreads and oil prices contributed significantly to the movement of Government bond yields.
References
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Zheng, Q. (2015). The Explanatory Power of Credit Ratings on Government Bond Yields Spreads: A Comparison Study of Developed Countries and Developing Countries (Master Thesis). Erasmus University Rotterdam, Rotterdam, Belanda
Bank Indonesia. (2013). Kodifikasi Peraturan Bank Indonesia: Likuiditas Rupiah, Pasar Uang Antar Bank. Pusat Riset dan Edukasi Bank Sentral (PRES). Tersedia di: https://www.bi.go.id/id/peraturan/kodifikasi/bank/Pages/1.1.1.5.%20Pasar%20Uang%20Antar%20Bank.aspx
Bank Indonesia. (2016). Gubernur BI: Bank Indonesia Menetapkan 7-day Repo Rate Sebagai Suku Bunga Kebijakan Baru. Jakarta: Bank Indonesia. Tersedia di: http://www.bi.go.id/id/ruang-media/siaranpers/Pages/sp_182916.aspx.
Bank of International Settlement. (2016). Fixed income market liquidity. CGFS Papers No.55. Tersedia di: https://www.bis.org/publ/cgfs55.pdf.
Beber, Alessandro and Brandt, Michael W. and Kavajecz, Kenneth A. (2009). Flight-to-Quality or Flight-toLiquidity? Evidence from the Euro-Area Bond Market. The Review of Financial Studies, Vol. 22, Issue 3, pp. 925-957.
Favero, C., Pagano, M., and von Thadden, E.-L. (2010). “How does liquidity affect government bond yields?”. Journal of Financial and Quantitative Analysis, 45 (1), 107-134.
Fitriana, E.S., & Rohayati, S. (2013). Pengaruh Suku Bunga Terhadap Harga Obligasi Melalui Yield Obligasi. Jurnal Ilmu Manajemen, 1(3).
Gadanecz, B., Miyajima, K., and Shu, C. (2014). “Exchange rate risk and local currency sovereign bond yields in emerging markets”. BIS Working Paper No 474.
Gujarati (2004). Basic Econometrics 4th edition.The Mc Graw Hill Book Company, USA.
Hsing, Yu. 2015. Determinants of the Government Bond Yield in Spain: A Loanable Funds Model. International Journal of Financial Studies.
Idham, Ahmad. 2014. Analisis Faktor Determinan yang Mempengaruhi Yield Obligasi (Studi Empiris Pemerintah Indonesia 2009:1-2013:12). Yogyakarta : Skripsi Universitas Gajah Mada
Jaramillo, Laura and Anke Weber (2012). “Bond Yields in Emerging Economies: It Matters What State You Are In”. IMF Working Paper, Vol.12, No.198, hal 1-24.
Kurniasih, Augustina dan Yulia Restika (2015). “The Influence of Macroeconomic Indicators and Foreign Ownership on Government Bond Yields: A Case of Indonesia”. Mediterranean Journal of Social Sciences, Vol.6, No.5, hal 34-42.
Kurniawan, F. (2015). Inflasi Indonesia [PowerPoint Slides]. Diambil dari materi presentasi pada kegiatan knowledge sharing di DJPPR Kemenkeu, 9 November 2015.
M. Firdaus (2011) Aplikasi Ekonometrika Untuk Data Panel dan Time Series. IPB Press, Bogor
Mankiw, N. Gregory. 2007. Makroekonomi, Edisi Keenam. Jakarta: Penerbit Erlangga.
Martellini L, Priaullet P, Priaullet S. 2003. Fixed Income Securities. New York (US): Wiley.
Miskhin FS. 2009. The Economics of Money, Banking and Financial Market. 9th ed. New York (US) : Pearson Education.
Muharam, Harjum. 2011. Model Determinan Imbal Hasil Obligasi Pemerintah. Semarang: Disertasi Universitas Diponegoro.
Nawalkha SK, Gloria M Soto. 2009. Term Structure Estimation. Isenberg School of Management University of Massachusetts, Amhest. Tersediapada: http://www.fixedincome.com
Perovic, Lena Malesevic. 2015. The Impact of Fiscal Positions on Government Bond Yields in CEE Countries. Journal of Economic System.
Ross, S., Westerfield, R., and Jordan, B. 2015. Fundamental of Corporate Finance. Mc Graw Hill Education. Jakarta: SalembaEmpat.
Santosa, Perdana Wahyu dan Pardomuan Sihombing (2015). Factors Affecting The Yield Curve Fluctuation Of Indonesia Government Bond. International Journal of Applied Business and Economic Research, Vol.13, No.6, hal 4073-4087.
Sihombing, Pardomuan. 2014. Determinan Yield Curve Surat Utang Negara (). Tesis. Bogor: Institut Pertanian Bogor
Sihombing, Pardomuan. 2018. Corporate Financial Management. Bogor: IPB Press
Simatupang, B. (2016). Kajian Determinan Tingkat Imbal (Yield) Hasil Surat Berharga Negara [PowerPoint Slides]. Diambil dari materi presentasi pada kegiatan diskusi kelompok terpumpun antara DJPPR Kemenkeu dan Universitas Katolik Parahyangan Bandung, 28 April 2016.
Soebagiyo, D., & Panjawa, J.L. (2016). Determinan Surat Utang Negara () dengan Pendekatan ECM. The 3rd University Research Colloquium. Kudus: LPPM Muhammadiyah.
Tandelilin, Eduardus. 2001. Analisis Investasi dan Manajemen Portofolio. Edisi Pertama, Cetakan Pertama, Yogyakarta: BPFE Yogyakarta.
Yahya, Norliza Che, Ruzita Abdul Rahim dan Rasidah Mohd Rashid (2016). Determinants Of Corporate Bond Yield: The Case of Malaysian Bond Market”. International Journal of Business and Society, Vol.17, No.2, hal 245-258.
Zheng, Q. (2015). The Explanatory Power of Credit Ratings on Government Bond Yields Spreads: A Comparison Study of Developed Countries and Developing Countries (Master Thesis). Erasmus University Rotterdam, Rotterdam, Belanda
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2020-01-14
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