Determinant of Indonesian Government Bond Yields with 1, 5 and 10 Years Term


Authors : Amalia Rosanti; Pardomuan Sihombing, Dr, SE, MSM

Volume/Issue : Volume 6 - 2021, Issue 12 - December

Google Scholar : http://bitly.ws/gu88

Scribd : https://bit.ly/33EwmLC

DOI : https://doi.org/10.5281/zenodo.5875230

This study intends to examine the effects of macroeconomic factors including the BI Rate, CDS, JCI, Inflation, Exchange Rate and FFR (Fed Fund Rate) on the yields of Indonesian Government Bonds for 1, 5 and 10 years during the period 2011 – 2020. Type of data used is data time series taken on a monthly basis, which is processed using the Eviews 12 application program. The analytical method used is VECM. The data analysis stage is through stationarity test, optimal lag test, VECM estimation test, Impulse Response Function (IRF) analysis, Forecast Error Variance Decomposition (FEVD) analysis. The result of this observation states that the Fed Funds Rate, CDS and JCI have a positive effect on the yields of Indonesian government bonds with maturities of 1, 5 and 10 years. The exchange rate and inflation have a negative effect on the yields of 1, 5 and 10 year government bonds. The BI Rate has a positive effect on yields on Indonesian government bonds with a period of 1 year, but has a negative effect on yields on Indonesian government bonds with a period of 5 and 10 years. The biggest contribution to the yields of Indonesian government bonds with a period of 1, 5 and 10 years is the yield of the bonds themselves, in addition CDS and JCI also have a significant contribution only to 1 year government bonds.

Keywords : Macroeconomics; Indonesian Government Bonds with 1, 5 and 10 Years; VECM; IRF; FEVD

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