Determinants of Yield to Maturity of Indonesian Government Bond


Authors : Siswoko; Said Djamaluddin

Volume/Issue : Volume 7 - 2022, Issue 7 - July

Google Scholar : https://bit.ly/3IIfn9N

Scribd : https://bit.ly/3QfrG1W

DOI : https://doi.org/10.5281/zenodo.6982260

Abstract : Indonesian rupiah-denominated government bond yields have risen by over the past few years, a relatively high level compared to some ASEAN member states and emerging markets (EMs). The study aims to explore macroeconomic variables that can affect government bond yields. Indonesia so that the government's interest expense burden is kept at a reasonable and controlled level. This study uses multilinear regression analysis using SPSS.22 application. Based on domestic Indonesian government bond data traded on IDX for the period 2019-2020, using targeted sampling over a non-random sampling technique, 24 dat samples were selected. This study indicates that macroeconomic fundamental variables such as foreign reserves, composite index, BI interest rates, foreign ownership, and exchange rates affect the yield to maturity (YtM) movement of government bond. Meanwhile, other variables such as inflation, money supply, and industrial production index do not affect the YtM movement of Indonesia’s government bond.

Keywords : Indonesia’s government bond; Yield to Maturity; Industrial Production Index; Inflation; Money Supply; Exchange Rates; Interest rates; Foreign Ownership; Foreign Reserves and Composite Index.

Indonesian rupiah-denominated government bond yields have risen by over the past few years, a relatively high level compared to some ASEAN member states and emerging markets (EMs). The study aims to explore macroeconomic variables that can affect government bond yields. Indonesia so that the government's interest expense burden is kept at a reasonable and controlled level. This study uses multilinear regression analysis using SPSS.22 application. Based on domestic Indonesian government bond data traded on IDX for the period 2019-2020, using targeted sampling over a non-random sampling technique, 24 dat samples were selected. This study indicates that macroeconomic fundamental variables such as foreign reserves, composite index, BI interest rates, foreign ownership, and exchange rates affect the yield to maturity (YtM) movement of government bond. Meanwhile, other variables such as inflation, money supply, and industrial production index do not affect the YtM movement of Indonesia’s government bond.

Keywords : Indonesia’s government bond; Yield to Maturity; Industrial Production Index; Inflation; Money Supply; Exchange Rates; Interest rates; Foreign Ownership; Foreign Reserves and Composite Index.

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