THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND | Zendy

Chandra Utama | Zendy; Shela Selviana Agesy | Zendy

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THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND

Author(s) -

Chandra Utama,

Shela Selviana Agesy

Publication year - 2016

Publication title -

journal of indonesian applied economics

Language(s) - English

Resource type - Journals

eISSN - 2541-5395

pISSN - 1907-7947

DOI - 10.21776/ub.jiae.2016.006.02.2

Subject(s) - indonesian , yield (engineering) , economics , indonesian government , bond , government bond , government (linguistics) , econometrics , monetary economics , finance , philosophy , linguistics , materials science , metallurgy

This study analyzes the roles of macroeconomic variables, which include interest rate (SBI), Consumer Price Index (IHK), Jakarta Composite Index (IHSG), money supply (JUB) and exchange rate (KURS) on yield spread of government bonds (YSI) in Indonesia. The study employs Error Correction Model (ECM) on Indonesian monthly data from January 2008 to December 2013. The study confirms that SBI and KURS significantly determine the YSI in the short run and the long run but money supply is significant only in the long run. However, YSI is not influenced by IHK and IHSG. Based on term structure of interest rate theory, the study finds that the expected future interest rate is determined by SBI, KURS, and JUB.

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