Abstract
The increasing integration of the world economy and the large share of foreign ownership of the Government Securities (SBN), then changes in economic policies in developed countries affect the pressure on financial markets in emerging market countries. This study analyzes the effect of macroeconomic factors on 10-year tenor Government's yields issued by the Government of Indonesia for the period 2012-2017. Using the Vector Error Correction Model (VECM) results in long-term USD/IDR, Oil Price, Credit Default Swap (CDS) are negatively significant, while Brazilian State Bonds (ON Brazil) have a significant positive effect on SBN yield. Based on the analysis of Impulse Response Function (IRF), the shock of yield on ON Brazil, CDS, JIBOR, USD / IDR and US Treasury (UST) responded positively by the yield SBN in each period, but the shock by Oil Price responded negatively by the yield of SBN. The result of Forecast Error Variance Decomposition (FEVD) analysis shows that UST variable is the biggest variable contribution influence to Indonesia SBN yield, followed by CDS and ON Brazil.
Highlights
The increasing integration of the world economy and the large share of foreign ownership of the Government Securities (SBN), changes in economic policies in developed countries affect the pressure on financial markets in emerging market countries
Kontribusi shock variabel yield ON Brazil terhadap yield SBN mula-mula hanya sebesar 0 persen pada periode 1 dan terus mengalami peningkatan sampai periode ke-10 menjadi sebesar 2,22%
Hasil analisis Forecast Error Variance Decomposition (FEVD) menunjukkan bahwa variabel US Treasury (UST) merupakan variabel terbesar yang memiliki kontribusi pengaruh terhadap yield SBN Indonesia, diikuti nilai Credit Default Swap (CDS) Indonesia dan ON Brazil selaku negara kompetitor
Summary
The increasing integration of the world economy and the large share of foreign ownership of the Government Securities (SBN), changes in economic policies in developed countries affect the pressure on financial markets in emerging market countries. Hal ini selaras dengan vestor asingakan sangat senang apabila penelitian Abeysinghe (2001) terkait reUSD/IDR mengalami penguatan, oleh spon harga minyak terhadap negaramaju karena kaitannya denganharga perole- dan negara kecil dengan perekonomian han saat pembelian SBN dan keuntungan terbuka. Sedangkan apa- ini sejalan dengan penelitian Fontana dan bila yield ON Brazil naik sebesar satu Scheicher (2010) dalam menganalisa kopersen maka yield SBN Indonesiaakan relasi CDS pada negara-negara eropa ikut naik sebesar 3,4%.
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