ANALISIS DETERMINAN YIELD OBLIGASI PEMERINTAHAN

ADIWIBOWO, PRIYO (2020) ANALISIS DETERMINAN YIELD OBLIGASI PEMERINTAHAN. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

This study aims to examine and analyze the influence of determinant factors including: (i) exchange rates, (ii) inflation, (iii) CDS spreads, (iv) bid-ask spreads, (v) interbank interest rates (PUAB), (vi) BI rate, and (vii) the price of oil to yield on Government bonds denominated in Rupiah. The data used in this study are monthly data in the period 2012 - 2018. The type of research used in this study is a quantitative approach using impulse response function (IRF) analysis and forecast error variance decomposition (FEVD). This study generally aims: (i) to analyze the factors that affect yields of Government Securities (SUN) in Indonesia by looking at how the yield response to shocks from these factors and (ii) analyze the contribution of the factors that influence the formation of yield in Indonesia. Based on the results of the impulse response function (IRF), yield is sufficient to respond to any shocks given by the above factors both in the short and long term. This condition is in line with the hypothesis contained in this study. Based on the results of the forecast error variance decomposition (FEVD), this study found that CDS spreads and oil prices contributed significantly compared to other factors. In terms of CDS spreads, this condition is very possible considering the sustainability of a country's debt repayment capability must be maintained in order to avoid the risk of default on debt instruments issued. While in terms of oil prices, in the aggregate will be responded to by the increase in the entire price of goods or in other words global and domestic inflation. In the long term, this condition will increase the risk of assets, which in turn will increase yield. Keywords: exchange rates, inflation, CDS spread, bid-ask spread, interbank interest rates (PUAB), BI rate, oil prices, Government bond yields. Penelitian ini bertujuan untuk menguji dan menganalisis pengaruh faktor determinan antara lain: (i) nilai tukar, (ii) inflasi, (iii) CDS spread, (iv) bid-ask spread, (v) suku bunga antar bank (PUAB), (vi) BI rate, dan (vii) harga minyak terhadap yield obligasi Pemerintah berdenominasi Rupiah (SUN domestik). Data yang digunakan dalam penelitian ini merupakan data bulanan dalam rentang waktu 2012 - 2018. Jenis penelitian yang digunakan dalam penelitian ini adalah pendekatan kuantitatif dengan menggunakan analisis impulse response function (IRF) dan forecast error variance decomposition (FEVD). Penelitian ini secara umum bertujuan: (i) menganalisis faktor-faktor yang mempengaruhi yield Surat Utang Negara (SUN) di Indonesia dengan melihat bagaimana respon yield terhadap guncangan dari faktor-faktor tersebut dan (ii) menganalisis kontribusi dari faktor-faktor yang berpengaruh terhadap pembentukan yield Surat Utang Negara (SUN) di Indonesia. Berdasarkan hasil impulse response function (IRF), yield SUN cukup merespon setiap guncangan yang diberikan oleh faktor diatas baik dalam jangka pendek maupun panjang. Kondisi ini sejalan dengan hipotesis yang terdapat dalam penelitian ini. Berdasarkan hasil forecast error variance decomposition (FEVD), studi ini menemukan bahwa CDS spread dan harga minyak memberikan kontribusi yang cukup besar dibandingkan faktor lainnya. Dari sisi CDS Spread, kondisi ini menjadi sangat mungkin mengingat sustainabilitas kemampuan membayar utang suatu negara harus dijaga guna menghindari risiko gagal bayar atas instrumen utang yang diterbitkan. Sementara dari sisi harga minyak, secara agregat akan direspon oleh kenaikan seluruh harga barang atau dengan kata lain inflasi global dan domestik. Dalam jangka panjang, kondisi ini akan meningkatkan risiko atas asset yang pada akhirnya akan meningkatkan yield SUN. Kata kunci: nilai tukar, inflasi, CDS spread, bid-ask spread, suku bunga antar bank (PUAB), BI rate, harga minyak, yield obligasi Pemerintah.

Item Type:	Thesis (S2)
Call Number CD:	CDT-551-20-011
Call Number:	T-51-MKU-20-009
NIM/NIDN Creators:	55117120065
Uncontrolled Keywords:	exchange rates, inflation, CDS spread, bid-ask spread, interbank interest rates, manajemen keuangan (PUAB), BI rate, oil prices, Government bond yields. nilai tukar, inflasi, CDS spread, bid-ask spread, suku bunga antar bank (PUAB), BI rate, harga minyak, yield obligasi Pemerintah
Subjects:	600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 658 General Management/Manajemen Umum
Divisions:	Pascasarjana > Magister Manajemen
Depositing User:	UMMI RAHMATUSSYIFA
Date Deposited:	17 Feb 2022 04:05
Last Modified:	18 Jun 2022 02:49
URI:	http://repository.mercubuana.ac.id/id/eprint/56252

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