ANALISIS PENGARUH SUKU BUNGA DAN PRODUK DOMESTIK BRUTO DI INDONESIA TERHADAP CREDIT DEFAULT SWAP (CDS) SPREADS

FATRIA, TRISNA OKTA (2021) ANALISIS PENGARUH SUKU BUNGA DAN PRODUK DOMESTIK BRUTO DI INDONESIA TERHADAP CREDIT DEFAULT SWAP (CDS) SPREADS. S1-Sarjana thesis, Universitas Mercu Buana Jakarta.

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Abstract

Credit Default Swap (CDS) is a new derivative instrument after the US subprime mortgage in 2008, CDS which is a hedging instrument becomes an indicator for investors to assess the investment prospects of a bond. The movement of CDS is influenced by various fundamental aspects of the macro economy of a country. This study aims to determine the extent to which macroeconomic variables affect the performance of CDS in Indonesia. In this study, macroeconomic conditions are represented by Interest Rates and Economic Growth. This research is a quantitative study, the data used are secondary data (time series) and are processed quarterly from the period 2010Q1 - 2019Q1. Using a regression method with Ordinary Least Squares (OLS). The results of this research indicate that the interest rate variable partially has a positive and significant effect. It shows that every increase of one unit of interest rate variable is able to increase the CDS, the Gross Domestic Product variable shows that the risk level of the country, especially Indonesia, is strongly influenced by the conditions of Indonesia's economic growth, which is reflected by Nominal Gross Domestic Product. This is consistent with the theory which states that the better the economic conditions of a country the less risk the country's default is viewed by investors. . Keywords: Credit Default Swap, Interest Rates, Gross Domestic Product Credit Default Swap (CDS) merupakan instrument derivatif baru pasca subprime mortgage Amerika tahun 2008, CDS yang merupakan instrument hedging menjadi sebuah indikator bagi investor untuk menilai prospek investasi atas suatu obligasi. Pergerakan CDS dipengaruhi oleh berbagai aspek fundamental makro ekonomi dari suatu negara tersebut. Penelitian ini bertujuan untuk mengetahui sejauh mana variabel makro ekonomi mempengaruhi pergeragak CDS di Indonesia. Dalam Penelitian ini kondisi makro ekonomi direpresentasikan oleh Suku Bunga dan Pertumbuhan Ekonomi. Penelitian ini adalah penelitian kuantitatif, data yang digunakan adalah data sekunder (time series) dan diolah secara kuartal dari periode 2010Q1 – 2019Q1. Menggunakan metode regresi dengan Ordinary Least Squares (OLS). Hasil penelitin ini menunjukan bahwa secara parsial variabel Suku Bunga berpengaruh positif dan signifikan ini menunjukan bahwa setiap peningkatan satu satuan variabel Suku Bunga mampu menaikan CDS, pada variabel Produk Domestik Bruto menunjukan bahwa tingkat risiko negara khususnya Indonesia sangat dipengaruhi oleh kondisi pertumbuhan ekonomi Indonesia, yang dicerminkan oleh Produk Domestik Bruto Nominal. Hal ini sesuai dengan teori yang menyatakan bahwa semakin baik kondisi ekonomi suatu negara semakin kecil risiko default negara tersebut dipandang investor. Kata Kunci : Credit Default Swap Spreads, Suku Bunga, Produk Domestik Bruto

Item Type: Thesis (S1-Sarjana)
NIM: 43115120334
Uncontrolled Keywords: Credit Default Swap Spreads, Suku Bunga, Produk Domestik Bruto
Subjects: 300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan > 332.7 Credit/Kredit
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 334 Cooperative/Koperasi, Sistem Perkoperasian
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 334 Cooperative/Koperasi, Sistem Perkoperasian > 334.2 Banking and Credit Cooperatives/Koperasi Perbankan dan Kredit
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 28 Jan 2021 02:22
Last Modified: 28 Jan 2021 02:22
URI: http://repository.mercubuana.ac.id/id/eprint/59440

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