DETERMINAN YIELD OBLIGASI PEMERINTAH INDONESIA TENOR 1, 5 DAN 10 TAHUN

ROSANTI, AMALIA (2022) DETERMINAN YIELD OBLIGASI PEMERINTAH INDONESIA TENOR 1, 5 DAN 10 TAHUN. S2 thesis, Universitas Mercu Buana Jakarta-Menteng.

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Abstract

This study intends to examine the effects of macroeconomic factors including the BI Rate, CDS, JCI, Inflation, Exchange Rate and FFR (Fed Fund Rate) on the yields of Indonesian Government Bonds for 1, 5 and 10 years during the period 2011 – 2020. Type of data used is data time series taken on a monthly basis, which is processed using the Eviews 12 application program. The analytical method used is VECM. The data analysis stage is through stationarity test, optimal lag test, VECM estimation test, Impulse Response Function (IRF) analysis, Forecast Error Variance Decomposition (FEVD) analysis. The result of this observation states that the Fed Funds Rate, CDS and JCI have a positive effect on the yields of Indonesian government bonds with maturities of 1, 5 and 10 years. The exchange rate (Kurs) and inflation have a negative effect on the yields of 1, 5 and 10 year government bonds. The BI Rate has a positive effect on yields on Indonesian government bonds with a period of 1 year, but has a negative effect on yields on Indonesian government bonds with a period of 5 and 10 years. The biggest contribution to the yields of Indonesian government bonds with a period of 1, 5 and 10 years is the yield of the bonds themselves. In addition, the CDS variable has a significant contribution to the yield of 1 year and yield of 10-year government bonds and the JCI variable also contributes to the yield of 1-year government bonds only. Keywords: Macro Economic, Governement Bonds, VECM, IRF, FEVD Penelitian ini bermaksud menguji efek faktor makro ekonomi diantaranya BI Rate, CDS, IHSG, Inflasi, KURS serta FFR (Fed Fund Rate) terhadap imbal hasil Obligasi Pemerintah Indonesia tenor 1, 5 dan 10 tahun selama periode 2011 – 2020. Jenis data yang dipergunakan ialah data time series yang diambil secara bulanan yang diolah memakai program aplikasi Eviews 12. Metode analisis yang dipergunakan adalah VECM. Tahap analisis data melalui uji stasioneritas, uji lag optimal, uji estimasi VECM, analisis Impulse Response Function (IRF), analisis Forecast Error Variance Decomposition (FEVD). Hasil dari pengamatan ini menyatakaan bahwa Fed Fund Rate, CDS dan IHSG memiliki efek positif terhadap imbal hasil obligasi pemerintah Indonesia tenor 1, 5 dan 10 tahun. Nilai tukar (Kurs) dan inflasi berpengaruh negatif terhadap imbal hasil obligasi pemerintah Indonesia 1, 5 dan 10 tahun. BI Rate berpengaruh positif terhadap imbal hasil obligasi pemerintah Indonesia jangka waktu 1 tahun, namun berpengaruh negatif terhadap imbal hasil obligasi pemerintah Indonesia jangka waktu 5 dan 10 tahun. Kontribusi paling besar terhadap imbal hasil obligasi pemerintah Indonesia jangka waktu 1, 5 dan 10 tahun ialah imbal hasil obligasi itu sendiri. Selain itu variabel CDS memiliki berkontribusi yang cukup besar pada imbal hasil obligasi pemerintah tenor 1 dan 10 tahun dan variabel IHSG berkontribusi juga untuk imbal hasil obligasi pemerintah tenor 1 tahun saja. Kata Kunci : Makro Ekonomi, Obligasi Pemerintah, VECM, IRF, FEVD

Item Type:	Thesis (S2)
NIM/NIDN Creators:	55119120116
Uncontrolled Keywords:	Macro Economic, Governement Bonds, VECM, IRF, FEVD
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:	ORYZA LUVITA
Date Deposited:	19 Apr 2022 03:32
Last Modified:	19 Apr 2022 03:32
URI:	http://repository.mercubuana.ac.id/id/eprint/60096

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