SISWOKO, SISWOKO (2022) PENENTU YIELD TO MATURITY OBLIGASI PEMERINTAH INDONESIA. S2 thesis, Universitas Mercu Buana Jakarta.
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Abstract
Yield of Indonesian government bonds denominated in rupiah was recorded at a relatively high level compared to several ASEAN member countries and Emerging Markets countries in recent years and experienced an increasing trend. This study aims to examine macroeconomic variables that can affect government bond yields, mitigate risks and produce appropriate policy recommendations to suppress the high level of Indonesian government bond yields so that the government's interest expenditure burden is maintained at a reasonable and controlled level. This research uses the Multiple Linear Regression Analysis tool with the help of the SPSS.22 application. Based on data on domestic Indonesian government bonds traded on the IDX during the period 2019-2020, using the purposive sampling method on a non-random sampling technique, 24 data samples were selected. This study indicates that macroeconomic fundamental variables such as foreign reserves, composite index (CI) , BI interest rates, foreign ownership, and exchange rates affect the yield to maturity (YtM) movement of government bonds. Meanwhile, other variables such as inflation, money supply, and industrial production index do not affect the YtM movement of Indonesian government bonds. Keywords: Indonesian government bonds; yield to maturity; IPI; inflation; money supply; exchange rate; interest rate; foreign ownership; foreign reserves and CI. Yield obligasi pemerintah Indonesia berdenominasi rupiah tercatat pada level yang relatif tinggi dibandingkan beberapa negara anggota ASEAN dan negara Emerging Markets (EMs) dalam beberapa tahun terakhir dan mengalami tren peningkatan. Penelitian bertujuan mengkaji variabel ekonomi makro yang dapat mempengaruhi tingkat yield obligasi pemerintah, memitigasi risiko dan menghasilkan rekomendasi kebijakan yang tepat untuk menekan tingginya tingkat yield obligasi pemerintah Indonesia sehingga beban belanja bunga pemerintah terjaga pada tingkat yang wajar dan terkendali. Penelitian ini menggunakan alat Analisis Regresi Linier Berganda dengan bantuan aplikasi SPSS.22. Berdasarkan data obligasi pemerintah Indonesia domestik yang diperdagangkan di BEI selama periode tahun 2019-2020, dengan menggunakan metode purposive sampling pada teknik non-random sampling, dipilih sebanyak 24 sampel data. Hasil penelitian ini menunjukkan bahwa variabel fundamental ekonomi makro seperti cadangan devisa, IHSG, suku bunga BI, kepemilikan asing dan nilai tukar berpengaruh terhadap pergerakan yield to maturity (YtM) obligasi pemerintah. Sedangkan variabel lainnya seperti inflasi, jumlah uang beredar dan indeks produksi industri tidak berpengaruh terhadap pergerakan YtM obligasi pemerintah Indonesia. Kata kunci: obligasi pemerintah Indonesia; imbal hasil hingga jatuh tempo; IPI; inflasi; jumlah uang beredar; nilai tukar; suku bunga; kepemilikan asing; cadangan devisa dan IHSG.
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