Authors :
Amalia Rosanti; Pardomuan Sihombing, Dr, SE, MSM
Volume/Issue :
Volume 6 - 2021, Issue 12 - December
Google Scholar :
http://bitly.ws/gu88
Scribd :
https://bit.ly/33EwmLC
DOI :
https://doi.org/10.5281/zenodo.5875230
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 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 CDS and JCI also have a significant
contribution only to 1 year government bonds.
Keywords :
Macroeconomics; Indonesian Government Bonds with 1, 5 and 10 Years; VECM; IRF; FEVD
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 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 CDS and JCI also have a significant
contribution only to 1 year government bonds.
Keywords :
Macroeconomics; Indonesian Government Bonds with 1, 5 and 10 Years; VECM; IRF; FEVD
