Authors :
Siswoko; Said Djamaluddin
Volume/Issue :
Volume 7 - 2022, Issue 7 - July
Google Scholar :
https://bit.ly/3IIfn9N
Scribd :
https://bit.ly/3QfrG1W
DOI :
https://doi.org/10.5281/zenodo.6982260
Abstract :
Indonesian rupiah-denominated government
bond yields have risen by over the past few years, a
relatively high level compared to some ASEAN member
states and emerging markets (EMs).
The study aims to explore macroeconomic variables
that can affect government bond yields. Indonesia so that
the government's interest expense burden is kept at a
reasonable and controlled level. This study uses
multilinear regression analysis using SPSS.22 application.
Based on domestic Indonesian government bond data
traded on IDX for the period 2019-2020, using targeted
sampling over a non-random sampling technique, 24 dat
samples were selected. This study indicates that
macroeconomic fundamental variables such as foreign
reserves, composite index, BI interest rates, foreign
ownership, and exchange rates affect the yield to maturity
(YtM) movement of government bond. Meanwhile, other
variables such as inflation, money supply, and industrial
production index do not affect the YtM movement of
Indonesia’s government bond.
Keywords :
Indonesia’s government bond; Yield to Maturity; Industrial Production Index; Inflation; Money Supply; Exchange Rates; Interest rates; Foreign Ownership; Foreign Reserves and Composite Index.
Indonesian rupiah-denominated government
bond yields have risen by over the past few years, a
relatively high level compared to some ASEAN member
states and emerging markets (EMs).
The study aims to explore macroeconomic variables
that can affect government bond yields. Indonesia so that
the government's interest expense burden is kept at a
reasonable and controlled level. This study uses
multilinear regression analysis using SPSS.22 application.
Based on domestic Indonesian government bond data
traded on IDX for the period 2019-2020, using targeted
sampling over a non-random sampling technique, 24 dat
samples were selected. This study indicates that
macroeconomic fundamental variables such as foreign
reserves, composite index, BI interest rates, foreign
ownership, and exchange rates affect the yield to maturity
(YtM) movement of government bond. Meanwhile, other
variables such as inflation, money supply, and industrial
production index do not affect the YtM movement of
Indonesia’s government bond.
Keywords :
Indonesia’s government bond; Yield to Maturity; Industrial Production Index; Inflation; Money Supply; Exchange Rates; Interest rates; Foreign Ownership; Foreign Reserves and Composite Index.
