Pengaruh Makroekonomi terhadap Yield Spread Obliglasi Indonesia Berdenominasi Rupiah
Indonesia bond market is developing rapidly but not much is understood in the terms of macroeconomic factors that could influence the yield spread of the Indonesian Rupiah denominated bond. Based on a multifactor model, this paper examines the impact of six macroeconomics factor namely: interest rat...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/119084/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=59075 |
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| Institution: | Universitas Gadjah Mada |
| Summary: | Indonesia bond market is developing rapidly but not much is understood in the terms
of macroeconomic factors that could influence the yield spread of the Indonesian
Rupiah denominated bond. Based on a multifactor model, this paper examines the
impact of six macroeconomics factor namely: interest rate (INT), inflation rate (INF),
exchange rate (KURS), country rating (PHN), bond index (IB) and Indeks Harga
Saham Gabungan (IHSG) on bond yield spread of the Indonesia Government
Securities (IGS) and Corporate Bonds for a periode between December 2009 to June
2012. The findings support the expected hypotheses that INF are the major drivers
that influence the changes in yield spreads. However INT, KURS, PHN and IB have
weak and no influence on yield spreads respectively. Whilst IHSG has significant
influence only on the yield spread with longer term maturing bond. |
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