THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND
This study analyzes the roles of macroeconomic variables, which include interest rate (SBI), Consumer Price Index (IHK), Jakarta Composite Index (IHSG), money supply (JUB) and exchange rate (KURS) on yield spread of government bonds (YSI) in Indonesia. The study employs Error Correction Model (ECM)...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Brawijaya
2016-12-01
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| Series: | Journal of Indonesian Applied Economics |
| Subjects: | |
| Online Access: | http://jiae.ub.ac.id/index.php/jiae/article/view/181 |
| _version_ | 1797724827070496768 |
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| author | Chandra Utama Shela Selviana Agesy |
| author_facet | Chandra Utama Shela Selviana Agesy |
| author_sort | Chandra Utama |
| collection | DOAJ |
| description | This study analyzes the roles of macroeconomic variables, which include interest rate (SBI), Consumer Price Index (IHK), Jakarta Composite Index (IHSG), money supply (JUB) and exchange rate (KURS) on yield spread of government bonds (YSI) in Indonesia. The study employs Error Correction Model (ECM) on Indonesian monthly data from January 2008 to December 2013. The study confirms that SBI and KURS significantly determine the YSI in the short run and the long run but money supply is significant only in the long run. However, YSI is not influenced by IHK and IHSG. Based on term structure of interest rate theory, the study finds that the expected future interest rate is determined by SBI, KURS, and JUB. |
| first_indexed | 2024-03-12T10:22:23Z |
| format | Article |
| id | doaj.art-24ef9463ed9e43a092d359c9c90e9421 |
| institution | Directory Open Access Journal |
| issn | 1907-7947 2541-5395 |
| language | English |
| last_indexed | 2024-03-12T10:22:23Z |
| publishDate | 2016-12-01 |
| publisher | University of Brawijaya |
| record_format | Article |
| series | Journal of Indonesian Applied Economics |
| spelling | doaj.art-24ef9463ed9e43a092d359c9c90e94212023-09-02T10:00:19ZengUniversity of BrawijayaJournal of Indonesian Applied Economics1907-79472541-53952016-12-016215517510.21776/ub.jiae.2016.006.02.2162THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BONDChandra Utama0Shela Selviana Agesy1Faculty of Economics, Catholic University of ParahyanganAlumni Faculty of Economics, Catholic University of ParahyanganThis study analyzes the roles of macroeconomic variables, which include interest rate (SBI), Consumer Price Index (IHK), Jakarta Composite Index (IHSG), money supply (JUB) and exchange rate (KURS) on yield spread of government bonds (YSI) in Indonesia. The study employs Error Correction Model (ECM) on Indonesian monthly data from January 2008 to December 2013. The study confirms that SBI and KURS significantly determine the YSI in the short run and the long run but money supply is significant only in the long run. However, YSI is not influenced by IHK and IHSG. Based on term structure of interest rate theory, the study finds that the expected future interest rate is determined by SBI, KURS, and JUB.http://jiae.ub.ac.id/index.php/jiae/article/view/181Government bond, Yield spread, Macroeconomic variable |
| spellingShingle | Chandra Utama Shela Selviana Agesy THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND Journal of Indonesian Applied Economics Government bond, Yield spread, Macroeconomic variable |
| title | THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND |
| title_full | THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND |
| title_fullStr | THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND |
| title_full_unstemmed | THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND |
| title_short | THE EFFECT OF MACROECONOMIC VARIABLES ON THE YIELD SPREAD OF INDONESIAN GOVERNMENT’S BOND |
| title_sort | effect of macroeconomic variables on the yield spread of indonesian government s bond |
| topic | Government bond, Yield spread, Macroeconomic variable |
| url | http://jiae.ub.ac.id/index.php/jiae/article/view/181 |
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