Open Access
Articles
Abstract
The objective of this study is to examine the long- and short-term relationships between macroeconomic variables such as inflation, the Bank Indonesia interest rate (BI Rate), the USD/IDR exchange rate, gross domestic product (GDP), and Credit Default SWAP on Indonesian sovereign bond yields from January 2016 to December 2022. The Vector Error Correction Model (VECM) analysis is employed. Microsoft Excel and Eviews were used to perform the research. According to the findings, the dependent variable, inflation, does not have a long-term relationship with bond yields of five, ten, fifteen, or twenty years, but does have a short-term relationship with bond yields. BI Rate has a positive long-term relationship with bond yields of five, ten, and fifteen years. USD/IDR Exchange Rate has a negative long-term relationship with government bond yields of all tenors. Gross Domestic Product (GDP) has a negative long-term relationship with bond yields
Article Details
How to Cite
Citation FormatAlfiana, A., Wenny Desty Febrian, Suwarsito, Herawati, & Aprih Santoso. (2023). Analysis of The Effect of Credit Default Swap and Macroeconomic Variables on Indonesian Government Bonds Yield. JEMSI (Jurnal Ekonomi, Manajemen, Dan Akuntansi), 9(5), 1974-1982. https://doi.org/10.35870/jemsi.v9i5.1499
References
10 References- Bhat, S. A., Shanmugasundaram, G., & Fahad.P. (2016). Impact Of Interest Rate, Exchange Rate And Consumer Price Index On Government Bond Returns Of India. ISSN:-2249-3867. Research Dimensions Volume, 3(2).
- Tannady, H., Andry, J. F., & Nurprihatin, F. (2020, March). Determinants factors toward the performance of the employee in the crude palm oil industry in West Sumatera, Indonesia. In IOP Conference Series: Materials Science and Engineering (Vol. 771, No. 1, p. 012066). IOP Publishing.
- Bodie, K., & Marcus. (2014). Portfolio and Investment Management. Jakarta: Fourth Edition.
- Choudry, M. (2001). The Bond and Money Market: Trading Strategy, Analysis. Linacre House, Jordan Hill, Oxford OX2 8DP: A division of Reed Educational and Professional Publishing Ltd.
- Taufik, Y., Sari, A. R., Zakhra, A., Ayesha, I., Siregar, A. P., Kusnadi, I. H., & Tannady, H. (2022). Peran Social Media Marketing dan Brand Awareness Terhadap Purchase Intention Produk Es Teh Indonesia. Jurnal Kewarganegaraan, 6(2), 5234-5240.
- Dewi, N. P., Purbawangsa, I. B., & Abundanti, N. (2016). The Effect of Interest Rates, Exchange Rates, Coupon Rates, and Bond Liquidity on Bond Market Prices in the Financial Sector. ISSN: 2302-8912. E-Journal of Unud Management, 5(5).
- Tannady, H., & Purnamaningsih, P. (2023). Determinant factors customer satisfaction and its implication on customer loyalty: from the perspective of customers of Vespa. International Journal of Science, Technology & Management, 4(2), 434-438.
- Halim, A. (2015). Analysis of Investment in Financial Assets. Jakarta: Mitra Wacana Media.
- Jogiyanto, H. (2017). Portfolio Theory and Investment Analysis. Yogyakarta: BPFE.
- Purwanti, P., & Purwidianti, W. (2017). The Effect of Bond Rating, Bank Indonesia Certificate Interest Rate, Leverage Ratio, Company Size, Bond Age, and Inflation Rate on Corporate Bond Yields on the Indonesia Stock Exchange. Journal of Management and Business MEDIA ECONOMICS, 17(1).
License
This is an open-access journal distributed under the Creative Commons Attribution 4.0 International License (CC BY 4.0), which permits unrestricted use, distribution, reproduction, and adaptation in any medium (even commercially), provided appropriate credit is given to the original author(s), a link to the license is provided, and any changes made are indicated. Authors retain copyright without restrictions and grant the journal the right of first publication as well as non-exclusive publishing rights for archiving, indexing, and scholarly dissemination.
Downloads
OJS UsageStats Plugin
Download data is not yet available.
Most read articles by the same author(s)
- Analysis Of The Influence Of Spiritual Capital, Motivation And Work Competencies On Performance Of Human Resource In Smes Sector Balla Wahyu Budiarto, Wulandari, Sugeng Karyadi , Loso Judijanto, Wenny Desty Febrian · Vol. 10 No. 1 (2024): Februari 2024
- Analysis Of The Effect Of Macroeconomic Variables On Returns Of Mutual Fund Shares Traded At State Owned Bank Alfiana Alfiana, Petrus Loo, Loso Judijanto, Jemmy Christian Rakinaung, Ngurah Pandji Mertha Agung Durya · Vol. 10 No. 1 (2024): Februari 2024
- Analysis of The Influence of Brand Image and Negative Electronic Word of Mouth on Repurchase Intention of Ice Cream Aice Consumers Syailendra Reza Irwansyah Rezeki, Fani Sartika, Tengku Kespandiar, Ita Nurcholifah, Wenny Desty Febrian · Vol. 9 No. 5 (2023): Oktober 2023
Contrimetric