Determinan Yield Curve Surat Utang Negara
Abstrak: The bond market plays
an important role as an alternative source of financing in the current economic
growth. Indonesian government funding through the domestic bond market
continues to grow, indicated by the issuance of bonds that tends to increase
over time. Research on the yield curve is ussually only imposed the effect of
macroeconomic fundamentals, such as interest rates, inflation, economic growth,
money supply and the exchange rate. However, research on the determinants of
the yield curve beyond macroeconomic factors, especially in developing
countries such as Indonesia is still limited. By using a vector error
correction model , this study aims to analyze the determinants of the yield
curve of government securities (SUN) in Indonesia by looking at how the yield
curve response to shocks of these factors. The results of the study found that
the development of the yield curve on Indonesia government bonds experienced a
fluctuating movement which is influenced by liquidity factors, fundamental
macroeconomic, external factors, and the market risk factors
Penulis: Pardomuan Sihombing,
Hermanto Siregar, Adler H. Manurung dan Perdana W. Santosa
Kode Jurnal: jpakuntansidd130128
