Rahmatika, Nurlia
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Macro economics: Liquidity, Solvency, and External Factor as Determinant of Government Bond Index Yield (INDOBEXGB) with The Vector Error Correction Model (VECM) Rahmatika, Nurlia; Fachmi, Muhamad Noer
Riset Vol 2 No 2 (2020): RISET : Jurnal Aplikasi EKonomi Akuntansi dan Bisnis
Publisher : Kesatuan Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35212/riset.v2i2.50

Abstract

The purpose of this research to analysis of several variables such as macroeconomics variables and volatility index to yield on government bond index. The macroeconomic indicators studied are consumer price index, BI rate, money supply, foreign reserve, exchange rate, Indonesia total debt, and external factor volatility index S&P 500. The period of this research was conducted using secondary data from January 2012 until December 2017. This research use Vector Error Correction Model (VECM) method because there is cointegration between variables, indicated by Trace Statistic and Max-Eigenvalue statistic which is bigger than Critical Value. The result of analysis shows that BI rate, money supply, Indonesia total debt, and volatility index S&P 500 give positive influence to yield government bond index INDOBEXGB, while consumer price index, foreign reserve, and exchange rate give negative effect to yield government bond index INDOBEXGB. The policy implication on the yield of state bonds is useful for the government as the economic authorities to determine the amount of bonds to issued and front loaded or wait and see strategy in issuing bonds. For corporate issuer is useful for reference in determining the cost of fund for corporate bonds issued.
HOW IS THE SHOCK OF THE MACRO ECONOMICS VARIABLES AND WORLD OIL PRICE EFFECTED THE YIELD OF INDONESIA GOVERNMENT BOND INDEX (INDOBEXGB)? Rahmatika, Nurlia
Media Ekonomi Vol 27, No 2 (2019): Oktober
Publisher : Lembaga Penerbit Fakultas Ekonomi dan Bisnis

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25105/me.v27i2.6280

Abstract

This study aims to measure how is the shock of the macro economics variables and world oil price effected the yield of indonesia government bond index (INDOBEXGB). The research methodology used is quantitative method uses time series data. The source of the data derived with monthly data and secondary data from Bank Indonesia (BI), Central Bureau of Statistics (BPS), Indonesia Bond Pricing Agency (IBPA) and Bloomberg. This research is analyzed by using Vector Error Correction Model (VECM) since there is cointegrated variables which could be seen in Trace Statistic and Max-Eigenvalues Statistic is greater than Critical Value. The result of the analysis shows that the shock of macro economics variables money supply and forex reserves give a negative and significant effect to yield on Indonesia Government Bond Index (INDOBEXGB). Whereas the shock of macro economics variables consumer price index, BI rate, exchange rate, and world oil prices each give a positive and significant effect to Indonesia Government Bond Index (INDOBEXGB).
Macro economics: Liquidity, Solvency, and External Factor as Determinant of Government Bond Index Yield (INDOBEXGB) with The Vector Error Correction Model (VECM) Rahmatika, Nurlia; Fachmi, Muhamad Noer
Riset Vol 2 No 2 (2020): RISET : Jurnal Aplikasi EKonomi Akuntansi dan Bisnis
Publisher : Kesatuan Press

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.35212/riset.v2i2.50

Abstract

The purpose of this research to analysis of several variables such as macroeconomics variables and volatility index to yield on government bond index. The macroeconomic indicators studied are consumer price index, BI rate, money supply, foreign reserve, exchange rate, Indonesia total debt, and external factor volatility index S&P 500. The period of this research was conducted using secondary data from January 2012 until December 2017. This research use Vector Error Correction Model (VECM) method because there is cointegration between variables, indicated by Trace Statistic and Max-Eigenvalue statistic which is bigger than Critical Value. The result of analysis shows that BI rate, money supply, Indonesia total debt, and volatility index S&P 500 give positive influence to yield government bond index INDOBEXGB, while consumer price index, foreign reserve, and exchange rate give negative effect to yield government bond index INDOBEXGB. The policy implication on the yield of state bonds is useful for the government as the economic authorities to determine the amount of bonds to issued and front loaded or wait and see strategy in issuing bonds. For corporate issuer is useful for reference in determining the cost of fund for corporate bonds issued.