The influence of Macroeconomic Indicators and Foreign Ownership on Government Bond Yields: A Case of Indonesia

Abstract

The purpose of this research is to examine and analyze the influence of inflation, BI rate, exchange rate, and foreign ownership on government bond yields. Research data is monthly data from 2010 to 2013. Purposive sampling is chosen as the sampling method in this research. Based on the determined criteria, 23 government bonds have fulfilled the sample criteria. The result of this research shows that inflation, BI rate, exchange rate, and foreign ownership simultaneously have a significant influence on government bond yields. Partially, inflation and BI rate have positive significant influence on government bond yield, while exchange rate and foreign ownership have negative significant influence on government bond yield.

Factors Affecting the Yield of Indonesia Government Bonds 10 Years

“…These findings support the theory of the interest rate, where when interest rates increase, the bond issuer will provide higher yields [14]. The results of this study are in line with Yuliawati & Suarjaya [5], Jaramillo & Weber [16] and Kurniasih & Restika [2] who found that interest rates have a positive and significant effect on bond yields.…”

“…The increase in inflation in the economy will have an impact on the magnitude of risk so that the expected yield will also increase. Kurniasih & Restika [2], Yusuf & Prasetyo [3] and Hsing [4] show that inflation has a positive and significant effect on bond yields. In contrast to the research of Yuliawati & Suarjaya [5], Lumbantobing [6], and Paramita & Pangestuti [7], it shows that inflation has no effect on bond yields.…”

The Analysis the Effect of Macroeconomic Factors on Indonesia 10-Year Government Bond Yield

“…So that when liquidity is high, even though the exchange rate condition is depression, investors will invest their funds while still paying attention to the risk appetite that investors have with the high demand for bonds, it will increase bond prices and the yield will gradually decrease. The results of this study are not in line with research conducted by Kurniasih & Restika (2015) The Influence of Macroeconomic Indicators and Foreign Ownership on Government Bond Yields: A Case of Indonesia. The results of the study found that the rupiah exchange rate had a negative effect on government bond yields, but in line with Yu (2015) research on Determinant of Government Bond Yield in Spain, the exchange rate research had a positive effect on government bond yields.…”

Pengaruh Kupon, Maturitas, Likuditas Dan Suku Bunga Terhadap Yield Obligasi Korporasi

“…Penelitian (Tjandrasa, 2017) dan (Pramana & Nachrowi, 2016) menemukan suku bunga berpengaruh positif terhadap yield obligasi. Sama halnya dengan penelitian (Dhar, 2016), (Yuliani et al, 2016), (Kurniasih & Restika, 2015), (Sihombing et al, 2014), (Muharam, 2013) dan (Indarsih, 2013).…”

“…(Sihombing et al, 2014) dan (Indarsih, 2013) menemukan bahwa suku bunga berpengaruh positif terhadap yield obligasi. Sama halnya (Tjandrasa, 2017), (Pramana & Nachrowi, 2016), (Dhar, 2016), (Yuliani et al, 2016), (Hsing, 2015), (Kurniasih & Restika, 2015), (Lin et al, 2011). Berdasarkan uraian diatas maka dapat diajukan hipotesis sebagai berikut:…”