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ABSTRAKPenelitian ini bertujuan untuk menganalisis pengaruh shock kondisi
makroekonomi Indonesia dan tingkat bunga internasional terhadap imbal hasil
Obligasi Negara dalam US Dollar. Penelitian dengan metode Vector Error
Correction Model (VECM) menggunakan data bulanan yang terdiri dari imbal
hasil Obligasi Negara dalam US Dollar, tingkat bunga domestik, tingkat harga,
nilai tukar riil, dan tingkat bunga internasional periode bulan Januari 2006 sampai
dengan Desember 2013. Hasil penelitian menunjukkan variabel tingkat bunga
domestik, tingkat harga, nilai tukar riil dan tingkat bunga internasional secara
signifikan berpengaruh positif terhadap imbal hasil Obligasi Negara dalam US
Dollar dan terjadi mekanisme koreksi dalam model imbal hasil Obligasi Negara
dalam US Dollar yang mengindikasikan adanya kointegrasi.
ABSTRACTThis study analyzes the effect of Indonesia macroeconomic condition and
international interest rate shocks on yield of the Government Bond in US Dollar.
It applies Vector Error Correction Model (VECM) using monthly data consist of
yield of the Government Bond in US Dollar, domestic interest rate, price level,
real exchange rate, and international interest rate in the period of January 2006 to
December 2013. The results show that domestic interest rate, price level, real
exchange rate, and international interest rate have significantly positive impact on
yield of the Government Bond in US Dollar and confirm the presence of error
correction mechanism in the yield of the Government Bond in US Dollar model
that indicates the existence of cointegration.;This study analyzes the effect of Indonesia macroeconomic condition and
international interest rate shocks on yield of the Government Bond in US Dollar.
It applies Vector Error Correction Model (VECM) using monthly data consist of
yield of the Government Bond in US Dollar, domestic interest rate, price level,
real exchange rate, and international interest rate in the period of January 2006 to
December 2013. The results show that domestic interest rate, price level, real
exchange rate, and international interest rate have significantly positive impact on
yield of the Government Bond in US Dollar and confirm the presence of error
correction mechanism in the yield of the Government Bond in US Dollar model
that indicates the existence of cointegration., This study analyzes the effect of Indonesia macroeconomic condition and
international interest rate shocks on yield of the Government Bond in US Dollar.
It applies Vector Error Correction Model (VECM) using monthly data consist of
yield of the Government Bond in US Dollar, domestic interest rate, price level,
real exchange rate, and international interest rate in the period of January 2006 to
December 2013. The results show that domestic interest rate, price level, real
exchange rate, and international interest rate have significantly positive impact on
yield of the Government Bond in US Dollar and confirm the presence of error
correction mechanism in the yield of the Government Bond in US Dollar model
that indicates the existence of cointegration.]
T41799-Farouq Widya Pramana.pdf :: Unduh