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Analisis pengaruh kondisi makroekonomi Indonesia dan tingkat bunga internasional terhadap imbal hasil (YIELD) obligasi negara dalam US dollar = Determinant analysis of Indonesia macroeconomic and international interest rate on (YIELD) of the government bond in US dollar

Farouq Widya Pramana; Nachrowi Djalal Nachrowi, supervisor; Maria Goreti Arie Damayanti, examiner; Beta Yulianita Gitaharie, co-promotor (, 2014)
 Abstrak
[ABSTRAK

Penelitian 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.


ABSTRACT

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.]
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 Metadata
No. Panggil : T41799
Pengarang :
Pengarang/kontributor lain :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2014
Program Studi :
Naskah Ringkas :
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text
Tipe Media : unmediated ; computer
Tipe Carrier : volume ; online resource
Deskripsi Fisik : xii, 87 pages : illustration ; 30 cm + appendix
Catatan Bibliografi : pages 85-87
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
  • Ketersediaan
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No. Panggil No. Barkod Ketersediaan
T41799 15-17-646605069 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20389208