UI - Tesis Membership :: Kembali

UI - Tesis Membership :: Kembali

Analisis dinamis arus modal asing di pasar obligasi negara domestik di indonesia = Dynamics analysis of foreign capital flows in the indonesian domestic government bond market

Riky Candra; Hara, Yonosuke, supervisor; Otsuji, Yoshihiro, examiner ([Publisher not identified] , 2015)

 Abstrak

[ABSTRAK
Tingginya porsi kepemilikan asing pada Obligasi Negara (ON) domestik
dapat meningkatkan likuiditas dan mengurangi biaya pinjaman pemerintah.
Namun demikian, hal ini juga menyimpan risiko dalam hal sudden reversal.
Penelitian ini mengamati perilaku investor asing di pasar ON domestik dengan
mempergunakan model vektor auto regresi (VAR). Dua faktor yang
mempengaruhi perilaku asing di pasar ON domestik yaitu pull factor atau faktor
internal dan push factor atau faktor eksternal. Hasil temuan dari estimasi VAR
menunjukkan bahwa harga minyak, sebagai faktor eksternal, secara positif
menggerakkan arus dana asing.
Analisa dari hasil estimasi Impulse Response Function (IRF) menunjukkan
bahwa gejolak dari arus dana asing secara negatif saling mempengaruhi yield ON,
leading indicator, dan volatilitas nilai tukar, tetapi berpengaruh positif terhadap
tingkat suku bunga. Berdasarkan analisa diatas, penelitian ini memiliki implikasi
kebijakan antara lain perlunya intervensi pemerintah di pasar sekunder melalui
buyback dan debt switch, pemberlakuan minimum holding period, memperkuat
fungsi pengawasan dan supervisi, menembangkan kerangka Bond Stabilization
Fund (BSF), dan mempromosikan obligasi pembiayaan proyek.

ABSTRACT
High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments? cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds., High foreign ownership of domestic government bonds (GB) could generate
liquidity and reduce governments’ cost of borrowing. However, they also contain
risk in the case of sudden reversal. This study investigates the behavior of the
foreign investors in the domestic Indonesian GB market by applying the vector
auto regression (VAR) model. There are two factors that could determine foreign
behavior in the domestic GB market, namely pull (or internal) factors and push (or
external) factors. The finding from the VAR estimation provides evidence that oil
price, as a push factor, positively drives foreign capital flows.
Dynamic analysis from the Impulse Response Function (IRF) shows that the
shock of foreign capital flows negatively respond to GB yield, leading indicator,
and exchange rate volatility, and vice versa. However, it has a positive impact on
interest rates and vice versa. Based on its results, this study has important policy
implications, such as government intervention in the secondary market through
buyback and debt switch, application of a minimum holding period, strengthening
the control and supervision body, construction of a Bond Stabilization Fund
framework, and promotion of project-financing bonds.]

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Jenis Koleksi : UI - Tesis Membership
No. Panggil : T-Pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Program Studi :
Subjek :
Penerbitan : [Place of publication not identified]: [Publisher not identified], 2015
Bahasa : eng
Sumber Pengatalogan : LibUI eng rda
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Deskripsi Fisik : ix, 28 pages : illustration ; 28 cm + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI, Lantai 3
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No. Panggil No. Barkod Ketersediaan
T-Pdf 15-18-100958113 TERSEDIA
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Tidak ada ulasan pada koleksi ini: 20422631
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