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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.

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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.]

Abstrak :
ABSTRAK
Kelayakan utang sebuah negara (credit worthiness) sebuah negara ditentukan dari kondisi ekonomi makro negara tersebut dan faktor eksternal. Penelitian ini bertujuan untuk menguji pengaruh faktor ekonomi makro serta faktor eksternal terhadap yield spread negara-negara di Asia Timur, Amerika Latin, dan Karibian. Variabel ekonomi makro yang digunakan dalam penelitian ini digolongkan dalam dua kelompok yakni yang memengaruhi likuiditas dab solvensi serta yang memengaruhi fundamental ekonomi makro. Penelitian dilakukan dengan menggunakan yeild spread triwulanan dari 11 negara untuk periode 2000Q1:2015Q4 dan analisis regresi data panel menggunakan Pooled Least Square (PLS), Fixed Effect Model (FEM), dan Random Effect Model (REM). Hasil penelitian menunjukkan bahwa variabel ekonomi makro yang memengaruhi yield spread adalah rasio utang luar negeri terhadap PDB, nilai tukar riil (real effective exchange rate), dan pertumbuhan PDB per kapita. Faktor eksternal yang memengaruhi yield spread adalah yield US Treasury 10 tahun dan Volatility Index (VIX).