[ABSTRAK
Penelitian ini bertujuan untuk menganalisis pengaruh shock kondisimakroekonomi Indonesia dan tingkat bunga internasional terhadap imbal hasilObligasi Negara dalam US Dollar. Penelitian dengan metode Vector ErrorCorrection Model (VECM) menggunakan data bulanan yang terdiri dari imbalhasil Obligasi Negara dalam US Dollar, tingkat bunga domestik, tingkat harga,nilai tukar riil, dan tingkat bunga internasional periode bulan Januari 2006 sampaidengan Desember 2013. Hasil penelitian menunjukkan variabel tingkat bungadomestik, tingkat harga, nilai tukar riil dan tingkat bunga internasional secarasignifikan berpengaruh positif terhadap imbal hasil Obligasi Negara dalam USDollar dan terjadi mekanisme koreksi dalam model imbal hasil Obligasi Negaradalam US Dollar yang mengindikasikan adanya kointegrasi.
ABSTRACT
This study analyzes the effect of Indonesia macroeconomic condition andinternational interest rate shocks on yield of the Government Bond in US Dollar.It applies Vector Error Correction Model (VECM) using monthly data consist ofyield 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 toDecember 2013. The results show that domestic interest rate, price level, realexchange rate, and international interest rate have significantly positive impact onyield of the Government Bond in US Dollar and confirm the presence of errorcorrection mechanism in the yield of the Government Bond in US Dollar modelthat indicates the existence of cointegration.;This study analyzes the effect of Indonesia macroeconomic condition andinternational interest rate shocks on yield of the Government Bond in US Dollar.It applies Vector Error Correction Model (VECM) using monthly data consist ofyield 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 toDecember 2013. The results show that domestic interest rate, price level, realexchange rate, and international interest rate have significantly positive impact onyield of the Government Bond in US Dollar and confirm the presence of errorcorrection mechanism in the yield of the Government Bond in US Dollar modelthat indicates the existence of cointegration., This study analyzes the effect of Indonesia macroeconomic condition andinternational interest rate shocks on yield of the Government Bond in US Dollar.It applies Vector Error Correction Model (VECM) using monthly data consist ofyield 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 toDecember 2013. The results show that domestic interest rate, price level, realexchange rate, and international interest rate have significantly positive impact onyield of the Government Bond in US Dollar and confirm the presence of errorcorrection mechanism in the yield of the Government Bond in US Dollar modelthat indicates the existence of cointegration.] |
T41799-Farouq Widya Pramana.pdf :: Unduh