:: UI - Tesis Membership :: Kembali

UI - Tesis Membership :: Kembali

Dynamic Linkages antara Yield Surat Berharga Negara (SBN-Domestik), Indeks Harga Saham Gabungan (IHSG), Yield US Treasury Bond, SP500 dan Kurs IDR/USD-Dampak Pandemic-covid19 Dengan Pendekatan Model Vector Error Correction Model (VECM) = Dynamic Linkages Among Government Bonds Yield (SBN-Domestic), IDX Composite (IHSG), US Treasury Bond Yield, SP500 and IDR/USD Exchange Rate-Impact of Pandemic-Covid-19 by Using Vector Error Correction Model (VECM) Approach

Tampubolon, Martono; Buddi Wibowo, supervisor; Viverita, examiner; Zaafri Ananto Husodo, examiner (Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2023)

 Abstrak

Penelitian ini menguji secara empiris perubahan dynamic linkages variabel yield SBN-Domestik, IHSG terhadap shocks yield US Treasury bond, SP500 dan IDR/USD. Analisis menggunakan VECM. Uji IRF, VD dan Granger causality membuktikan bahwa dalam jangka panjang, periode pandemic-covid19 variabel yield SBN-domestik mengalami perubahan hubungan dinamis yang signifikan terhadap semua shock, namun perubahan terbesar terdapat pada yield SBN3Y dan SBN5Y. Hal ini disebabkan karena pada periode pendemic-covid19, SBN3Y dan SBN5Y sebagai SBN tenor pendek dan menengah dianggap lebih berisiko. Perubahan IHSG signifikan terhadap shockSP500 periode pandmeic-covid19. Uji variance decomposition periode pandemic-covid19 membuktikan dalam jangka panjang SP500 mempunyai kontribusi varians tertinggi.

This study empirically examines the dynamic linkages among yield SBN-Domestic and IDX-Composite to the shocks of US Treasury bonds, SP500 and IDR/USD. Analysis applying VECM. IRF, VD and Granger causality tests prove that in the long-run, during the pandemic-covid19 period, the SBN-Domestic experienced a significant change to all shocks, but the biggest changes were on SBN3Y and SBN5Y. This was due to the fact that during the Covid-19 pandemic, SBN3Y and SBN5Y were considered high risk. IDX-Composite was significantly changes for SP500 during pandemic-covid19 period. Variance decomposition test proved that in the long run, SP500 has the highest variance contribution.

 File Digital: 1

Shelf
 T-Tampubolon, Martono.pdf :: Unduh

LOGIN required

 Metadata

No. Panggil : T-pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : Depok: Fakultas Ekonomi dan Bisnis Universitas Indonesia, 2023
Program Studi :
Bahasa : ind
Sumber Pengatalogan : LibUi ind rda
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource (rdcarrier)
Deskripsi Fisik : xii, 123 pages : illustration + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI
  • Ketersediaan
  • Ulasan
No. Panggil No. Barkod Ketersediaan
T-pdf 15-23-83937448 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 9999920518024