Analisis Perilaku Indikator Debt Market

Peter Jacobs (), Arlyana Abubakar () and Tora Erita Siallagan ()
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Peter Jacobs: Bank Indonesia
Arlyana Abubakar: Bank Indonesia
Tora Erita Siallagan: Bank Indonesia

Bulletin of Monetary Economics and Banking, 2011, vol. 13, issue 3, 393-366

Abstract: This paper analyze the debt market, focusing on the behavior of soverign yield and Credit Default Swap (CDS). We build several empirical models to test the factors determine these two indicators and apply them using the Indonesian and peers data. The result confirm the significance impact of foreign reserves and VIX index on the bond yield in Indonesia and its peers country. On the Composite sovereign bond, the result shows that the real effective exchange rate (REER) and the debt service ratio (DSR) significantly affect the yield, while on the corporate bond yield, the significant explanatory variables are return on equity (ROE), inflation, the current ratio (CR) and net profit margin (NPM). However, there is an anomaly where the impact of the last two variables (CR and NPM) are contrary to the theory.

Keywords: Sovereign; bond; yield; debt market; risk; corporate fundamentals (search for similar items in EconPapers)
JEL-codes: G31 H63 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:13:y:2011:i:3d:p:393-366

DOI: 10.21098/bemp.v13i3.265

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