FINDING THE DRIVER: A CASE STUDY OF INDONESIAN GOVERNMENT BOND MARKET

Arif Sulistiono () and Miki Ishida
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Miki Ishida: #x2020;Graduate School of Social Sciences, Hiroshima University, Japan

The Singapore Economic Review (SER), 2019, vol. 64, issue 03, 543-574

Abstract: We investigate the relationships among credit default swap (CDS), government bond yield, foreign investors’ ownership, and exchange rate by conducting Vector Error Correction Model and Vector Auto Regression. We compare the relationships in the period of 2008 to 2013 and in the sub period when financial crisis happened in 2008. Using daily data from April 28, 2008 to December 31, 2013 in Indonesian government bond market, we find government bond yield plays a significant role; and drives the movement of the other variables. However, during the 2008 crisis, the yield loses its dominance and tends to follow the movement of CDS.

Keywords: Government bonds; credit default swap; foreign ownership; exchange rate; financial market (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1142/S0217590816500193

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