PENGARUH FAKTOR MAKRO EKONOMI, FAKTOR LIKUIDITAS DAN FAKTOR EKSTERNAL TERHADAP YIELD OBLIGASI PEMERINTAH INDONESIA

Abstract

<p>This research has been undertaken to delve more deeply about the movement of the government<br />bond yield in Indonesia, which is important to be a reference to predict the bond market expectation. The<br />movement of the government bond yield in Indonesia has been actually caused of a couple of factors, for<br />instance macroeconomics, liquidity, and external. The data that has been used for this research is from<br />January 2012 to July 2016. Therefore, according to the result of the unit root test and co-integration,<br />VECM has become a suitable method for accomplishing this research. The outcome of this research,<br />ultimately, has proved that the movement of the government bond yield in Indonesia for all tenor had<br />been fluctuating on account of all variables that contained of macroeconomics, liquidity, and external.<br />The variable that gives the largest contribution for the movement of the government bond yield in<br />Indonesia is the coupon rate itself.<br />Keywords: bond yield, external, macroeconomics, liquidity, VECM</p>