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All Journal Indonesian Treasury Review: Jurnal Perbendaharaan, Keuangan Negara dan Kebijakan Publik
Tatang Ary Gumanti
Faculty of Economics and Business, Widya Mandala Catholic University, Surabaya, Indonesia
Economics, Econometrics & Finance

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Threshold Effects of Foreign Holdings on ASEAN Sovereign Bond Yields Ardhiani Fadila; Tatang Ary Gumanti; Julia Safitri; Eka Handriani
Indonesian Treasury Review: Jurnal Perbendaharaan, Keuangan Negara dan Kebijakan Publik Vol. 11 No. 2 (2026): Indonesian Treasury Review: Jurnal Perbendaharaan, Keuangan Negara dan Kebijak
Publisher : Direktorat Jenderal Perbendaharaan, Kementerian Keuangan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33105/itrev.v11i2.1401

Abstract

Research Originality — This study uniquely examines the non-linear effect of foreign ownership on sovereign bond yields in Indonesia, Malaysia, Thailand using a Panel Threshold Regression (PTR) model to identify specific inflection points, while differentiating from previous studies by accounting for market liquidity and foreign reserves. Research Objectives — This study aims to empirically assess the impact of foreign participation on 10-year government bond yields, determine the threshold levels altering this relationship, and evaluate whether market liquidity and foreign reserves act as transmission channels or risk buffers. Research Methods — Using quarterly panel data for Indonesia, Malaysia, and Thailand over the period 2009-2023, the empirical approach combines fixed-effect regression to capture baseline relationships with PTR to account for regime-dependent effects. Empirical Results — Findings reveal a strong non-linear negative influence of foreign investments on interest rates, with a critical threshold established at 10.2%. Below this cut-off, interest rates are highly sensitive and prone to rise, indicating market vulnerability, whereas an increase above this value effectively lowers interest rates. Implications — Contributing to the Term Structure of Interest Rate literature, this study demonstrates that emerging market bond dynamics are driven more by investor confidence than short-term instruments. Policymakers must maintain foreign participation within an optimal range to prevent sudden capital outflows and ensure market stability.
Co-Authors Ardhiani Fadila Eka Handriani Julia Safitri