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All Journal Jurnal Perspektif Pembiayaan dan Pembangunan Daerah
Ahmad Danu Prasetyo
School of Business and Management, Institut Teknologi Bandung, Indonesia
Economics, Econometrics & Finance

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The effect of inflation, US bond yield, and exchange rate on Indonesia bond yield Achlanudin Yusuf; Ahmad Danu Prasetyo
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah Vol. 6 No. 6 (2019): Jurnal Perspektif Pembiayaan dan Pembangunan Daerah
Publisher : Program Magister Ilmu Ekonomi Pascasarjana Universitas Jambi

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (546.463 KB) | DOI: 10.22437/ppd.v6i6.6853

Abstract

Indonesia sovereign bonds are investment graded bonds, therefore, it will have global exposure and it will be more interlinked with global market condition. The purpose of this research is to examine the impacts of US bond yield, exchange rate, and inflation on Indonesian bond yield. Our result conclude that based on Vector Error Correction Model there are long run causality from inflation, US 10 year bond yield, and USD/IDR exchange rate to Indonesia 10 year bond yield. There are also short-run causality from inflation and US 10 year bond yield to Indonesia 10 year bond yield. Based on impulse response function, Indonesia 10 year bond yield respond permanently to changes in US 10 year bond yield. Based on Granger causality we also reveal that inflation and US 10 year bond yield can cause Indonesia 10 year bond yield. US 10 year bond yield has a larger impact than inflation when it comes to affecting Indonesia 10 year bond yield
Co-Authors Achlanudin Yusuf