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Muhammad Heru Akhmadi
Politeknik Keuangan Negara STAN
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Environmental Science Health Professions Industrial & Manufacturing Engineering Law, Crime, Criminology & Criminal Justice Mathematics Medicine & Pharmacology Public Health Social Sciences Transportation Other

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Determinants of government debt portfolio management: A VECM analysis of Indonesia’s fiscal dynamics Sumantri, Joko; Akhmadi, Muhammad Heru; Kusumawati, Rahayu; Purnomoputro, Ajik; Setiawan, M Rudy
Educoretax Vol 5 No 8 (2025)
Publisher : WIM Solusi Prima

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54957/educoretax.v5i8.1848

Abstract

This paper explores the macroeconomic determinants shaping the composition of Indonesia’s sovereign debt portfolio, distinguishing between foreign loans, government securities, and sukuk instruments. Using quarterly data from 2010 to 2025 and a Vector Error Correction Model (VECM), the study reveals robust long-run cointegration between key macro variables and debt composition. Exchange rate stability, global interest rate dynamics, and fiscal policy adjustments emerge as dominant drivers. Policy implications underscore the importance of active debt diversification and macroprudential coordination to enhance fiscal resilience. Employing the Vector Error Correction Model (VECM), the analysis examines the impact of the exchange rate (X1), LIBOR (X2), SIBOR (X3), U.S. Prime Rate (X4), Japan Prime Rate (X5), foreign exchange reserves (X6), inflation rate (X7), and GDP growth rate (X8) on the allocation of foreign loans (Y1), government debt securities (Y2), and state sharia securities (Y3) over the period 2010–2025. The findings reveal that the relationships between the dependent variables (Y1, Y2, Y3) and the macroeconomic indicators (X1–X8) are both dynamic and heterogeneous in the short and long term. These results underscore that the effectiveness of economic policy is not solely dependent on direct interventions targeting debt instruments, but also on the government's ability to manage long-term adjustment mechanisms and short-term transmission channels, particularly through key variables such as X5, X3, and X2.
Co-Authors Aang Prabudi Sanusi Abdi Patu, Andi Syafirah Putri Adam Wira Sanjaya Aisyah Basandid Akhmad Solikin Aldimasqi, Lalu Muhammad Andi Syafirah Putri Abdi Patu Andreas Oktorinus Anggraini, Novenia Puspita Anindya Enggar Novita Arda Octaviola Rachmalia Arhaninka, Dewi Arkandisari Atmaja Syaiban A’yun, Qurrata Cindy Claudia, Cindy Dandy Ananda Patria Wirawan Dani Sugiri Dzakisyah Alyus Mubarak Egla Margaretta Meliala Erin Widya Butar Butar Erlita Nurma Wati Erlita Nurma Wati Erlita Nurma Wati Erlita Nurma Wati Fuady, Muhammad Syahrul Imam Sumardjoko Irvan Taufiq Irwanda Wisnu Wardhana Iyas Theresia Pasaribu Joko Sumantri, Joko Khairiyah, Yotasa Raidah Maulidiyah, Syafrina Moh Badrus Sholeh Muchtar, Masruri Muhamad, Dharmawan Nur Muhammad Syahrul Fuady Novitasari Putri Ramadhani Nur Instinganah Nurul Khilyati Pardomuan Robinson Sihombing Purnomoputro, Ajik Putu Nanda Priastawa Qur'an, Nurul Rahayu Kusumawati Rahayu Kusumawati, Rahayu Rahman, Rheza Auliya Sakti Prabowo, Sakti Salsabiyla Aden Santorry Santorry Setiawan, M Rudy Shasza Yemima Puteri Atmodjo Stephanus, Matthew Sukarsa, Galuh Sulaeman, Agus Sunarya suliantoro, irwan Sumardjoko, Imam Syahirul Alim (Kementerian Keuangan) Syaiban, Arkandisari Atmaja Wati, Erlita Nurma Yanuar Pribadi