Determinan Yield Curve Surat Utang Negara

Abstract

The bond market plays an important role as an alternative source of financing in the current economic growth. Indonesian government funding through the domestic bond market continues to grow, indicated by the issuance of bonds that tends to increase over time. Research on the yield curve is ussually only imposed the effect of macroeconomic fundamentals, such as interest rates, inflation, economic growth, money supply and the exchange rate. However, research on the determinants of the yield curve beyond macroeconomic factors, especially in developing countries such as Indonesia is still limited. By using a vector error correction model , this study aims to analyze the determinants of the yield curve of government securities (SUN) in Indonesia by looking at how the yield curve response to shocks of these factors. The results of the study found that the development of the yield curve on Indonesia government bonds experienced a fluctuating movement which is influenced by liquidity factors, fundamental macroeconomic, external factors, and the market risk factors