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

Abstract

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