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Analisis Perilaku Indikator Debt Market

Author

Listed:
  • Peter Jacobs

    (Bank Indonesia)

  • Arlyana Abubakar

    (Bank Indonesia)

  • Tora Erita Siallagan

    (Bank Indonesia)

Abstract

This paper analyze the debt market, focusing on the behavior of soverign yield and Credit Default Swap (CDS). We build several empirical models to test the factors determine these two indicators and apply them using the Indonesian and peers data. The result confirm the significance impact of foreign reserves and VIX index on the bond yield in Indonesia and its peers country. On the Composite sovereign bond, the result shows that the real effective exchange rate (REER) and the debt service ratio (DSR) significantly affect the yield, while on the corporate bond yield, the significant explanatory variables are return on equity (ROE), inflation, the current ratio (CR) and net profit margin (NPM). However, there is an anomaly where the impact of the last two variables (CR and NPM) are contrary to the theory.

Suggested Citation

  • Peter Jacobs & Arlyana Abubakar & Tora Erita Siallagan, 2011. "Analisis Perilaku Indikator Debt Market," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 13(3), pages 1-28, January.
    • Handle: RePEc:idn:journl:v:13:y:2011:i:3:p:1-28
    DOI: https://doi.org/10.21098/bemp.v13i3.265
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    More about this item

    Keywords

    Sovereign; bond; yield; debt market; risk; corporate fundamentals;
    All these keywords.

    JEL classification:

    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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