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The Credit Risk Dynamics Of International Bonds: The Indonesian Case

Author

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  • Kannan S. Thuraisamy

    (Deakin University)

Abstract

The objective of this paper is to test how market-determined local-, global- and US based factors explain the behaviour of Indonesian credit spreads. Using a specific asset class of bonds issued in the international market by the Indonesian government, this paper provides evidence confirming the importance of major local and global macroeconomic variables in pricing risky debt issued by Indonesia. Using US dollar–denominated bonds ranging from shorter- to longer-maturity groups, this study provides insights into the role of these determinants in the pricing process. Given the implications for pricing and risk management, the evidence from this study is important for investors, policymakers, and issuers.

Suggested Citation

  • Kannan S. Thuraisamy, 2019. "The Credit Risk Dynamics Of International Bonds: The Indonesian Case," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-20, January.
    • Handle: RePEc:idn:journl:v:1:y:2019:i:sp6:p:1-20
    DOI: https://doi.org/10.21098/bemp.v0i0.980
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    References listed on IDEAS

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    4. Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
    5. Narayan, Paresh Kumar & Sharma, Susan Sunila & Thuraisamy, Kannan Sivananthan, 2014. "An analysis of price discovery from panel data models of CDS and equity returns," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 167-177.
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    Cited by:

    1. Padhan, Rakesh & Prabheesh, K.P., 2020. "Business cycle synchronization: Disentangling direct and indirect effect of financial integration in the Indian context," Economic Modelling, Elsevier, vol. 85(C), pages 272-287.
    2. Sharma, Susan Sunila & Thuraisamy, Kannan & Madyan, Muhammad & Laila, Nisful, 2019. "Evidence of price discovery on the Indonesian stock exchange," Economic Modelling, Elsevier, vol. 83(C), pages 2-7.

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    More about this item

    Keywords

    Credit Spread; Indonesia; International Bonds;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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