ANALYSIS OF ECONOMIC INDICATORS THAT INFLUENCED GOVERNMENT BOND YTM IN PANEL DATA METHOD

• Main Author: ADIAKSO (NIM : 29109029); Pembimbing: Dr. Ir. Budhi Arta Surya, M.Sc, PRATOMO
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19154
• Institution: Institut Teknologi Bandung

Funding activities for government's routine activities and for its country development come from the earning which eventually comes from taxes, exports reduce by imports and also from loans. But when those funding activities cannot adequate to cover up the government's costs, besides the government's taxes, export and loans, government can issue bonds to get additional funds. In this case the Indonesian government issues SUN (Surat Utang Negara) bonds. <br /> <br /> <br /> Bond as one of the financial market element is often affected by the country's economic conditions. In this research some economic conditions are analyzed to see the impact on yield-to-maturity of Indonesian government's bonds. Those economic indicators are the interest rate of Bank Indonesia's Certificate (SBI), Bank of Indonesia's mid foreign exchange (Rupiah to US dollar), money supply, real gross domestic product, Indonesia composite stock price index (IHSG), and consumer price index. Those economic indicators are examined in this research to see the impact on Indonesian government bonds especially for FR0010, FR0013, FR0016, FR0017, FR0019, FR0020, FR0023, and FR0026 bond series. <br /> <br /> <br /> Panel data method turn out to be the best tool to see the trend that occurs in government's bonds which is the influence of economic indicators in the changes of Indonesian government bond's YTM. The economic informations that gathered in this research have the characteristics that suit the panel data method where those data has time series and cross-section. <br /> <br /> <br /> The analyzing of economic indicators that can influence fixed coupon government bond consists of government bond daily data and economic indicators data from year 2005-2009. The result from this research is Bank of Indonesia's mid foreign exchange, consumer price index, real GDP influenced government bond's YTM positively, and IHSG influenced government bond's YTM FR series. <br /> <br /> <br /> The implementation of panel data method in estimating the economic indicators that can influence the changes of government bond's YTM. Therefore this research can be used as reference material for the investors in its investments decision by taking into account the economic conditions that are occurring during the investment, and as for the government, this research can also be used as reference material for bond's buy-back decision and in issuing new bond to financial market by considering the country’s economic conditions.