DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM

This study aims to uncover the determinants’ effect on the return rate of government securities (GS). This study's data uses the government bonds that can be traded with the ten-year tenor, and the time-horizon of the collected data spans from 2009:M1 to 2018:M6. The study methodology utilizes...

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Autor principal:	Batara Maju Simatupang
Formato:	article
Lenguaje:	EN
Publicado:	Universitas Padjadjaran 2021
Materias:	government securities vector error correction model yields Commerce HF1-6182
Acceso en línea:	https://doaj.org/article/a9006a24350444738b01fb092eacdd18
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spelling	oai:doaj.org-article:a9006a24350444738b01fb092eacdd182021-11-11T06:49:21ZDETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM10.24198/jbm.v22i2.6891412-36812442-4617https://doaj.org/article/a9006a24350444738b01fb092eacdd182021-09-01T00:00:00Zhttp://journal.feb.unpad.ac.id/index.php/jbm/article/view/689https://doaj.org/toc/1412-3681https://doaj.org/toc/2442-4617This study aims to uncover the determinants’ effect on the return rate of government securities (GS). This study's data uses the government bonds that can be traded with the ten-year tenor, and the time-horizon of the collected data spans from 2009:M1 to 2018:M6. The study methodology utilizes the vector error correction model (VECM) model to determine the short-term backward behavior, which refers to the situation where the short-term balances are corrected for the long-term balances. Additionally, it is also to reveal the relationship between the variables within the model. Thus, this study is to see whether GS’s reciprocal level has been at the value of efficient return or not. The results show that the cointegrated determinants of the Bank Indonesia (BI) rate / seven days repo, outstanding tradable government bonds, Fitch Rating, exchange rate, sovereign country risk, and regional bond index positively affects the GS yield. In contrast, the determinants of Fitch Rating, exchange rate, sovereign country risk, and outstanding tradable government bond negatively influence GS yields. The implication of this research is that the Indonesian government securities are interdependent with the identified determinants; thus, the Indonesian government should maintain the movement of those determinants to ensure that its GS stays positive.Batara Maju SimatupangUniversitas Padjadjaranarticlegovernment securitiesvector error correction modelyieldsCommerceHF1-6182ENJurnal Bisnis dan Manajemen, Vol 22, Iss 2, Pp 127-146 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	government securities vector error correction model yields Commerce HF1-6182
spellingShingle	government securities vector error correction model yields Commerce HF1-6182 Batara Maju Simatupang DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM
description	This study aims to uncover the determinants’ effect on the return rate of government securities (GS). This study's data uses the government bonds that can be traded with the ten-year tenor, and the time-horizon of the collected data spans from 2009:M1 to 2018:M6. The study methodology utilizes the vector error correction model (VECM) model to determine the short-term backward behavior, which refers to the situation where the short-term balances are corrected for the long-term balances. Additionally, it is also to reveal the relationship between the variables within the model. Thus, this study is to see whether GS’s reciprocal level has been at the value of efficient return or not. The results show that the cointegrated determinants of the Bank Indonesia (BI) rate / seven days repo, outstanding tradable government bonds, Fitch Rating, exchange rate, sovereign country risk, and regional bond index positively affects the GS yield. In contrast, the determinants of Fitch Rating, exchange rate, sovereign country risk, and outstanding tradable government bond negatively influence GS yields. The implication of this research is that the Indonesian government securities are interdependent with the identified determinants; thus, the Indonesian government should maintain the movement of those determinants to ensure that its GS stays positive.
format	article
author	Batara Maju Simatupang
author_facet	Batara Maju Simatupang
author_sort	Batara Maju Simatupang
title	DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM
title_short	DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM
title_full	DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM
title_fullStr	DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM
title_full_unstemmed	DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM
title_sort	determinants of government securities yield using vecm
publisher	Universitas Padjadjaran
publishDate	2021
url	https://doaj.org/article/a9006a24350444738b01fb092eacdd18
work_keys_str_mv	AT bataramajusimatupang determinantsofgovernmentsecuritiesyieldusingvecm
_version_	1718439427456368640

DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM

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