Determinan Tingkat Imbal Hasil (Yield) Surat Berharga Negara (SBN) Domestik

Authors

  • ihda muktiyanto DJPPR, Kementerian Keuangan
  • Muhammad Aulia Direktorat Jenderal Pengelolaan Pembiayaan Dan Risiko.

DOI:

https://doi.org/10.31685/kek.v3i1.190

Abstract

Yield Surat Berharga Negara (SBN) domestik Indonesia relatif lebih tinggi dibandingkan dengan negara-negara dengan profil serupa di Asia Tenggara maupun di kelompok Emerging Markets (EMs) lainnya. Sebagai gambaran, rata-rata imbal hasil SBN domestik dengan tenor sepuluh tahun (SBN 10y) Indonesia sepanjang 2014 s.d. 2018 berada pada tingkat 7.7%, lebih tinggi apabila dibandingkan dengan imbal hasil instrumen serupa pada periode yang sama di Thailand (2.7%), Malaysia (4.0%), Filipina (5.3%), Vietnam (6.0%), Meksiko (6.7%), Kolombia (7.1%), dan India (7.6%).

Dengan mengadopsi studi yang telah dilakukan oleh Jaramillo dan Weber (2012) dan Gadanecz et al. (2014) tentang determinan tingkat imbal hasil obligasi domestik di negara-negara EMs dan menggunakan metode Ordinary Least Square (OLS), kajian ini menyimpulkan bahwa sepanjang periode Januari 2007 s.d. Desember 2018, tingkat imbal hasil US Treasury tenor sepuluh tahun (UST10y), ekspektasi perubahan suku bunga kebijakan bank sentral, tingkat inflasi inti, ekspektasi nilai tukar Rupiah terhadap USD, dan spread CDS 5 tahun, secara bersama-sama memiliki hubungan positif dan signifikan terhadap tingkat yield SBN 10y, dengan tingkat yield UST10y memiliki pengaruh paling signifikan terhadap tingkat yield SBN 10y

Author Biographies

  • ihda muktiyanto, DJPPR, Kementerian Keuangan

    Kepala Subdirektorat Pengembangan Pengelolaan Pembiayaan, Direktorat Jenderal Pengelolaan Pembiayaan Dan Risiko.

    Doctor of Business Administration, VICTORIA UNIVERSITY, MELBOURNE, AUSTRALIA

     

  • Muhammad Aulia, Direktorat Jenderal Pengelolaan Pembiayaan Dan Risiko.
    Kasi Pengembangan Pasar Utang, Direktorat Jenderal Pengelolaan Pembiayaan Dan Risiko.

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Published

2019-04-30

Issue

Vol. 3 No. 1 (2019)

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Articles

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