Tjandrasa, Benny Budiawan and Siagian, Hotlan and Jie, Ferry (2020) The Macroeconomic Factors Affecting Government Bond Yield in Indonesia, Malaysia, Thailand, and the Philippines. Investment Management and Financial Innovations, 17 (3). pp. 111-121. ISSN 1812-9358
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Abstract
The government bond (GB) has become the most attractive investment portfolio op�tion, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by con�sidering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regres�sion techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simul�taneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign ex�change rate, stock market index, inflation rates, and credit default swaps. This find�ing could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management.
| Item Type: | Article |
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| Uncontrolled Keywords: | inflation, monetary policy, financial market, stock market, international financial forecasting |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Depositing User: | Perpustakaan Maranatha |
| Date Deposited: | 10 Jan 2023 05:52 |
| Last Modified: | 11 Jan 2023 09:15 |
| URI: | http://repository.maranatha.edu/id/eprint/31219 |
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