Document Type
Article
Abstract
This paper analyze the debt market, focusing on the behavior of soverign yield and Credit Default Swap (CDS). We build several empirical models to test the factors determine these two indicators and apply them using the Indonesian and peers data. The result confirm the significance impact of foreign reserves and VIX index on the bond yield in Indonesia and its peers country. On the composite sovereign bond, the result shows that the real effective exchange rate (REER) and the debt service ratio (DSR) significantly affect the yield, while on the corporate bond yield, the significant explanatory variables are return on equity (ROE), inflation, the current ratio (CR) and net profit margin (NPM). However, there is an anomaly where the impact of the last two variables (CR and NPM) are contrary to the theory.
Recommended Citation
Jacobs, Peter; Abubakar, Arlyana; and Siallagan, Tora Erita
(2011)
"ANALYSIS OF DEBT MARKET INDICATOR BEHAVIOUR,"
Bulletin of Monetary Economics and Banking: Vol. 13:
No.
3, Article 1.
DOI: https://doi.org/10.21098/bemp.v13i3.396
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol13/iss3/1
First Page
325
Last Page
350
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
Indonesia
Affiliation
Bank Indonesia