Analisis Pengaruh Faktor Global Terhadap Yield Spread Obligasi Internasional Indonesia Berdenominasi USD

GALING PRIYATNA, Tandelilin Eduardus, Prof., Dr., M.B.A.

2016 | Tesis | S2 Manajemen

Amerika serikat sebagai ekonomi terbesar di dunia memiliki efek langsung kepada perekonomian dan pasar keuangan negara lain. Fakta menunjukkan bahwa guncangan yang terjadi pada pasar keuangan AS selalu ditransmisikan secara global. Perubahan yield obligasi pemerintah AS akan berpengaruh kepada yield obligasi internasional yang berdenominasi US Dollar. Obligasi Internasional berdenominasi US Dollar yang diterbitkan pemerintah Indonesia sangat diminati oleh investor. Namun, tidak banyak dipahami mengenai faktor global yang mempengaruhi yield spread antara obligasi internasional Indonesia berdenominasi US Dollar dengan US Treasury. Peneliti menggunakan multifactor untuk mengkaji dampak dari lima faktor global yakni Volatility Index S&P 500 (SP500), CDS Indonesia (CDS), TED Spread (TED), US 3-Month Treasury yield (TREASURY), dan US 10-Year Bond BOND) terhadap yield spread antara obligasi internasional Indonesia berdenominasi US Dollar dengan US Treasury 30-Year untuk periode Desember 2007 hingga Juni 2016. Temuan penelitian mendukung hipotesis yang dibangun yakni CDS dan TREASURY merupakan faktor utama yang mempengaruhi yield spread. Faktor global lainnya seperti SP500, TED, dan BOND tidak memiliki pengaruh terhadap yield spread.

With the world largest economy and most dominant financial markets, the U.S. has large significant spillovers on other countries. Second, there is extensive evidence that shocks to the US financial markets are transmitted globally. Furthermore, changes in the US Treasury will affect the yields of others international bonds. Indonesian International Bond is considered very attractive for investors, but not much is understood in the terms of global factors that could influence the yield spread between Indonesia's international bonds denominated in US Dollars with the US Treasury. Based on a multifactor model, this paper examines the impact of five global factors namely : Volatility Index S & P 500 (SP500), CDS Indonesia (CDS), the TED Spread (TED), US 3-Month Treasury yield (TREASURY), and US 10-Year Bond BOND) on bond yield spread between Indonesia's international bonds, denominated in US Dollars with the US Treasury 30-Year for the period December 2007 to June 2016. The findings support the expected hypotheses that CDS and TREASURY are the major drivers that influence the changes in yield spreads. However SP500, TED, and BOND have weak and no influence on yield spreads respectively.

Kata Kunci : yield spread, faktor global, uji unit root