FINDING THE DRIVER: A CASE STUDY OF INDONESIAN GOVERNMENT BOND MARKET

Sulistiono Arif P.; Ishida Miki

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FINDING THE DRIVER: A CASE STUDY OF INDONESIAN GOVERNMENT BOND MARKET

机译：寻找驱动力：以印度尼西亚政府债券市场为例

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We investigate the relationships among credit default swap (CDS), government bond yield, foreign investors' ownership, and exchange rate by conducting Vector Error Correction Model and Vector Auto Regression. We compare the relationships in the period of 2008 to 2013 and in the sub period when financial crisis happened in 2008. Using daily data from April 28, 2008 to December 31, 2013 in Indonesian government bond market, we find government bond yield plays a significant role; and drives the movement of the other variables. However, during the 2008 crisis, the yield loses its dominance and tends to follow the movement of CDS.

机译：我们通过进行矢量误差校正模型和矢量自回归，研究了信用违约掉期（CDS），政府债券收益率，外国投资者的所有权和汇率之间的关系。我们比较了2008年至2013年期间以及2008年发生金融危机的子时期之间的关系。使用2008年4月28日至2013年12月31日的印尼政府债券市场每日数据，我们发现政府债券收益率起着重要作用。角色;并驱动其他变量的运动。但是，在2008年危机期间，收益率失去了主导地位，并倾向于跟随CDS的发展。

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来源
《The Singapore economic review》 |2019年第3期|543-574|共32页
作者
Sulistiono Arif P.; Ishida Miki;
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作者单位

Minist Finance, Directorate Gen Budget Financing & Risk Managemen, Cent Jakarta, Indonesia;

Hiroshima Univ, Grad Sch Social Sci, Hiroshima, Japan;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Government bonds; credit default swap; foreign ownership; exchange rate; financial market;

机译：政府债券;信用违约掉期;外国所有权;汇率;金融市场;

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1. FINDING THE DRIVER: A CASE STUDY OF INDONESIAN GOVERNMENT BOND MARKET [J] . Sulistiono Arif P., Ishida Miki The Singapore economic review . 2019,第3期

机译：寻找司机：印度尼西亚政府债券市场的案例研究
2. Foreign portfolio investment performance and investor's trading patterns: empirical study in Indonesian government bonds market [J] . Ahmad Danu Prasetyo International Journal of Economic Policy in Emerging Economies . 2013,第3期

机译：外国证券投资的表现和投资者的交易模式：印尼政府债券市场的实证研究
3. CALIBRATING THE NELSON-SIEGEL MODEL CLASSES AND THEIR ESTIMATION USING HYBRID-GENETIC ALGORITHM APPROACH: CASE STUDY OF INDONESIAN GOVERNMENT BONDS [J] . MUSLIM, DEDI ROSADI, GUNARDI, Journal of Theoretical and Applied Information Technology . 2019,第2期

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4. The Effects of Government Characteristics, Complexity, Audit Findings, and Audit Opinions on the Level of Provincial Government Financial Statement Disclosures in Indonesia [C] . Ietje Nazaruddin, Yuni Yanti Abi Sita International Conference on Accounting and Finance . 2019

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5. The term structure of interest rates and arbitrage free bond pricing: An application to the Russian government bond market. [D] . Gunesdogdu, Recai. 1998

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FINDING THE DRIVER: A CASE STUDY OF INDONESIAN GOVERNMENT BOND MARKET

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