ANALISIS PERILAKU INDIKATOR DEBT MARKET
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.
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References
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_______, 2004, “Determinants of Spread, Credit Ratings and Creditworthiness for Emerging Market Sovereign Debt : A Follow-Up Study Using Pooled Data Analysis”, Borradores de Economía, Banco de la República, Bogotá.
_______, and Torres, Jose.L., 2004, “Determinant of Spread and Creditworthiness for Emerging Market Sovereign Debt : A Panel Data Study”, Borradores de Economía, Banco de la República, Bogotá.
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White G.I., Ashwinpaul C. Sondhi dan Dov Fried, 2003, “The Analysis and Use of Financial Statements”. USA : John Wiley. pg. 119-135.
Alexander, Carol., and Kaeck, Andreas., 2007, “Regime Dependent Determinants of Credit Default Swap Spreads”, ICMA Centre, University of Reading, UK.
Blanco, R., S. Brennan, and I.W. Marsh, 2003, “An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps”, Working Paper, Bank of England.
Budina, Nina, and Tzvetan Mantchev, 2000, “Determinants of Bulgarian Brady Bond Prices: An Empirical Assessment”, Policy Research Working Paper No. WPS 2277, The World Bank, Washington D.C.
Cavallo, E., and Valenzuela, P., 2007, “The Determinants of Corporate Risk in Emerging Markets : An Option-Adjusted Spread Analysis”, IMF Working Paper No. WP/07/228.
Claudia-Floriana, Berbecaru, 2008, “Determinants of Spreads of Romanian Sovereign Bonds : An Application on The EMBIG Spreads”, dissertation paper of The Academy of Economic Studies Bucharest.
Douglas, Alan.V.S., Huang, Alan.G, and Vetzal. Kenneth.R., 2009, “Cash Flow Volatility and Corporate Bond Yield Spreads∆, School of Accounting and Finance, University of Waterloo, Kanada.
Edwards, Sebastian, 1983, “LDC’s Foreign Borrowing and Default Risk: An Empirical Investigation 1976-1980”, Working Paper No. 298, Department of Economics, University of California, Los Angeles.
Eichengreen, Barry, and Ashoka Mody, 1998, “What Explains Changing Spreads on EmergingMarket Debt? Fundamentals or Market Sentiment?”, NBER Working Paper No 6408 (Cambridge, MA : National Bureau of Economic Research).
Howeling, P. and T. Vorst, 2001, “An Empirical Comparison of Default Swap Pricing Models”, mimeo, Rabobank.
IMF and World Bank, 2003, “Guideline for Public Debt Management,” IMF Publication on Public Debt.
Karlson, E. and Willebrand, N., 2009, “Examining The Determinants of Credit Default Swap Spreads”, A Study of European Financial Institutions, Stockholm University.
Longstaff F.A and Myers B., 2009, “Valuing toxic Assets : An Analysis of CDO equity”, National Bureau of Economic Research.
Meitasari, Yasmine, dan Emelia, 2007, “Analisa Pengaruh Suku Bunga dan Rasio-Rasio Keuangan terhadap Return Obligasi Korporasi (Studi Kasus pada Obligasi yang Memiliki Peringkat Investment Grade yang Terdaftar di Bursa Efek Surabaya Periode 2003-2005)”, Skripsi Program Studi Manajemen Fakultas Ekonomi Universitas Kristen Petra, Surabaya.
Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance No. 29 Vol. 2, pp. 449-70.
Niko Dötz, 2007, “Time-varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery”, Deutsche Bundesbank, Discussion Paper, Series 2 : Banking and Financial Studies.
Nogués, Julio, and Martín Grandes, 2001, “Country Risk: Economic Policy, Contagion Effect or Political Noise?”, Journal of Applied Economics, Vol. 4, No. 1, May, pp.125-162.
Rojas, Alvaro, and Felipe Jaque, 2003, “Determinants of the Chilean Sovereign Spread : Is It Purely Fundamentals?”, Documentos de Trabajo, Banco Central de Chile.
Rowland, Peter, 2004, “The Colombian Sovereign Spread and its Determinants”, Borradores de Economía, Banco de la República, Bogotá.
_______, 2004, “Determinants of Spread, Credit Ratings and Creditworthiness for Emerging Market Sovereign Debt : A Follow-Up Study Using Pooled Data Analysis”, Borradores de Economía, Banco de la República, Bogotá.
_______, and Torres, Jose.L., 2004, “Determinant of Spread and Creditworthiness for Emerging Market Sovereign Debt : A Panel Data Study”, Borradores de Economía, Banco de la República, Bogotá.
Sawir, A., 2001, Analisis Kinerja Keuangan dan Perencanaan Keuangan Perusahaan. PT. Gramedia Pustaka Utama, Jakarta.
Tunggal, AW., 1995, Dasar-dasar Analisa Laporan Keuangan. Rineka Utama, Jakarta.
Ulupui, I. G. K. A, 2006, “Analisis Pengaruh Rasio Likuiditas, Leverage, Aktivitas, dan Profitabilitas terhadap Return saham (Studi pada Perusahaan Makanan dan Minuman dengan Kategori Industri Barang Konsumsi di Bursa Efek Jakarta)”. Jurnal Akuntansi dan Bisnis. Vol. 2. No. 1, Januari: 88 - 102.
White G.I., Ashwinpaul C. Sondhi dan Dov Fried, 2003, “The Analysis and Use of Financial Statements”. USA : John Wiley. pg. 119-135.
Published
2011-05-30
How to Cite
Jacobs, P., Abubakar, A., & Siallagan, T. E. (2011). ANALISIS PERILAKU INDIKATOR DEBT MARKET. Buletin Ekonomi Moneter Dan Perbankan, 13(3), 339 -. https://doi.org/10.21098/bemp.v13i3.265
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Buletin Ekonomi Moneter dan Perbankan / Bulletin of Monetary Economics and Banking is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
