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Finding The Driver: A Case Study Of Indonesian Government Bond Market

Author

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  • ARIF P. SULISTIONO

    (Directorate General of Budget Financing and Risk Management, Ministry of Finance, Indonesia)

  • MIKI ISHIDA

    (#x2020;Graduate School of Social Sciences, Hiroshima University, Japan)

Abstract

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.

Suggested Citation

  • Arif P. Sulistiono & Miki Ishida, 2019. "Finding The Driver: A Case Study Of Indonesian Government Bond Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 543-574, June.
    • Handle: RePEc:wsi:serxxx:v:64:y:2019:i:03:n:s0217590816500193
    DOI: 10.1142/S0217590816500193
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