Pengaruh Variabel Ekonomi Makro terhadap Yield Spread Negara-negara di Asia Timur, Amerika Latin, dan Karibian
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Abstract
A country’s credit worthiness decided by macroeconomic factors. This research aims to examine the impact of macroeconomic and external factor on yield spread of East Asia, Latin America, and Caribbean countries. Macroeconomic variables used in this research are classified as macroeconomic variables that influence liquidity and solvency, and macroeconomic variables that influence macroeconomic fundamental. This research is conducted by using quarterly yield spread data of 11 countries from 2000Q1 to 2015Q4 and analyzed panel data regression using Pooled Least Square (PLS), Fixed Effect Model (FEM) and Random Effect Model (REM). Study results show that macroeconomic variables that have impact on yield spread are external debt to GDP ratio, fiscal balance to GDP ratio, amortization to international reserve ratio, current account to GDP ratio, real effective exchange rate, and GDP per capita growth. External factors that have impact on yield spread are US Treasury Bond 10 year yield and Volatility Index.
Abstrak
Kelayakan utang (credit worthiness) sebuah negara ditentukan dari kondisi ekonomi makro negara tersebut dan faktor eksternal. Penelitian ini bertujuan untuk menguji pengaruh faktor ekonomi makro serta faktor eksternal terhadap yield spread negara-negara di Asia Timur, Amerika Latin dan Karibian. Variabel ekonomi makro yang digunakan dalam penelitian ini digolongkan dalam dua kelompok yakni yang memengaruhi likuiditas dan solvensi serta yang memengaruhi fundamental ekonomi makro. Penelitian dilakukan dengan menggunakan yield spread triwulanan dari 11 negara untuk periode 2000Q1:2015Q4 dan analisis regresi data panel menggunakan Pooled Least Square (PLS), Fixed Effect Model (FEM) dan Random Effect Model (REM). Hasil penelitian menunjukkan bahwa variabel ekonomi makro yang memengaruhi yield spread adalah rasio utang luar negeri terhadap PDB, rasio keseimbangan anggaran fiskal terhadap PDB, rasio amortisasi terhadap cadangan devisa, rasio transaksi berjalan terhadap PDB, nilai tukar riil (real effective exchange rate) dan pertumbuhan PDB per kapita. Faktor eksternal yang memengaruhi yield spread adalah yield US Treasury 10 tahun dan Volatility Index (VIX).
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