Pengaruh Variabel Fundamental Makroekonomi Terhadap Yield Obligasi (Studi Kasus Obligasi Pemerintah Tenor 1 Tahun, 5 Tahun Dan 10 Tahun Periode 2010-2016)

Authors

  • Aprilian Teguh Purwadi

Abstract

Penelitian ini bertujuan untuk melihat pengaruh variabel makro ekonomi seperti inflasi, suku bunga, nilai tukar dan harga minyak terhadap masing-masing yield obligasi pemerintah dengan tenor 1 tahun, 5 tahun dan 10 tahun. Penelitian ini menggunakan teknik analisis data kuantitatif dengan metode GARCH. Penelitian ini menghasilkan kesimpulan semakin panjang umur obligasi maka variabel makro ekonomi akan semakin berpengaruh terhadap yield obligasi.

Kata kunci : yield, inflasi, suku bunga, kurs, harga minyak, GARCH.

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Published

2017-09-18

Issue

Vol. 6 No. 1

Section

S1 KEUANGAN DAN PERBANKAN

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