Indonesian Bond Yields: Inflation, Fed Rates, And Exchange Rate Effects

This research aims to analyze the effects of Indonesian
inflation, the rise of the US Fed rate, and the exchange rate on the
yield of Indonesian government bonds. This study employs a
quantitative approach using secondary data obtained from reliable
sources, such as the Bloomberg database, the official website of
Bank Indonesia, and the official website of the Federal Reserve.
The sample comprises 132 months of macroeconomic rates and
prices, covering 10 years from 2012 to 2022. Data analysis
included descriptive statistics, classical assumption tests, and
stationarity testing. While previous studies have analysed the
effects of these factors on government bond prices, this study
investigates explicitly their impact on government bond yield in
Indonesia. The results show that inflation and the exchange rate
positively affect the Indonesian government bond yield. However,
the rise in the US Federal Reserve rate does not significantly drive
changes in the Indonesian government bond yield.