Dynamics effect of volatility index, interest rates, and commodity prices on Indonesian bond yields

Susilo Nur Aji Cokro Darsono, Afrizal Firman, Pazri Nugraha, Nurul Isnaini

Abstract


Several factors influence the movements and dynamics of bond yields in financial markets. The determination of monetary policy, specifically the decisions regarding interest rates made by central banks, is a critical factor. Moreover, bond yields can be influenced by various factors such as geopolitical events, financial volatility, market sentiment, and investor risk appetite. These factors can impact the demand and supply dynamics in bond markets. This research aims to analyze the influence of Interest Rates, IDR to USD Exchange Rates, Volatility Index (VIX), Gold and Oil Prices on Bond Yields in Indonesia. The data used in this research is secondary data, which consists of time series data from 2019-2023. This research investigates the impact of financial and commodity prices on bond yields in Indonesia by using the autoregressive distributed lag (ARDL) model to examine both the long-run correlation and short-run effect. Empirical results found that Interest Rate, Volatility Index (VIX), and Oil Prices have a significant positive influence. Meanwhile, the Gold Price variable has a significant negative influence. This research has several crucial policy implications for investors concerning the national monetary policy, exchange rate fluctuation, and global volatility index to create profitable and sustainable portfolio strategies. Moreover, investment managers and investors should be concerned about the global commodities prices that will affect bond yield performances. This research contributes to the recent literature presenting causal relations of global volatility index (VIX) on Indonesian bond yield. 


Keywords


Interest Rates; IDR to USD Exchange Rate; Volatility Index; Gold Commodity Prices; Oil Commodity Prices; Bond Yields

Full Text:

PDF

References


Agyei-Ampomah, S., Gounopoulos, D., & Mazouz, K. (2014). Does gold offer a better protection against losses in sovereign debt bonds than other metals? Journal of Banking & Finance, 40(1), 507–521. https://doi.org/10.1016/J.JBANKFIN.2013.11.014

Aini, A. N., Sukmadilaga, C., & Ghani, E. K. (2023). Green Bonds, Investor Attention and Stock Market Reaction: Evidence from ASEAN Countries. International Journal of Energy Economics and Policy, 13(6). https://doi.org/10.32479/ijeep.15162

Azhgaliyeva, D., Mishra, R., & Kapsalyamova, Z. (2021). BONDS : A LONGITUDINAL Asian Development Bank Institute. 1278.

Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235–247. https://doi.org/10.1016/J.ENECO.2015.11.022

Bhutta, U. S., Tariq, A., Farrukh, M., Raza, A., & Iqbal, M. K. (2022). Green bonds for sustainable development: Review of literature on development and impact of green bonds. Technological Forecasting and Social Change, 175. https://doi.org/10.1016/j.techfore.2021.121378

Bound, J., & Leamer, E. (1983). Some tests for specification errors in time series regression models. Journal of Econometrics, 23(3), 303-317. https://doi.org/10.1016/0304-4076(83)90087-X

Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202–211. https://doi.org/10.1016/J.IRFA.2012.12.001

Conterius, S., Akimov, A., Su, J. J., & Roca, E. (2023). Do foreign investors have a positive impact on the domestic government bonds market? A panel pooled mean group approach. Economic Analysis and Policy, 77, 863–875. https://doi.org/10.1016/J.EAP.2022.12.031

Darsono, S. N. A. C., Wong, W. K., Nguyen, T. T. H., & Wardani, D. T. K. (2022). The Economic Policy Uncertainty and Its Effect on Sustainable Investment: A Panel ARDL Approach. Journal of Risk and Financial Management 2022, Vol. 15, Page 254, 15(6), 254. https://doi.org/10.3390/JRFM15060254

Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427–431. https://doi.org/10.1080/01621459.1979.10482531

Husein, D., & Endri, E. (2024). Determinants of Indonesia Government Bonds Yield Period 2019-2022. Devotion : Journal of Research and Community Service, 5(1), 67–74. https://doi.org/10.59188/devotion.v5i1.660

Ibarra, R. (2013). A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter? The Quarterly Review of Economics and Finance, 53(4), 429–439. https://doi.org/10.1016/J.QREF.2013.03.001

Kang, S. H., Maitra, D., Dash, S. R., & Brooks, R. (2019). Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. Pacific-Basin Finance Journal, 58, 101221. https://doi.org/10.1016/J.PACFIN.2019.101221

Kartika, D. W. (2023). Pengaruh Tingkat Suku Bunga Dan Ukuran Perusahaan Terhadap Yield To Maturity Obligasi Pada Sub Sektor Perbankan. Journal of Business, Technology, & Social Science, I, 1–11.

Kurnianingsih, A. (2021). FAKTOR MAKRO EKONOMI YANG MEMPENGARUHI PERTUMBUHAN YIELD OBLIGASI (Studi pada Obligasi Korporasi di Indonesia tahun 2016-2019).

Liu, M. (2022). The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. Economic Analysis and Policy, 75, 288–309. https://doi.org/10.1016/j.eap.2022.05.012

Mada, U. G. (2019). Determinants of Indonesia Government Bond Yield TUBAGUS FARASH A F, Marwan Asri, Prof., M.B.A., Ph.D.

Megananda, D., Endri, E., Oemar, F., & Husna, A. (2021). Determinants of Corporate Bond Yield: Empirical Evidence from Indonesia. Journal of Asian Finance, Economics and Business, 8(3), 1135–1142. https://doi.org/10.13106/jafeb.2021.vol8.no3.1135

Mokni, K., Mensi, W., Hammoudeh, S., & Ajmi, A. N. (2022). Green bonds and oil price shocks and uncertainty: A safe haven analysis. International Economics, 172, 238–254. https://doi.org/10.1016/J.INTECO.2022.11.003

Pratiwik, E., Dian, S., & Prajanti, W. (2023). Rupiah exchange rate: the determinants and impact of shocks on the economy. Jurnal Ekonomi & Studi Pembangunan, 24(1), 100–126. https://doi.org/10.18196/JESP.V24I1.18016

Su, Y. H., Rizvi, S. K. A., Umar, M., & Chang, H. (2023). Unveiling the relationship between oil and green bonds: Spillover dynamics and implications. Energy Economics, 127, 107043. https://doi.org/10.1016/J.ENECO.2023.107043

Suriani., Majid, M. S. Abd., Masbar, R., & Wahid, N. A. (2018). Macroeconomic Determinants of the Capital Market in Indonesia: A Comparative Analysis between Sukuk and Bonds Markets. International Journal of Academic Research in Economics and Management Sciences, 7(2). https://doi.org/10.6007/ijarems/v7-i2/4112

Susanti, C. A., Nurcholisah, K., & Si, M. (2022). Pengaruh Tingkat Suku Bunga dan Peringkat Obligasi erhadap Yield Obligasi Korporasi ( Studi Empiris pada Perusahaan Infrastruktur di Bursa Efek Indonesia Periode 2020-2022 ). 666–672.

Umar, Z., Abrar, A., Hadhri, S., & Sokolova, T. (2023). The connectedness of oil shocks, green bonds, sukuks and conventional bonds. Energy Economics, 119, 106562. https://doi.org/10.1016/J.ENECO.2023.106562

Vieira, D. S., Carvalho, P. V. de, Curto, J. D., & Laureano, L. (2023). Gold’s hedging and safe haven properties for European stock and bond markets. Resources Policy, 85, 103817. https://doi.org/10.1016/J.RESOURPOL.2023.103817

Yuliawati, D., & Suarjaya, A. (2017). Pengaruh Umur Obligasi, Tingkat Suku Bunga, Dan Inflasi Pada Imbal Hasil Obligasi Pemerintah Di Bei. E-Jurnal Manajemen Unud, 6(11), 254500.

Yunus, N. (2020). Time-varying linkages among gold, stocks, bonds and real estate. The Quarterly Review of Economics and Finance, 77, 165–185. https://doi.org/10.1016/J.QREF.2020.01.015

Zhou, X., Lu, H., & Ye, S. (2023). The information transmission and risk contagion effect between green bond market and government bond market in China. Frontiers in Environmental Science, 11. https://doi.org/10.3389/fenvs.2023.1091203

Ziaei, S. M. (2012). Effects Of Gold Price On Equity, Bond And Domestic Credit: Evidence From ASEAN +3. Procedia - Social and Behavioral Sciences, 40, 341–346. https://doi.org/10.1016/j.sbspro.2012.03.197




DOI: https://doi.org/10.18196/jesp.v25i1.22189

Refbacks

  • There are currently no refbacks.


Copyright (c) 2024 Susilo Nur Aji Cokro Darsono, Afrizal Firman, Pazri Nugraha, Nurul Isnaini

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 

Office:
Redaksi JESP UMY, Gedung E2 Lantai 2, Fakultas Ekonomi dan Bisnis, Universitas Muhammadiyah Yogyakarta
Jalan Brawijaya, Tamantirto, Kasihan, Bantul, Daerah Istimewa Yogyakarta 55183
Telp: (0274) 387656 ext.184
Fax: (0274) 387646
Email: jesp@umy.ac.id


Jurnal Ekonomi & Studi Pembangunan (JESP) is licensed under Creative Commons Attribution-ShareAlike 4.0 International.