School of Economics
 

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Arif Prabowo Sulistiono

PhD Student in Economics,

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Research Summary

I would like to investigate the impact of the economic events, political events and social events in the domestic and in the global on the behavior of Indonesia government bonds and Indonesia Credit… read more

Recent Publications

Current Research

I would like to investigate the impact of the economic events, political events and social events in the domestic and in the global on the behavior of Indonesia government bonds and Indonesia Credit Defaults Swap by conducting a market model approach of event study methodology. In addition, particularly related to the global events, I intend to compare the findings with the performance of other emerging countries' bonds. Using daily data from January 2, 2008 to September 30, 2016; a period covering before and after crisis (subprime mortgage in 2008 and Eurozone in 2010), and before and after Indonesia's rating upgraded to the investment grade (Fitch in 2011 and Moody's in 2012); I expect the research can conclude what kind of events that could have a huge impact on the government bond performance. Further, the study can be used for the government to prepare policies in order to mitigate any risks happen influenced by the events.

Past Research

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.

School of Economics

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