jbm@fe.unpad.ac.id
Mokhamad Anwar:

I believe that you would serve as an excellent reviewer of the manuscript, "DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM," which has been submitted to Jurnal Bisnis dan Manajemen. The submission's abstract is inserted below, and I hope that you will consider undertaking this important task for us.

Please log into the journal web site by 2021-08-31 to indicate whether you will undertake the review or not, as well as to access the submission and to record your review and recommendation.

The review itself is due 2021-09-07.

Submission URL: http://journal.feb.unpad.ac.id/index.php/jbm/reviewer/submission/112?key=ACCESS_KEY

Thank you for considering this request.

Layyinaturrobaniyah Layyinaturrobaniyah
SCOPUS ID: 57192388917, Universitas Padjadjaran
layyinaturrobaniyah@unpad.ac.id



"DETERMINANTS OF GOVERNMENT SECURITIES YIELD USING VECM"

Abstract

This study aims to uncover the determinants' effect on the return rate of government securities (GS). This study's data uses the government bonds that can be traded with the ten-year tenor, and the time-horizon of the collected data spans from 2009:M1 to 2018:M6. The study methodology utilizes the vector error correction model (VECM) model to determine the short-term backward behavior, in which it is referring to the situation where the short-term balances are corrected for the long-term balances. Additionally, it is also to reveal the relationship between the variables within the model. Thus, this study is to see whether GS's reciprocal level has been at the value of efficient return or not. The results show that the cointegrated determinants of the Bank Indonesia (BI) rate / seven days repo, outstanding tradable government bonds, Fitch Rating, exchange rate, sovereign country risk, and regional bond index positively affects the GS yield. In contrast, the determinants of Fitch Rating, exchange rate, sovereign country risk, and outstanding tradable government bond negatively influence GS yields.
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Jurnal Bisnis dan Manajemen
http://journal.feb.unpad.ac.id/index.php/jbm