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Uji Empirik Crowding Out Surat Utang Pemerintah dan Korporasi di Pasar Modal Indonesia

Jurnal Ekonomi Kuantitatif Terapan

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Title Uji Empirik Crowding Out Surat Utang Pemerintah dan Korporasi di Pasar Modal Indonesia
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Creator Wibowo, Buddi
Passagi, Hendrikus
Prasetyo, Muhammad Budi
 
Description Financing government budget deficit through emission of government  bonds may create a crowding out in corporate bond market. Crowding out caused the cost of funds incurred by the corporation to be expensive so the corporate bond market is stagnant and banks become the only major source of funding. Sources of funding that are so dependent on the banking sector could threaten financial stability and the country's economy as a whole because of the banks’ systemic risk. Default of a bank not only can influence other banks but also can have a serious impact on the national economy. This research empirically examine the phenomenon of crowding out in Indonesia with a fixed effect model of panel data FGLS and show existence of crowding out, where the yield spread tends to rise when the government issued new debt securities. But the rise in the yield spread was more due to the increase in Credit Default Swaps (CDS) spreads which reflect the default risk of Indonesia, as well as showing the influence of foreign investors in the Indonesian capital market which is strongly influenced by  CDS.
Pendanaan defisit anggaran pemerintah melalui emisi surat utang negara (SUN) dapat memunculkan crowding out di pasar surat utang korporasi. Crowding out menyebabkan biaya dana yang ditanggung oleh korporasi menjadi mahal sehingga pasar surat utang korporasi tidak berkembang sebagai sumber pendanaan perusahaan dan perbankan menjadi satu-satunya sumber utama pendanaan. Sumber pendanaan perusahaan yang  terlalu bergantung  kepada sektor perbankan dapat mengancam stabilitas keuangan dan ekonomi negara secara keseluruhan karena adanya risiko sistemik  bank. Default sebuah bank tidak saja dapat menyeret bank-bank lain namun dapat berdampak serius terhadap perekonomian nasional. Riset ini menguji secara empirik fenomena crowding out di Indonesia dengan model panel data fixed effect FGLS dan menunjukkan adanya crowding out, dimana yield spread cenderung naik ketika pemerintah mengeluarkan surat utang baru. Namun kenaikan yield spread itu lebih banyak disebabkan naiknya Credit Default Swaps (CDS) spread yang mencerminkan risiko default Indonesia,  sekaligus menunjukkan besarnya pengaruh investor asing di pasar modal Indonesia yang sangat dipengaruhi CDS ini.
 
Publisher Universitas Udayana
 
Date 2018-02-10
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://ojs.unud.ac.id/index.php/jekt/article/view/23109
10.24843/JEKT.2018.v11.i01.p02
 
Source Jurnal Ekonomi Kuantitatif Terapan; 2018: Vol. 11, No.1, Februari 2018 (pp. 1-144); 19-33
2303-0186
2301-8968
10.24843/JEKT.2018.v11.i01
 
Language eng
 
Relation https://ojs.unud.ac.id/index.php/jekt/article/view/23109/23990
 
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