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Abstrak :
Penelitian ini bertujuan untuk menganalisis premi risiko likuiditas obligasi pemerintah Indonesia pada periode tahun 2005 hingga tahun 2019 dan faktor-faktor determinan yang memengaruhinya. Premi risiko likuiditas dihitung dari selisih antara yield to maturity dan theoretical yield serta rata-rata bid-ask spread dari obligasi tersebut. Penelitian ini menggunakan analisis regresi data panel dengan model Random Effect untuk menentukan faktor-faktor determinan dari premi risiko tersebut. Berdasarkan penelitian ini diperoleh hasil bahwa premi risiko likuiditas obligasi pemerintah Indonesia relatif kecil dan dipengaruhi oleh karakteristik obligasi dan kondisi pasar keuangan Indonesia. Jumlah obligasi yang diterbitkan dan besar kupon berpengaruh signifikan negatif terhadap premi risiko obligasi, sedangkan sisa umur obligasi dan umur obligasi berpengaruh signifikan positif terhadap premi risiko obligasi. Obligasi sukuk memiliki premi risiko likuiditas yang lebih besar dibandingkan obligasi konvensional. Dalam keadaan krisis atau pada saat volatilitas pasar keuangan meningkat, premi risiko likuiditas meningkat. Hasil dari penelitian ini diharapkan dapat memperkaya pemahaman tentang risiko likuiditas pada obligasi pemerintah Indonesia yang dapat bermanfaat bagi otoritas fiskal dan moneter dalam mengambil kebijakan dan bagi investor dalam mengambil keputusan investasi. ......This paper aims to analyze the liquidity risk premium on the Indonesian government bonds. There are two liquidity risk premium proxies to be used, they are the difference between the yield to maturity and the theoretical yield of the obligation and the average bid-ask spread of the obligation. The research uses a regression analysis on the Random Effect panel data model to define the determinant factors of the liquidity risk premium. The result of this research shows that the liquidity risk premium of Indonesian government bonds is relatively small, affected by the bond's characteristics and the financial market condition. The determinant factors are bond's age, coupon rate, remaining life, issued amount, type (Sukuk or conventional), and the Indonesian stock market volatility. The researcher expects that the result of this research will enrich the understanding of the liquidity risk on Indonesian government bonds so that it can be used by the fiscal and monetary authorities and also investors in making decisions.

Abstrak :
[ABSTRAK
Tingginya porsi kepemilikan asing pada Obligasi Negara (ON) domestik dapat meningkatkan likuiditas dan mengurangi biaya pinjaman pemerintah. Namun demikian, hal ini juga menyimpan risiko dalam hal sudden reversal. Penelitian ini mengamati perilaku investor asing di pasar ON domestik dengan mempergunakan model vektor auto regresi (VAR). Dua faktor yang mempengaruhi perilaku asing di pasar ON domestik yaitu pull factor atau faktor internal dan push factor atau faktor eksternal. Hasil temuan dari estimasi VAR menunjukkan bahwa harga minyak, sebagai faktor eksternal, secara positif menggerakkan arus dana asing.

Analisa dari hasil estimasi Impulse Response Function (IRF) menunjukkan bahwa gejolak dari arus dana asing secara negatif saling mempengaruhi yield ON, leading indicator, dan volatilitas nilai tukar, tetapi berpengaruh positif terhadap tingkat suku bunga. Berdasarkan analisa diatas, penelitian ini memiliki implikasi kebijakan antara lain perlunya intervensi pemerintah di pasar sekunder melalui buyback dan debt switch, pemberlakuan minimum holding period, memperkuat fungsi pengawasan dan supervisi, menembangkan kerangka Bond Stabilization Fund (BSF), dan mempromosikan obligasi pembiayaan proyek.

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ABSTRACT
High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows.

Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.;High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments? cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds., High foreign ownership of domestic government bonds (GB) could generate liquidity and reduce governments’ cost of borrowing. However, they also contain risk in the case of sudden reversal. This study investigates the behavior of the foreign investors in the domestic Indonesian GB market by applying the vector auto regression (VAR) model. There are two factors that could determine foreign behavior in the domestic GB market, namely pull (or internal) factors and push (or external) factors. The finding from the VAR estimation provides evidence that oil price, as a push factor, positively drives foreign capital flows. Dynamic analysis from the Impulse Response Function (IRF) shows that the shock of foreign capital flows negatively respond to GB yield, leading indicator, and exchange rate volatility, and vice versa. However, it has a positive impact on interest rates and vice versa. Based on its results, this study has important policy implications, such as government intervention in the secondary market through buyback and debt switch, application of a minimum holding period, strengthening the control and supervision body, construction of a Bond Stabilization Fund framework, and promotion of project-financing bonds.]

Abstrak :
Bank Sentral Eropa (ECB) sedang dihadapkan dengan inflasi yang tinggi setelah beberapa dekade inflasi di Zona Euro mencapai tingkat yang sangat rendah. Hal ini mengharuskan ECB mengambil tindakan moneter, yaitu dengan melakukan pengetatan perekonomian yang menyebabkan ECB menaikkan suku bunganya untuk pertama kalinya setelah 11 tahun. Sebuah studi peristiwa (event study) digunakan untuk mempelajari dampak pengetatan moneter terhadap harga obligasi pemerintah di zona euro. Hasil analisis menunjukkan bahwa pengetatan moneter menyebabkan peningkatan imbal hasil (yield) obligasi pemerintah. Dua regresi digunakan untuk menganalisis faktor pendorong abnormal return imbal hasil obligasi selama pengetatan moneter. ......The European Central Bank (ECB) is being faced by a high inflation after decades of low inflation. This led the ECB to take monetary measures by tightening the economy which induced the ECB to increase its interest rates for the first time after 11 years. An event study was conducted to examine the effects this monetary tightening has on the Eurozone government bond prices. The results of the analyses indicated that the monetary tightening lead to increase in government bond yields. Finally, two regressions were run to analyse the drivers of the abnormal returns of bond yields during the monetary tightening.

Abstrak :
Penelitian yang dilakukan dalam menyusun tesis ini menggunakan metode pendekatan yuridis normatif, yakni mengkaji ketentuan-ketentuan pada peraturan perundang-undangan yang berkaitan dengan rencana penerbitan Obligasi Daerah Pemerintah Provinsi Jawa Barat. Tujuan dari penelitian ini adalah untuk mengetahui prosedur penerbitan, kendala dan alternatif penyelesaiannya dalam rencana penerbitan Obligasi Daerah Pemerintah Provinsi Jawa Barat. Peraturan-Peraturan untuk Penerbitan Obligasi Daerah dibuat beradasarkan peraturan pasar modal, dengan berbagai penyesuaian yang diperlukan. Penerbitan Obligasi Daerah Pemerintah Provinsi Jawa Barat adalah untuk memenuhi sasaran misi keempat Pemerintah Provinsi Jawa Barat, yaitu mewujudkan Jawa Barat yang nyaman dengan pembangunan infrastruktur strategis yang berkelanjutan. Rencana penerbitan Obligasi Daerah Pemerintah Provinsi Jawa Barat terkendala mengenai laporan keuangan dan alokasi dana cadangan yang belum ada peraturannya, sehingga diperlukan peraturan tambahan untuk menjadi dasar yang pasti dalam pelaksanaan penerbitan Obligasi Daerah selanjutnya.

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This thesis using legal normative approach research, which examines the provisions of the legislation relating to the issuance of the Regional Bond West Java Provincial Government. The purpose of this study was to determine the procedures for issuing, constraints and alternative settlement in the Regional Bond issuance West Java Provincial Government. Rules for the Issuance of Municipal Bonds made beradasarkan capital market regulation, with the necessary adjustments. Municipal Bond Issuance West Java Provincial Government is to meet the target of the fourth mission of West Java Provincial Government, namely West Java realize comfortable with the sustainable development of strategic infrastructure. Bond issuance plan of West Java Provincial Government is constrained on the financial statements and the allocation of the reserve fund has been no rules, so that additional regulations are needed to be a sure foundation in the implementation of the Regional Bond next.