ABSTRACT
This study focuses to examine whether inflation, US Treasury yield and Credit Default Swap (CDS) spread have significant effects on USD denominated Indonesia government bond yield. The data used in this study were obtained from Bloomberg from January 2010 to December 2020. The study employs Ordinary Least Square (OLS) method to determine the influence of these independent variables on the 10-year USD denominated Indonesian government bond yield. Further regression methods such as Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) were employed to deal with autocorrelation issues. The results of the study reveal that Indonesia inflation, US Treasury yield and Government of Indonesia CDS level had significant effects on USD denominated Indonesia government bond yield. Contrastingly, US inflation had no significant effect on the 10-year USD government bond yield.
