FAKTOR MAKROEKONOMI TERHADAP VOLATILITAS CDS INDONESIA

Authors

  • Faradhita Aulia Rizky Maharani Universitas Negeri Semarang

DOI:

https://doi.org/10.17977/um066v5i12025p5

Keywords:

Credit Default Swaps, Derivatif, VIX

Abstract

Penelitian ini bertujuan untuk menganalisis hubungan spread sovereign Credit
Default Swaps (CDS) di Indonesia dengan variabel-variabel makro ekonomi
yang dibagi menjadi factor global dan factor domestic dengan menggunakan
periode tahun 2015 hingga tahun 2023. Karena saat ini masih belum ada
consensus penelitian tentang factor mana yang lebih dominan. CDS
merupakan instrument keuangan derivative yang memungkinkan investor
untuk menukar resiko kreditnya dengan investor lain. Penelitian ini
menggunakan pendekatan Principal Component Analysis (PCA), model yang
digunakan untuk menjawab dengan banyaknya penggunaan variabel - variabel
dan di estimasi untuk mengetahui bobot dari masing-masing variabel
independen terhadap variabel dependen selain itu penggunaan PCA dipilih
karena dapat menghilangkan korelasi antar variabel secara sempurna
membuat masalah multikolinearitas bisa teratasi. Hasil penelitian
menunjukkan bahwa faktor global memiliki dominasi yang lebih tinggi
daripada faktor domestik, variabel seperti VIX, equity risk dan US stock return
menjadi variabel global yang memberikan kontribusi tinggi sedangkan Rupiah,
indeks bursa saham lokal (IHSG), dan yield obligasi menjadi variabel yang
dominan pada faktor domestik.

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Published

2025-01-31

Issue

Vol. 5 No. 1 (2025)

Section

Articles

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