亚开行-考察美国货币在动荡时期对印尼本币政府债券的溢出（英）-2023.5-29页_728kb

Summary of US Monetary Spillover to Indonesian Local Currency Government Bonds

Introduction

This study examines the spillover effects of US monetary policy on Indonesian local currency government bond yields during volatile economic periods, including quantitative easing (QE), tapering, and Federal Fund Rate (FFR) normalization. It draws on historical data from 2005 to 2021 to assess how changes in US policy impact Indonesia's bond market, with implications for fiscal and monetary policy management.

Key Findings

• Effect of US Monetary Policy: The research finds that US monetary policy significantly affects Indonesian bond yields through three channels: liquidity (US short-term interest rate), portfolio balance (US long-term Treasury yield), and confidence (volatility index or VIX). Increases in US interest rates or economic uncertainty lead to higher Indonesian bond yields, with the strongest spillovers observed before the 2008 global financial crisis and during the 2013 taper tantrum.

• Volatility Analysis: Using the GARCH model, the study reveals that Indonesia's bond yield volatility was highest during pre-2008 QE and tapering periods, but lowest during the COVID-19 pandemic QE era. This was attributed to reduced foreign ownership, fiscal-monetary policies like debt monetization, and increased domestic investor participation.

• Policy Implications: The findings suggest that Indonesia should diversify its bond market investor base, transition carefully from extraordinary policies to normal monetary stance, and enhance policy communication to mitigate external spillovers and maintain fiscal sustainability.

Conclusion

The paper concludes that US monetary policy normalization poses risks to Indonesia's bond market, potentially affecting fiscal space and economic recovery. Robust domestic fundamentals and proactive policy coordination are critical to navigating global economic shifts, emphasizing the need for investor base diversification and transparent communication to ensure market stability.