Uji Empirik Crowding Out Surat Utang Pemerintah dan Korporasi di Pasar Modal Indonesia
Abstract
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.
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References
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Pereira, A.M. (2001), On The Effects of Public Investment on Private Investment: What Crowds in What? Public Finance Review, Volume 29, Issue 1, 2001, Pages 3-25
Rajan, Raghuram G., and Luigi Zingales, 2003, “Banks and Markets: The Changing Character of European Finance,” NBER Working Paper No. 9595
Sahu, J.P. , dan Panda, S (2012), Is private investment being crowded out in India? Some fresh evidence Economics Bulletin Volume 32, Issue 2, Pages 1125-1132
Şen, H., dan A Kaya . Crowding-out or crowding-ln? Analyzing the effects of government spending on private investment in Turkey, Panoeconomicus, Volume 61, Issue 6, 2014, Pages 631-651
Subrahmanyam, A. 1991. A Theory of Trading in Stock Index Returns. Review of Financial Studies 4: 17 – 51.
Takanlou, Z.K. (2015), Can budget deficits financing, crowed out private sector? Comparative study of the cases of Iran and Algeria, Iranian Economic Review Volume 18, Issue 3, Pages 1-25
Wooldridge, J.M (2012), Econometric Analysis of Cross Section and Panel Data, The MIT Press, Massachusett USA
Xu, X., dan Yan, Y (2014) Does government investment crowd out private investment in China?, Journal of Economic Policy Reform, Volume 17, Issue 1, January 2014, Pages 1-12
Yuan, Kathy., dan Dittmar, Robert. 2005. The Price Impact of Sovereign Bond. Mimeo, University of Michigan, http://webuser.bus.umich.edu/kyuan/.
Zhou, Y.(2016), Empirical studies on the relationship between public and private investment and GDP growth Applied Economics Volume 38, Issue 11, Pages 1259-1270
Afonso, A., dan Jalles, J.T (2015), How Does Fiscal Policy Affect Investment? Evidence from a Large Panel, International Journal of Finance and Economics Volume 20, Issue 4, October 2015, Pages 310-327
Ağca, S. dan O, Celasun (2012) Sovereign debt and corporate borrowing costs in emerging markets, Journal of International Economics, Volume 88, Issue 1, Pages 198-208
Andrade, J.S., dan AP, Duarte, Crowding-in and crowding-out effects of public investments in the Portuguese economy, International Review of Applied Economics, Volume 30, Issue 4, 3 July 2016, Pages 488-506
Blackley, P.R. (2014), New estimates of direct crowding out (or in) of investment and of a peace dividend for the U.S. economy, Journal of Post Keynesian Economics Volume 37, Issue 1, Pages 67-90
Biza, RA., F M Kapingura, dan A TSegaye (2015), Do budget deficits crowd out private investment? An analysis of the South African economy, International Journal of Economic Policy in Emerging Economies Volume 8, Issue 1, Pages 52-76
Bojanic, A.N. (2015), Crowding out private investment in Bolivia evidence for the 1988–2010 period, Latin American Research Review, Volume 50, Issue 3, Pages 225-244
Cardi, O (2010), A note on the crowding-out of investment by public spending, Macroeconomic Dynamics Volume 14, Issue 4, Pages 604-615
Cavallo, E. dan C, Daude. (2014) Public investment in developing countries: A blessing or a curse? Journal of Comparative Economics, Volume 39, Issue 1, Pages 65-81
Choong, C.-K., Law, S.H, dan C Pek, (2015),The linkages between private and public investments in Malaysia: The role of foreign direct investment, International Journal of Economics and Management, Volume 9, Issue 1, 2015, Pages 139-153
Dittmar, Robert. F and Yuan, Kathy. 2008. Do Sovereign Bonds Benefit Corporate Bonds in Emerging Markets? The Review of Financial Studies. Vol. 21, No. 5 (Sep., 2008), pp. 1983 – 2014.
Dreger,C. dan Hans-Eggert Reimers, (2016) Does public investment stimulate private investment? Evidence for the euro area Economic Modelling, Volume 58, Pages 154-158
Fabella, R., and S. Madhur. 2003. Bond Market Development in East Asia: Issues and Challenges. ERD Working Paper No. 35, Asian Development Bank.
Fujii, T. , K Hiraga, dan M Kozuka, Effects of public investment on sectoral private investment: A factor augmented VAR approach, Journal of the Japanese and International Economies Volume 27, Issue 1, Pages 35-47
Ganelli, Giovani. 2003. Useful government spending, direct crowding out and fiscal policy interdependence. Journal of International Money and Finance 22 (2003) 87–103.
Gorton, G. N., and G. G. Pennacchi. 1993. Security Baskets and Index-Linked Securities. Journal of Business 66: 1 – 27.
Hussain, A., Mohammad, S.D., Akram, K. dan Lal, I. (2009) Effectiveness of government expendeture crowding-in or crowding-out: An emperical evidance in case of Pakistan, European Journal of Economics, Finance and Administrative Sciences Issue 16, February 2009, Pages 141-147
Krishnamurty, A., M., and A. Vissing-Jorgensen. 2006. The Demand for Treasury Debt. Working Paper, Northwestern University.
Kourtellos, A, Thanasis Stengos, dan Chih Ming Tan, (2013) The effect of public debt on growth in multiple regimes, Journal of Macroeconomics, Volume 38, Part A, Pages 35-43
Lin, H, S Liu, dan C Wu (2011) Dissecting Corporate Bond and CDS Spreads, Journal of Fixed Income, Vol. 20, No. 3 p 7-39
Luengnaruemitchai, Pipat dan Ong, Li Lian. An Anatomy of Corporate Bond Markets: Growing Pains and Knowledge Gains. IMF Working Paper. WP/05/152.
Mitra P, (2006), Has government investment crowded out private investment in India? American Economic Review Volume 96, Issue 2, May 2006, Pages 337-341
Munthali, T.C, (2012), Interaction of public and private investment in Southern Africa: A dynamic panel analysis, International Review of Applied Economics, Volume 26, Issue 5, Pages 597-622
Pereira, A.M. (2001), On The Effects of Public Investment on Private Investment: What Crowds in What? Public Finance Review, Volume 29, Issue 1, 2001, Pages 3-25
Rajan, Raghuram G., and Luigi Zingales, 2003, “Banks and Markets: The Changing Character of European Finance,” NBER Working Paper No. 9595
Sahu, J.P. , dan Panda, S (2012), Is private investment being crowded out in India? Some fresh evidence Economics Bulletin Volume 32, Issue 2, Pages 1125-1132
Şen, H., dan A Kaya . Crowding-out or crowding-ln? Analyzing the effects of government spending on private investment in Turkey, Panoeconomicus, Volume 61, Issue 6, 2014, Pages 631-651
Subrahmanyam, A. 1991. A Theory of Trading in Stock Index Returns. Review of Financial Studies 4: 17 – 51.
Takanlou, Z.K. (2015), Can budget deficits financing, crowed out private sector? Comparative study of the cases of Iran and Algeria, Iranian Economic Review Volume 18, Issue 3, Pages 1-25
Wooldridge, J.M (2012), Econometric Analysis of Cross Section and Panel Data, The MIT Press, Massachusett USA
Xu, X., dan Yan, Y (2014) Does government investment crowd out private investment in China?, Journal of Economic Policy Reform, Volume 17, Issue 1, January 2014, Pages 1-12
Yuan, Kathy., dan Dittmar, Robert. 2005. The Price Impact of Sovereign Bond. Mimeo, University of Michigan, http://webuser.bus.umich.edu/kyuan/.
Zhou, Y.(2016), Empirical studies on the relationship between public and private investment and GDP growth Applied Economics Volume 38, Issue 11, Pages 1259-1270
Published
2018-02-10
How to Cite
WIBOWO, Buddi; PASSAGI, Hendrikus; PRASETYO, Muhammad Budi.
Uji Empirik Crowding Out Surat Utang Pemerintah dan Korporasi di Pasar Modal Indonesia.
Jurnal Ekonomi Kuantitatif Terapan, [S.l.], p. 19-33, feb. 2018.
ISSN 2303-0186.
Available at: <https://ojs.unud.ac.id/index.php/jekt/article/view/23109>. Date accessed: 23 nov. 2024.
doi: https://doi.org/10.24843/JEKT.2018.v11.i01.p02.
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