ABSTRACT : The 10-year government bond yield is a key benchmark for sovereign financing costs and a critical reference rate for asset pricing in emerging markets. Understanding its drivers is therefore crucial for policymakers and market participants, especially in the context of heightened global financial integration. This study examines the impact of domestic monetary conditions and global investor behavior on Indonesia’s 10-year government bond yield, utilizing monthly data from January 2014 to December 2024. The model includes the central bank policy rate, the stock market index, inflation, the rupiah–US dollar exchange rate, and the share of foreign ownership in government bonds. Given the mixed order of integration among variables, the analysis employs the AutoRegressive Distributed Lag (ARDL) approach to estimate both short-run dynamics and long-run relationships. The results show that exchange rate movements significantly affect the 10-year yield in both the short run and the long run, underscoring the role of currency risk and external shocks in sovereign yield formation. These findings imply that strengthening exchange rate stability and managing external vulnerability can help contain government borrowing costs and support bond market resilience during shifts in global risk appetite.
Pratama et al. (Fri,) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: