How Does Global Economic Policy Uncertainty And Macroeconomics Interact With Sovereign Retail Sukuk Yield? Evidence From Indonesia

Fitria Idham Chalid; Siti Zubaidah; Jihan Nabila Zahara

Authors

Fitria Idham Chalid Universitas Trunojoyo Madura
Siti Zubaidah Universitas Trunojoyo Madura
Jihan Nabila Zahara Universitas Muhammadiyah Ponorogo

Keywords:

Exchange Rate, Profit Sharing, Retail Sukuk Yield

Abstract

This study aims to analyze empirically the effect of macroeconomics variable, and uncertainty of global economic policies on the yield of sovereign retail sukuk in the short term. Sampling of Retail Sukuk Series 010 (SR010) uses purposive sampling method by considering that SR010 is the sukuk with the lowest yield and volume of issuance during the previous three years and the previous two years. Data analysis used in this study using ARDL-ECM after going through the stationarity test and cointegration test. The results show that in the long term inflation and exchange rate variables have a significant influence on the yield of retail sukuk SR010, while the variables for profit sharing on mudharabah deposits and global policy uncertainty have no significant effect on the yield of retail sukuk SR010. On the other hand, in the short term, the variable for profit sharing on mudharabah deposits in the previous period and significant uncertainty over the policies of the previous period, which affected the yield of retail sukuk SR010, had no effect on inflation and exchange rates. These empirical findings are expected to be a reference for investors to make decisions in choosing SUKRI as their investment portfolio, as well as a consideration for the government in macro policies in Indonesia

References

Alhammadi, S., Archer, S., & Aloumi, D. (2024). Sukuk structure and risk exposures: evidence from an originator perspective. Journal of Islamic Accounting and Business Research. https://doi.org/10.1108/JIABR-10-2023-0343

Arshad, H., Muda, R., & Osman, I. (2017). Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market. Journal of Emerging Economies and Islamic Research, 5(4), 27. https://doi.org/10.24191/jeeir.v5i4.8834

Balli, F., Billah, M., Balli, H. O., & Gregory-Allen, R. (2020). Economic uncertainties, macroeconomic announcements and sukuk spreads. Applied Economics, 52(35), 3748–3769. https://doi.org/10.1080/00036846.2020.1721424

Brown, R. L., Durbin, J., & J. M. Evans. (2016). Techniques for Testing the Constancy of Regression Relationships over Time. 37(2), 149–192.

Chionis, D., Pragidis, I., & Schizas, P. (2014). Long-term government bond yields and macroeconomic fundamentals: Evidence for Greece during the crisis-era. Finance Research Letters, 11(3), 254–258. https://doi.org/10.1016/j.frl.2014.02.003

DJPPR. (2021). Masa Penjualan Sukuk Negara Ritel Seri SR010. https://www.djppr.kemenkeu.go.id/page/load/2102/hasil-penjualan-sukuk-negara-ritel-seri-sr-010

DJPR Kemenkeu. (2021). Memahami Utang. https://www.djppr.kemenkeu.go.id/pahamiutang/index.php

Ekananda, M. (2016). Analisis Ekonometrika Time Series (2nd ed.). Mitra Wacana Media.

Fitriyah, N. L., & Ryandono, M. N. H. (2019). Determinan Terhadap Yield Sukuk Ritel Negara (Studi Tahun 2009 – 2017). Jurnal Ekonomi Syariah Teori Dan Terapan, 6(9), 1741–1755. https://doi.org/10.20473/vol6iss20199pp1741-1755

Melzatia, S., Doktoralina, C. M., & Mahroji, M. (2019). Yield Sukuk: Maturity, Rating and Value of Emission. SSRN Electronic Journal, 9(12), 106–112. https://doi.org/10.2139/ssrn.3414802

Naifar, N., Mroua, M., & Bahloul, S. (2017). Do regional and global uncertainty factors affect differently the conventional bonds and sukuk? New evidence. Pacific Basin Finance Journal, 41, 65–74. https://doi.org/10.1016/j.pacfin.2016.12.004

Otoritas Jasa Keuangan. (2019). Laporan Perkembangan Keuangan Syariah Indonesia 2020. In Otoritas Jasa Keuangan (Vol. 11, Issue 1). http://scioteca.caf.com/bitstream/handle/123456789/1091/RED2017-Eng-8ene.pdf?sequence=12&isAllowed=y%0Ahttp://dx.doi.org/10.1016/j.regsciurbeco.2008.06.005%0Ahttps://www.researchgate.net/publication/305320484_SISTEM_PEMBETUNGAN_TERPUSAT_STRATEGI_MELESTARI

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. https://doi.org/10.1002/jae.616

Puspa, M., & Duasa, J. (2017). Sovereign Sukuk Pricing Analysis: Do Macroeconomic Variables Matter? International Journal of Economics, Management and Accounting, 25(3), 513–528.

Sugiyono. (2018). Metode Penelitian Bisnis. Alfabeta.

Sukmana, R. (2020). A critical assessment of retail sovereign sukuk in Indonesia. Qualitative Research in Financial Markets, 12(2), 243–262. https://doi.org/10.1108/QRFM-10-2018-0109

Sukmaningrum, P. S., Rani, L. N., Hasib, F. F., & Rusmita, S. A. (2020). Impact of Macroeconomics on Corporate Sukuk Yield in Indonesia. Elementary Education Online, 19(4), 693–701. https://doi.org/10.17051/ilkonline.2020.04.173

Sundoro, H. S. (2018). Pengaruh Faktor Makro Ekonomi, Faktor Likuiditas Dan Faktor Eksternal Terhadap Yield Obligasi Pemerintah Indonesia. Journal of Business & Applied Management, 11(1), 102–115. https://doi.org/10.30813/jbam.v11i1.1072

Surachman, E. N., Hermawan, R. P., Handayani, D., & Astuti, E. (2022). Evaluation of Sovereign Sukuk as a government financing instrument with stakeholder theory: a moving forward policy from Indonesia’s experience. Journal of Islamic Accounting and Business Research, 14(2), 315–338. https://doi.org/10.1108/JIABR-03-2022-0066

Tandelilin, E. (2017). Pasar Modal Manajemen Portofolio dan Investasi. Kanisius.

Timur, Y. P., & Ridlwan, A. A. (2025). Determinants of Muslim investors in investing through green sukuk retail : an extended pro-environmental planned behavior approach. https://doi.org/10.1108/JIMA-07-2024-0286

Wibowo & Sugiyarto, H. (2012). Faktor-Faktor yang Mempengaruhi Yield Sukuk Negara ritel Seri SR001 di Pasar Sekunder tahun 2009-2011. Jurnal BPPK, 4(November), 83–97.

Yuliah, Leni Triana, S. (2020). Faktor-Faktor Yang Mempengaruhi Yeild To Maturity Obligasi Korporasi Program Studi Manajemen Fakultas Ekonomi Dan Bisnis Universitas Komputer Indonesia Bandung. Jurnal Ilmu Keuangan Dan Perbankan (JIKA), 10(1).