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years. This condition may lead this variable to be not significant affect the Credit Default Swap spreads.
The result of this research is inconsistent with the research that had conducted by Sand 2012 where the importGDP is a
variable that is affecting the Credit Default Swap spreads.
e Current Account Balance
Current account balance variable has the probability of 0.0553. The result shows that the current account balance
variable is significantly affect the Credit Default Swap spreads at significance level of 10 that is 0.0553 0.10. The
coefficient of current account balance variable is negative, it means that the higher current account balance leads to the
lower Credit Default Swap spreads. The result of this research is consistent with the researcqqh
that had conducted Ho 2014 where in long-run the current account balance is a variable that is affecting the Credit Default
Swap spreads. Based on the results that have obtained, thus, it can be
concluded that inflation, unemployment, and current account balance variables are partially significant affecting Credit
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Default Swap spreads. Meanwhile, GDP growth and importGDP, variables are not partially significant affecting
Credit Default Swap spreads.
2 The Impact of Macroeconomic Variables toward Credit Default
Swap Spreads Simultaneously F-Test
F-test used to measure, do the independent variables simultaneously affecting the dependent variable. The hypothesis of
F-test is: H
= the independent variables are simultaneously not affecting the dependent variable
H
1
= the independent variables are simultaneously affecting the dependent variable
H is rejected if
F
statistic
F
table
or if the probability of F
statistic
α. The result of F-test can be seen in the following table:
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Table 4.17 The Result of F-Test
a. Predictors: constant, GDP, INF,UNEMP, IMP, CAB b. Dependent variable: Credit Default Swap spreads
Source: processed data Based on the F-test result that have provided in the table
4.17, it is known that the probability of F
statistic
is 0.000139 which is less than α that is 0.000139 0.05. Thus, it can be concluded that
the independent variables that consist of GDP growth, inflation, unemployment, importGDP, and current account balance are
simultaneously affect the dependent variable that is Credit Default Swap spreads.
e. Regression Equation
Based on the panel data regression test using Random Effect Model, that shown on the table 4.14, the regression model will be:
Y = 35.74421 + 26.14017X
2
+ 14.37829X
3
- 8.353070X
5
Weighted Statistics R-squared
0.317519 Mean dependent var 104.7162 Adjusted R-squared 0.264200 S.D. dependent var
143.4075 S.E. of regression
123.0132 Sum squared resid 968463.2
F-statistic 5.955104 Durbin-Watson stat
1.747141 ProbF-statistic
0.000139
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Where: Y
= Credit Default Swap spreads X
2
= Inflation X
3
= Unemployment X
5
= Current Account Balance The regression equality shows that the regression coefficient of
constanta is positive. That means that by assuming that the value of GDP growth, inflation, unemployment, importGDP, and current
account balance variables are constant 0, thus the value of Credit Default Swap spreads is 35.744.
The regression equality shows that the regression coefficient of inflation variable is positive. That means that by assuming the other
independent variables are constant, the increasing of inflation variable of 1 will led the Credit Default Swap spreads have a tendency to be
rise 26.140. The regression equality shows that the regression coefficient of
unemployment variable is positive. That means that by assuming the other independent variables are constant, the increasing of
unemployment variable of 1 will led the Credit Default Swap spreads have a tendency to be rise 14.378.
The regression equality shows that the regression coefficient of current account balance variable is negative. That means that by
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assuming the other independent variables are constant, the increasing of current account balance variable of 1 will led the Credit Default
Swap spreads have a tendency to be down 8.353
f. The Effect of Macroeconomic Variables in Explaining the Credit
Default Swap spreads
Adjusted R
2
is the determination coefficient that explain how much the dependent variable variant described by the model in the whole.
The value of adjusted R
2
is in between 0 and 1. More closer the value of R
2
to the 1, it means the independent variables perfectly affect the dependent variable or with the other word, the model can describe the
variant of dependent variable well. Based on the calculation that have provided on the table 4.17, it is
known that the value of adjusted R
2
is 0.264200 or 26.42. That means that 26.42 dependent variable that is Credit Default Swap
spreads can be explained by the independent variables that are GDP Growth, inflation, unemployment, importGDP, and current account
balance. While the rest, 73.58 of dependent variable is explained by
the other variables which are not included in this research.
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CHAPTER V CONCLUSION
A. Conclusion
The purpose of this research is to find out the impact of macroeconomic variables that represented by GDP growth, inflation, unemployment,
importGDP, and current account balance toward Credit Default Swap spread`s in Asia and Europe, using the sample of 9 selected Asian countries
and 5 selected European countries. The data that used for conducting this research are from the period of 2009 until 2013. Based on the research that
has been conducted, the results are as follows: 1. Based on the panel data regression that has been conducted, the result
shows that the inflation, unemployment, and current account balance variables are affecting the Credit Default Swap spreads. Meanwhile, the
GDP growth, and importGDP variables are not affecting the Credit Default Swap spreads. Inflation variable has positively affect the Credit
Default Swap spreads. The result is consistent with the research that had conducted by Sand 2012, where the inflation variable has a positive sign
toward CDS spreads. Unemployment variable has positively affect the Credit Default Swap spreads. The result is consistent with the research
that had conducted by Brandorf and Holmberg 2010, where the unemployment variable has a positive sign toward CDS spreads. Current
account balance variable has negatively affect the Credit Default Swap
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spreads. The result is consistent with the research that had conducted by Ho 2014, where the current account balance variable has a negative sign
toward CDS spreads. 2. Based on the panel data regression that has been conducted, the result of
adjusted R
2
test analysis is 0.264200. It means that the independent variables that is represented by GDP growth, inflation, unemployment,
importGDP, and current account balance can explain the dependent variable which is Credit Default Swap spreads with the accuracy of
26.42. While the rest of 73.58 is explained by the other variables that are not mentioned on this research.
B. Suggestion
Based on the conclusion that had elaborated above, the suggestion can be stated as follows:
1. For Investors
For the investors, especially the bond investor’s who want to buy the
Credit Default Swap as a hedging instrument, need to pay attention on the macroeconomic variables that might affect the movement of Credit
Default Swap spreads, especially inflation, unemployment and current account balance which are significantly affecting the Credit Default Swap
spreads.
