THE INFLUENCE OF MACROECONOMIC VARIABLES ON TRADING OF SUKUK NEGARA DURING PANDEMIC: CASE OF INDONESIA

The year 2020 and 2021 became an unprecedented challenge due to the covid pandemic affecting many aspects around the world, including the economy. On the other side, over the past decade has the global Sukuk market become an increasingly prominent funding source for companies, financial institutions, and governments. For handling the pandemic in Indonesia, the Ministry of Finance has repeatedly issued Sukuk Negara. The objective of study is to analyze the short-term and longterm impact of macroeconomic variables on the sukuk trade in Indonesia and to see the impact of these macroeconomic variables on the stability of the Sukuk Negara Trade and the contribution of these variables during the pandemic to the Sukuk Negara. It was found that the exchange rate and inflation have a significant positive effect on the trading of sovereign sukuk in the secondary market. The most variable contribution is sovereign sukuk trade itself, followed by the Exchange rate.


I. INTRODUCTION
The year 2020 became an unprecedented challenge due to the covid pandemic which began to spread at the end of 2019 in Wuhan, China. This certainly affects many aspects around the world, including the economy. This upheaval and uncertainty caused the recession in 42 countries around the world including Indonesia (www.cnbcindonesia.com). Indonesia experienced a contraction with economic growth of minus 2.07% YoY in 2020, the worst since the 1998 crisis (BPS, 2021). To save the condition of the Indonesian economy, an economic stimulus from the government is needed from the state budget. However, this resulted in a wider fiscal deficit and a significant increase in funding requirements.
It was noted that the realization of the 2020 State Revenue and Expenditure Budget (APBN) deficit reached IDR 956.3 trillion or 6.09 percent of Gross Domestic Product (GDP) equivalent to 82.9 percent of the target set in Presidential Regulation 72 of 2020 which amounted to IDR 1,039. ,2 trillion. The deficit was because state revenues were under considerable pressure with state revenues collected amounting to Rp. 1,633.6 trillion, down 16.7% compared to 2019. Again, the IMF predicts that the government's budget deficit in 2021 will reach 6.1% of gross domestic product (GDP) is the same as in the previous year.
On the other hand, one of the sources of state budget revenue, taxes, has also decreased due to the pandemic. However, it is unfortunate that tax revenues fell to minus 19.7% in 2020. This is because the direction of economic movement is in line with tax performance. This is because the size of the tax payment is highly dependent on the economic capacity (income and purchasing power) of the taxpayer and the state debt. As is known, the economic condition of the community also experienced a decline so that income decreased due to many being laid off and losing their jobs. Amid very difficult conditions, the government must find other sources of revenue such as issuing debt securities.
Over the past decade, the global Sukuk market has become an increasingly prominent funding source for companies, financial institutions, and governments.
Also, sukuk has become a special attraction among corporations, banks, and customers as a solution for conventional bonds (Uddin & Hamat,2019 -INFAQ: Jurnal Ekonomi Islam, (p-ISSN: 2087-2178, e-ISSN: 2579-6453) Vol. 13 No. 1 (2022  The main problem or obstacle is seen from the condition of the financial market is to see these conditions, it is necessary to analyze the economy as a whole, both internally and externally. And Also, to reduce the risk in investing, investors can make offers according to the prevailing economic conditions. According to Mishkin (2008), based on portfolio choice theory, the factors that influence the demand for securities or shares include the exchange rate, expected interest rates, expected inflation, risks that may be borne, stock returns and liquidity of securities.

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Meanwhile, the supply is influenced by expected profitability, expected inflation, and government activity. The wealth and liquidity of securities have a positive effect on the demand for these securities, while the expected interest rate, expected inflation, and risk of securities have a negative effect on the demand for share.
However, from the supply side, these three variables have a positive effect on stock prices. So, when there is inflation which causes stock prices to fall, this will affect the number of offers made. Other economic indicators will certainly have different impacts in influencing investment supply.
Several empirical studies also show several factors that influence Sukuk, by Said and Grassa (2013) which examines several macroeconomic variables. The result is that macroeconomic factors have a positive effect on the development of sukuk. A number of studies have shown that an increase in interest rates has an effect on a decrease in the value of bonds, and interest rates increase bond prices.
Inflation will affect the ability of investors to buy bonds, (Haymans, 2010). If the rupiah weakens against the dollar in an effort to increase banking liquidity, Bank Indonesia will increase the BI rate. Furthermore, Manab (2016) states that interest rates and yields have a significant effect on the price of Sovereign sukuk. While inflation, GDP together affect the price of Sovereign sukuk. Smaoui and Khawaja (2016); The result is that large economies of scale, large Muslim population, attractive investment profile, and good control over corruption will strengthen the development of sukuk.
According to explanation above, the authors are interested in conducting research taken from the point of view of demand side. So, in this study, the author will conduct research related to the effect of inflation, the BI rate and the rupiah exchange rate on the sukuk trade during the pandemic in Indonesia.
The purpose of this study is to analyze the short-term and long-term impact of macroeconomic variables on the sukuk trade in Indonesia and to see the impact of these macroeconomic variables on the stability of the sovereign shariah securities trade and the contribution of these variables during the pandemic to the sukuk negara. The characteristics of sukuk with conventional bonds have basic differences, among others, the structure of sukuk which is based on tangible assets using underlying assets as the basis for issuance. In practice, sukuk is carried out based on contracts in accordance with sharia principles. Investors get returns in the form of a ratio or margin according to the type of contract that has been agreed. All elements used must be free from non-halal elements such as type of industry and income.  -INFAQ: Jurnal Ekonomi Islam, (p-ISSN: 2087-2178, e-ISSN: 2579-6453) Vol. 13 No. 1 (2022 111 3. Creating benchmarks for Islamic financial instruments in both domestic and international Islamic financial markets.

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4. Expanding network and diversifying the investor base 5. Developing alternative investment instruments for both domestic and foreign investors seeking sharia-based financial instruments 6. Encouraging the growth of the Islamic financial market in Indonesia The State Revenue and Expenditure Budget deficit (APBN) encourages the government to issue bonds, which aim to attract public funds and support the APBN. The higher the level of need for funds to support bonds, the more bonds that will be issued. The role of determining interest rates for bonds issued in the near future will affect the issuance of bonds in the next period. The limited sources of APBN financing apart from taxes, prompted the government to increase bond interest rates to attract investors to invest their funds in this instrument. The higher the interest rate, the higher the demand for bonds (Mishkin, 2007). Sukuk are also included in bond instruments, so the higher the level of need for funds the more sukuk that are likely to published.

Previous Study
A number of researchers have previously conducted research on the effect of macroeconomic variables on Sukuk Negara. The inflation variable has an influence on purchasing power, where if inflation rises, purchasing power will decrease because people prioritize consumption over investment, so that the purchasing power of bonds or debt securities also decreases. According to Rakhman (2017) The result of his study using panel data analysis indicate that inflation have a significant effect on the price of Retail Sukuk. Rahman, Paminto, Nadir (2016) (2019), the long-term change in sukuk return in Indonesia is influenced by changes in exchange rates, inflation and changes in world gold prices. The inflation rate in the longterm has an insignificant negative effect on the demand for sovereign sukuk (Rahman, et al;. Also, research conducted by Sujianto (2016) -INFAQ: Jurnal Ekonomi Islam, (p-ISSN: 2087-2178, e-ISSN: 2579-6453) Vol. 13 No. 1 (2022 impulse response analysis, in which endogenous variables will respond to a shock from other endogenous variables. If the data at the level does not show data stationarity but has a cointegration relationship, then the VECM model is used (Gujarati & Porter, 2009;Gujarati, 2012). According to Ascarya and Rusydiana (2009), The Vector Autoregression or VAR method is a non-structural approach (as opposed to a structural approach, such as a simultaneous equation) that describes a "causal" relationship between variables in the system. This method was developed by Sims in 1980, who assumed that all variables in the model were endogenous (determined in the model), so that this method was called an a-theoretical model (not based on theory). This is done because there are often situations where economic theory alone cannot capture (not rich enough to provide specifications) accurately and completely the dynamic relationship between variables. Similar to the VAR method, the VECM method will also produce an Impulse Response Error Variance Decomposition (FEVD), the effect of shock is seen in percentage terms. The Research is using Eviews 9 as a tools to running the data. So, the procedure used in the estimation of the VAR/VECM model, the following figure explains how the systematics of data processing using VAR/VECM: Figure 1. var/vecm analysis process source: Ascarya(2009)

Stationarity Test
Data The first step in the VECM method is to test the stationarity of the data.

Optimum Lag Testing
In using the VAR model, one of the important steps that must be taken is determining the optimal amount of lag used in the model. Optimal lag length testing -INFAQ: Jurnal Ekonomi Islam, (p-ISSN: 2087-2178, e-ISSN: 2579-6453) Vol. 13 No. 1 (2022 can take advantage of some information, namely using the Akaike Information Criterion (AIC), Schwarz Criterion (SC), and Hannan-Quinn Criterion (HQ) (Firdaus, 2011).

Cointegration Test
Cointegration test aims to determine whether the non-stationary variables are cointegrated or not. The concept of cointegration was proposed by Engle and Granger (1987) as a linear combination of two or more variables that are not stationary will produce a stationary variable. This linear combination is known as a cointegration equation and can be interpreted as a long-term equilibrium relationship between variables (Firdaus, 2011 (Firdaus,2011).

Variances (FEDVs)
VECM analysis will produce two functions, namely IRF and FEDV. IRF is useful for knowing the response of endogenous variables to a particular shock or shock. This is because shocks in a variable, for example the j-variable, do not only affect the j-th variable, but also affect all other endogenous variables in the system through the lag structure in the VECM. Therefore, IRF can be used to measure the impact of a shock at a certain time on endogenous variables both at that time and in the future. Meanwhile, FEDVs are useful for knowing how changes in a variable are affected by other variables in the VECM model (Firdaus, 2011)

Empirical Results
In this chapter will be described about the data and the results of data processing accompanied by a discussion of the parameters in an effort to answer the research problems.

Data Stationarity Test Results
The test method used in this study is the ADF (Augmented Dickey Fuller) test using a five percent (5%) significance level. If the t-ADF value is less than the MacKinnon critical value, it can be said that the data is stationary. This test is carried out from the level to the first difference level.
In this study, there are data that are stationary and some are not stationary at the level level. After the first difference is done, then all data is stationary (does not contain unit roots). The data that is stationary at the level is the Exchange rate and Sukuk trading. While the other variables are only stationary at the first difference.
The results of the unit root test can be seen in table 1. below.

VAR Model Stability Test Results.
From the above model, after that the stability test of the VAR model was carried out. If the largest modulus value is less than 1 and is at the optimal point, then the composition is already in the optimal position and the VAR model is stable.
In this research, the model is stable at lag 1 2. Here are the results: This means that the var model is stable until lag 2.

Optimal Lag Test Results.
Determination of the optimal lag used in this study is based on the shortest lag using the Akaike Info Criterion (AIC). The results obtained in the model experience an optimal point at lag 1. Here are the results: To be able to find out the long-term relationship between variables that have met the requirements during the integration process where all variables are stationary at the same degree, it is necessary to carry out a cointegration test. Longterm information is obtained by determining the cointegration rank in advance to find out how many systems of equations can explain the entire existing system. The results of the cointegration test are as follows: The cointegration test results based on the trance statistic states that the TRADING OF SUKUK NEGARA model has a cointegration rank at a critical value of 5%. This shows that in addition to the short-term relationship there is also a long-term relationship between variables in the model. Thus, further research using the VECM model can be carried out.

Correlation Test Results
According to Asrana (2004), the need for a sequence of variables according to the causality test only occurs if the correlation value between variables in the majority system (more than 50%) exceeds 0.2. If the majority of the correlation values between the variables are above 0.2, then the specification of the order of the variables in accordance with economic theory or causality tests needs to be carried out. If the result is the other way around then the exact form of the order need not matter. In this study there are variables whose values are above 0.2. Here are the results:

Granger Causality Test Results
Granger Causality Test aims to determine the causal relationship between the variables tested. After knowing the optimal lag in the VAR system, the test can be carried out. A variable can be said to have a significant causal relationship with other variables if the probability value is less than alpha (using the strictest 10% restriction), but in this study using 5% and 10% alpha.  The results of the vecm test in this study can be said to be towards long-term equilibrium, this can be seen in the value of cointeq which is negative (-) and significant. The macro variables that affect the sovereign sukuk trading significantly in the long term are the exchange rate variable, and inflation.
Inflation affects trading of sukuk negara variable positively by 19.04 . This means that if there is an increase of 1 percent in inflation, the trading of Sukuk Negara variable will increase by 19.04 percent. This shows that when inflation rises, investors do not hesitate to place their money in instruments that have fixed income and have a lower risk level such as sbsn, so that purchases in trading sovereign sukuk in the secondary market can be made.
The Exchange rate variable positively affects trading of Sukuk Negara by 99.367 . This means that if there is an increase of 1 percent in Exchange rate, it will increase the tbsbsn variable by 99.367 percent. In this case, the exchange rate is related to exports and imports. This is because when the rupiah exchange rate appreciates, the cost of imported raw materials or products related to imported products will decrease. This causes lower or lower production costs so that the company's profits increase, so that the dividend rate can be distributed and the return offered will increase. This increase in return causes the price of sukuk in the market to rise so that it can attract investors to make purchases of sukuk.
In the short term, there is not a single macroeconomic variable during the pandemic. So it can be concluded that, macroeconomic variables only affect the sukuk trade in the long term.

What is the impact of each macroeconomic variable on the Sukuk Trading in the short and long term during the pandemic?
In longterm, from the results of the VECM test in this study can be said to be towards long-term equilibrium, this can be seen in the value of CointEq which is negative (-) and significant. The macro variables that affect the Sovereign Sukuk Trading significantly in the long term are the Exchange rate variable, and Inflation.
From the investor's perspective, fluctuations in the value of the rupiah greatly affect investors' decisions to invest because the position of the rupiah against foreign currencies can describe the condition of a country. The relationship between the exchange rate and bond prices tends to be negative (Shabir, 2005) so this can affect the sukuk trade in the secondary market tends to fluctuate due to fluctuations in the rupiah exchange rate. However, based on the existing results it turns out that, in the long term, an increase in the exchange rate can increase sukuk trading in the secondary market. when the exchange rate strengthens, what will happen is that domestic goods tend to be cheaper, the value of exports is more expensive, and the value of imports is cheaper, it will show reduced trade competitiveness. Where will have a positive influence on investment in a region.
Another factor that affects sukuk is inflation, which has a significant positive value in the long term. This research is supported by Witadi (2019) which shows the same thing. This is contrary to Cherif Anda Gazdar (2010) who stated that another macroeconomic variable that is a factor in volatility is inflation, which has a negative impact on financial developments. This shows that sukuk trading as part of financial developments shows the opposite. This can be because inflation has a positive effect on investment because it can cause an increase in production. The reason is that in a state of inflation, usually the increase in the price of goods precedes the increase in wages so that the profits of entrepreneurs increase. This increase in profits will encourage an increase in production. Therefore, entrepreneurs will invest when inflation occurs. In accordance with Mishkin's (2006) statement that inflation occurs continuously (long term) that can affect individuals, companies, and governments. The current inflation is due to natural factors, namely the pandemic, in accordance with Maqrizi's theory about the causes of inflation, When the disaster occurred, various foodstuffs and other agricultural products experienced crop failure, so the supply of these goods experienced a drastic decline and scarcity occurred.
Meanwhile, in the short term, there are no macroeconomic variables that affect sukuk trading in the secondary market. Research from Efendi and Tamrin (2020) shows the same results for corporate sukuk.
Another Variable, the BI Rate, does not affect both the long-term and the short-term to the sukuk trade in Indonesia. This is in stark contrast to some existing investment theories. This rejects the classical theory which states that there is a close relationship between interest rates and investment which states that the higher the interest rate, the lower the desire of an investor to invest their money, on the contrary, the lower the interest rate, the higher the investor's desire to invest their money. As we know, BI lowered its benchmark interest rate from 4.5% in early 2020 to 3.5% in mid-2021 due to the pandemic. However, this did not affect the rate of rise and fall of sukuk trading in the secondary market.

Impulse Response Function (IRF) Analysis Result and discussion
There are two main forms of analysis in VECM, namely Impulse Response Function (IRF) and Forecast Error Variance Decomposition (FEVD). IRF is a vector moving average application that aims to see the traces of the current and future response of a variable to the shock of a particular variable. While the function of the FEVD is to predict the contribution of each variable to shocks or changes in certain variables (Ascarya, 2009   to bring trading of sukuk negara to a negative response in its long-term balance. In general, the above variables tend to bring trading of sukuk negara to a new equilibrium point. This indicates that there is a short-term relationship that affects sukuk trading in the secondary market in terms of macroeconomic variables. This could be due to economic uncertainty in the midst of a pandemic that occurred even though during the initial period of the pandemic, macroeconomic variables did not affect sukuk trading in the secondary market. The stability shown in the 10-12 period indicates a process of economic recovery, as evidenced by the issuance of sukuk in january 2021 to stimulate the indonesian economy due to the pandemic that occurred.

Forecast Error Variance Decomposition (FEVD) analysis.
After analyzing dynamic behavior through impulse response, then the characteristics of the model will be seen through forecast error variance relationship that affects sukuk trading in the secondary market in terms of macroeconomic variables. this could be due to economic uncertainty in the midst of a pandemic that occurred even though during the initial period of the pandemic, macroeconomic variables did not affect sukuk trading in the secondary market. The stability shown in the 10-12 period indicates a process of economic recovery, as evidenced by the issuance of sukuk in January 2021 to stimulate the Indonesian economy due to the pandemic that occurred.

3.
Based on the variance decomposition, it shows that the largest contribution that affects the sukuk trade is the sukuk itself, followed by the exchange rate which has a share of 30% or one-third of the sukuk trade itself. this indicates a macroeconomic role in sovereign sukuk trading activities in the secondary market. this is also supported by the results of the Granger causality test which shows the effect of the exchange rate on sovereign sukuk trading.

Suggestion and recommendations
As for some suggestions and recommendations that were shown to several parties concerned including the government as a regulator, market players who carry out activities in the Islamic capital market, as well as the wider community who are new to wanting to become investors who are interested in investing in sukuk and helping our country, as well as for academics and researchers who intend to increase further research on sukuk. The following suggestions and recommendations that the author can convey are as follows: 1.
For the Government, it is hoped that it can control macroeconomic variables, especially the rupiah exchange rate, because this can have a positive impact on sukuk trading in the secondary market.

2.
For investors who want to include sukuk instruments in their portfolio selection, they can consider macroeconomic variables, especially the exchange rate and inflation because in the long term these two macroeconomic variables have a positive impact on sukuk trading in the secondary market.

3.
For the wider community, judging from the response given by the offering of sukuk to macroeconomic factors in achieving balance, sukuk can be a recommendation for beginners in investing with a low and safe level of risk, of course based on the conformity of the sharia with muamalah. This is because when macroeconomic shocks and global financial market uncertainty occur, sukuk can achieve stability in a relatively fast period.

4.
For the next researcher, so that the research period can be extended and use more varied test variables, of course by using different methods such as panel data analysis, so as to provide more accurate research results. or, can use qualitative research to support this research. The research can be in the form of an analysis that influences investors' choices in choosing their portfolios.
5. In addition, there is a need for in-depth understanding and competence by Islamic Economics HR, be it regulators, scholars, practitioners and actors as well as the wider community regarding the principles and practices allowed in the Islamic financial market, especially in Sukuk Negara.