The purpose of this research is to measure the effects of Sbi rate, time to
maturity and coupon rate to yield spreads of corporate bonds in Indonesia period
of 2009-2013. Stationarity test of Dickey-Fuller is used as basic test for a nonstationarity
of each variable used, cointegration test of Engle-Granger, and Error
Correction Model are used to test the long-run and short-run equilibrium
relationship between those variables. The finding of this research are Sbi rate,
time to maturity, and coupon rate are cointegrated and affect significantly to the
yield spreads. The result of Error Correction Model test of the variables shows
SBI Rate, Time To Maturity, and Coupon Rate can be better to explained the
change of Yield Spreads in short-run equilibrium relationship. This result is
according to the value of adjusted r-Squared in short-run equilibrium relationship
is greater than adjusted r-Squared value in long-run equilibrium relationship