Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan

Mubarak, Fadhlul and Wulandya, Siti Arni and Seran, Karlina and Soleh, Agus M and Andriansyah, Andriansyah (2017): Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan. Published in: Kajian Ekonomi & Keuangan , Vol. 3, No. 1 (9 March 2018): pp. 217-228.

Abstract

One of the basic macroeconomic assumptions that is still experiencing difficulties developing an accurate economic model is the 3-month Treasury bill (Surat Perbendaharaan Negara/SPN). This is mainly caused by its irregular data period, based on the average yield won in an auction held at a certain period. This study aims to build 3-month Treasury Bill (SPN) interest rate models by comparing several time-series methods, namely spline smoothing, exponential smoothing, moving average smoothing, and a regression model using s spread with one year Government Bond yield (Surat Utang Negara/SUN). This study shows that the spline smoothing method and regression analysis with one year SUN is the best model. In contrast, spline smoothing is better for short-term projections, and regression with one year SUN is better for medium-term projection.

• Item Type: MPRA Paper
• English Title: Interest Rate Model of 3-Month Treasury Bill
• Language: Indonesian
• Keywords: State budget; 3-month SPN; exponential, spline, moving average smoothing; spread by 1-year SUN
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects; H - Public Economics > H3 - Fiscal Policies and Behavior of Economic Agents > H30 - General

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