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Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan
[Interest Rate Model of 3-Month Treasury Bill]

Author

Listed:
  • Mubarak, Fadhlul
  • Wulandya, Siti Arni
  • Seran, Karlina
  • Soleh, Agus M
  • Andriansyah, Andriansyah

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.

Suggested Citation

  • Mubarak, Fadhlul & Wulandya, Siti Arni & Seran, Karlina & Soleh, Agus M & Andriansyah, Andriansyah, 2017. "Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan [Interest Rate Model of 3-Month Treasury Bill]," MPRA Paper 111537, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:111537
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    File URL: https://mpra.ub.uni-muenchen.de/111537/1/MPRA_paper_111537.pdf
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    More about this item

    Keywords

    State budget; 3-month SPN; exponential; spline; moving average smoothing; spread by 1-year SUN;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • H30 - Public Economics - - Fiscal Policies and Behavior of Economic Agents - - - General

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