Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan

Interest Rate Model of 3-Month Treasury Bill

Fadhlul Mubarak, Siti Arni Wulandya, Karlina Seran, Agus M Soleh and Andriansyah Andriansyah

MPRA Paper from University Library of Munich, Germany

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.

Keywords: State budget; 3-month SPN; exponential, spline, moving average smoothing; spread by 1-year SUN (search for similar items in EconPapers)
JEL-codes: C22 C52 E43 H30 (search for similar items in EconPapers)
Date: 2017-02-21
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Published in Kajian Ekonomi & Keuangan 1.3(2018): pp. 217-228

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111537

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