Pemodelan Tingkat Suku Bunga Surat Perbendaharaan Negara 3 Bulan
Interest Rate Model of 3-Month Treasury Bill
Siti Arni Wulandya,
Agus M Soleh and
Andriansyah Andriansyah ()
MPRA Paper from University Library of Munich, Germany
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)
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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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