Karya
Judul/Title Analyzing Indonesian Government Yield Curve during Pandemic Covid-19 using Class of Nelson Siegel Models
Penulis/Author Prof. Dr.rer.nat. Dedi Rosadi, S.Si.,, M.Sc. (1) ; Prof. Dr. Abdurakhman, S.Si., M.Si. (2); DI ASIH I MARUDDANI (3); Dr. Agus Sihabuddin, S.Si., M.Kom. (4); CICILIA DEBBIE SIMANGUNSONG (5); MERI ANDANI R (16)
Tanggal/Date 9 2024
Kata Kunci/Keyword
Abstrak/Abstract Yield curve in bond investment will provide visualization of yields of bond as the function of the time to maturities. A normal yield curve shows bond yields increasing steadily with the length of time until they mature but flattening a little for the longest terms. The bond market can help predict the direction of the economy. In this study, we analyse the progress of Indonesian Government Yield Curve (IGYSC) during the pandemic Covid-19. Here, we especially analyse the connection between the progress of the pandemic waves and the development of IGYSC. We apply the Nelson Siegel and Nelson-Siegel-Svensson model to obtain the IGYSC and the empirical study has been done using FR (Fixed Rate) bonds of Indonesian Bond Market and HIMDASUN data. All the computation are done using R software. Based on yield curve analysis, it was shown that the economic only slowed down at the beginning of the pandemic, and has been continuing to improve by the time of pandemic evolves.
Level Internasional
Status
Dokumen Karya
No Judul Tipe Dokumen Aksi
1April 2024 DR CA ICMSC 070013_1_5_0204845 yield curve.pdfDokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian)
2L1 paper 2 icmsc.pdfDokumen Pendukung Karya Ilmiah (Hibah, Publikasi, Penelitian, Pengabdian)