Analyzing Indonesian government yield curve during pandemic Covid-19 using class of Nelson Siegel models
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...
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| creator | Rosadi, Dedi Abdurakhman, Abdurakhman Maruddani, D. I. Asih I. Sihabuddin, Agus Ihsan, Ifan Mohammad Jayanti, Ayu Ajeng Anwar, Taufik Simangunsong, Cicilia Debbie Ramadhani, Dinda Awanda Adi, Iqbal Hanif Anggita Dunrui, Danny Theodore Wibisana, Putu Indra Oktiawati, Pingky Cahyani, Tarisa Putri Rafflesia, Ulfasari Rosmalawati, Meri Andani |
| description | 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. |
| doi_str_mv | 10.1063/5.0204845 |
| format | Conference Proceeding |
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I. Asih I. ; Sihabuddin, Agus ; Ihsan, Ifan Mohammad ; Jayanti, Ayu Ajeng ; Anwar, Taufik ; Simangunsong, Cicilia Debbie ; Ramadhani, Dinda Awanda ; Adi, Iqbal Hanif Anggita ; Dunrui, Danny Theodore ; Wibisana, Putu Indra ; Oktiawati, Pingky ; Cahyani, Tarisa Putri ; Rafflesia, Ulfasari ; Rosmalawati, Meri Andani</creator><contributor>Mahmuda, Siti ; Siringoringo, Meiliyani ; Widodo, Nanang Tri ; Arif, Muhammad Fauzi ; Allo, Veliyana Londong ; Wahidah ; Nugroho, Rudy Agung ; Huda, Moh. Nurul</contributor><creatorcontrib>Rosadi, Dedi ; Abdurakhman, Abdurakhman ; Maruddani, D. I. Asih I. ; Sihabuddin, Agus ; Ihsan, Ifan Mohammad ; Jayanti, Ayu Ajeng ; Anwar, Taufik ; Simangunsong, Cicilia Debbie ; Ramadhani, Dinda Awanda ; Adi, Iqbal Hanif Anggita ; Dunrui, Danny Theodore ; Wibisana, Putu Indra ; Oktiawati, Pingky ; Cahyani, Tarisa Putri ; Rafflesia, Ulfasari ; Rosmalawati, Meri Andani ; Mahmuda, Siti ; Siringoringo, Meiliyani ; Widodo, Nanang Tri ; Arif, Muhammad Fauzi ; Allo, Veliyana Londong ; Wahidah ; Nugroho, Rudy Agung ; Huda, Moh. Nurul</creatorcontrib><description>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.</description><identifier>ISSN: 0094-243X</identifier><identifier>EISSN: 1551-7616</identifier><identifier>DOI: 10.1063/5.0204845</identifier><identifier>CODEN: APCPCS</identifier><language>eng</language><publisher>Melville: American Institute of Physics</publisher><subject>Bond markets ; COVID-19 ; Economic analysis ; Empirical analysis ; Pandemics ; Yield curve</subject><ispartof>AIP conference proceedings, 2024, Vol.3095 (1)</ispartof><rights>Author(s)</rights><rights>2024 Author(s). 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Nurul</contributor><creatorcontrib>Rosadi, Dedi</creatorcontrib><creatorcontrib>Abdurakhman, Abdurakhman</creatorcontrib><creatorcontrib>Maruddani, D. I. Asih I.</creatorcontrib><creatorcontrib>Sihabuddin, Agus</creatorcontrib><creatorcontrib>Ihsan, Ifan Mohammad</creatorcontrib><creatorcontrib>Jayanti, Ayu Ajeng</creatorcontrib><creatorcontrib>Anwar, Taufik</creatorcontrib><creatorcontrib>Simangunsong, Cicilia Debbie</creatorcontrib><creatorcontrib>Ramadhani, Dinda Awanda</creatorcontrib><creatorcontrib>Adi, Iqbal Hanif Anggita</creatorcontrib><creatorcontrib>Dunrui, Danny Theodore</creatorcontrib><creatorcontrib>Wibisana, Putu Indra</creatorcontrib><creatorcontrib>Oktiawati, Pingky</creatorcontrib><creatorcontrib>Cahyani, Tarisa Putri</creatorcontrib><creatorcontrib>Rafflesia, Ulfasari</creatorcontrib><creatorcontrib>Rosmalawati, Meri Andani</creatorcontrib><title>Analyzing Indonesian government yield curve during pandemic Covid-19 using class of Nelson Siegel models</title><title>AIP conference proceedings</title><description>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.</description><subject>Bond markets</subject><subject>COVID-19</subject><subject>Economic analysis</subject><subject>Empirical analysis</subject><subject>Pandemics</subject><subject>Yield curve</subject><issn>0094-243X</issn><issn>1551-7616</issn><fulltext>true</fulltext><rsrctype>conference_proceeding</rsrctype><creationdate>2024</creationdate><recordtype>conference_proceeding</recordtype><recordid>eNotkE1LAzEURYMoWKsL_0HAnTA1mXzOshSthaILFdyFNB81ZSYZJzOF-uud0q4e993Dg3cAuMdohhEnT2yGSkQlZRdgghnDheCYX4IJQhUtSkq-r8FNzjuEykoIOQE_86jrw1-IW7iKNkWXg45wm_aui42LPTwEV1tohm7voB26I9jqaF0TDFykfbAFruCQj3tT65xh8vDN1TlF-BHc1tWwSXbMt-DK6zq7u_Ocgq-X58_Fa7F-X64W83XRYi5ZITYab6jX1nPBmdkQIb2xUstSCy49wsRYZjh1QlBkWVlqPnaVccISLjwjU_Bwutt26XdwuVe7NHTjk1kRRKgshSRypB5PVDah131IUbVdaHR3UBipo0nF1Nkk-Qcp_mYc</recordid><startdate>20240409</startdate><enddate>20240409</enddate><creator>Rosadi, Dedi</creator><creator>Abdurakhman, Abdurakhman</creator><creator>Maruddani, D. 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Asih I. ; Sihabuddin, Agus ; Ihsan, Ifan Mohammad ; Jayanti, Ayu Ajeng ; Anwar, Taufik ; Simangunsong, Cicilia Debbie ; Ramadhani, Dinda Awanda ; Adi, Iqbal Hanif Anggita ; Dunrui, Danny Theodore ; Wibisana, Putu Indra ; Oktiawati, Pingky ; Cahyani, Tarisa Putri ; Rafflesia, Ulfasari ; Rosmalawati, Meri Andani</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-p1685-7ba1b4fadf6765cb378fcd8a82a768f013cd5c64e7740d522a6a829ce7d367f53</frbrgroupid><rsrctype>conference_proceedings</rsrctype><prefilter>conference_proceedings</prefilter><language>eng</language><creationdate>2024</creationdate><topic>Bond markets</topic><topic>COVID-19</topic><topic>Economic analysis</topic><topic>Empirical analysis</topic><topic>Pandemics</topic><topic>Yield curve</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Rosadi, Dedi</creatorcontrib><creatorcontrib>Abdurakhman, Abdurakhman</creatorcontrib><creatorcontrib>Maruddani, D. I. 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I. Asih I.</au><au>Sihabuddin, Agus</au><au>Ihsan, Ifan Mohammad</au><au>Jayanti, Ayu Ajeng</au><au>Anwar, Taufik</au><au>Simangunsong, Cicilia Debbie</au><au>Ramadhani, Dinda Awanda</au><au>Adi, Iqbal Hanif Anggita</au><au>Dunrui, Danny Theodore</au><au>Wibisana, Putu Indra</au><au>Oktiawati, Pingky</au><au>Cahyani, Tarisa Putri</au><au>Rafflesia, Ulfasari</au><au>Rosmalawati, Meri Andani</au><au>Mahmuda, Siti</au><au>Siringoringo, Meiliyani</au><au>Widodo, Nanang Tri</au><au>Arif, Muhammad Fauzi</au><au>Allo, Veliyana Londong</au><au>Wahidah</au><au>Nugroho, Rudy Agung</au><au>Huda, Moh. Nurul</au><format>book</format><genre>proceeding</genre><ristype>CONF</ristype><atitle>Analyzing Indonesian government yield curve during pandemic Covid-19 using class of Nelson Siegel models</atitle><btitle>AIP conference proceedings</btitle><date>2024-04-09</date><risdate>2024</risdate><volume>3095</volume><issue>1</issue><issn>0094-243X</issn><eissn>1551-7616</eissn><coden>APCPCS</coden><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.</abstract><cop>Melville</cop><pub>American Institute of Physics</pub><doi>10.1063/5.0204845</doi><tpages>7</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0094-243X |
| ispartof | AIP conference proceedings, 2024, Vol.3095 (1) |
| issn | 0094-243X 1551-7616 |
| language | eng |
| recordid | cdi_scitation_primary_10_1063_5_0204845 |
| source | AIP Journals Complete |
| subjects | Bond markets COVID-19 Economic analysis Empirical analysis Pandemics Yield curve |
| title | Analyzing Indonesian government yield curve during pandemic Covid-19 using class of Nelson Siegel models |
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