Natural Yield Curve : the Case of Indonesia

• Autorzy: Yoga Affandi , Berry A. Harahap , Pakasa Bary , Fenty T. Suryani
• Języki publikacji: EN

Abstrakty

EN

The purpose of this study is to estimate the natural yield curve for an emerging economy, with Indonesia as a case study. The estimation is done by a two-stage approach, namely, the decomposition of the yield curve component through a dynamic Nelson-Siegel model, the results of which are then used to estimate a natural yield curve. Both steps are estimated through state space modeling with a Kalman filter. In addition, the study also analyzes the principal components of the real yields of Indonesia to prove that the use of the Nelson-Siegel model is relevant and sufficient. The main contribution of this research is the estimation of the natural yield curve for an emerging economy. The findings provide some evidence that a policy mix is needed for emerging economies to maintain macroeconomic stability. Some other findings are as follows: first, almost all yield curve variations can be explained by the first three principal components that moved similarly to level, slope, and curvature. Second, Indonesia's natural yield curve always has a positive slope over time. Third, across maturities, medium-term yields have the largest impact on the output gap. Fourth, the estimated natural yield curve can provide a gauge of the monetary policy stance, or external pressure. (original abstract)

Słowa kluczowe

EN

Yield curve; Term structure of interest rates; Monetary policy

PL

Krzywa dochodowości; Struktura terminowa stóp procentowych; Polityka pieniężna

• Czasopismo: Contemporary Economics
• Rocznik: 2020
• Tom: 14
• Numer: nr 2
• Strony: 182--200

Twórcy

autor

Yoga Affandi

• Bank Indonesia

autor

Berry A. Harahap

• Bank Indonesia

autor

Pakasa Bary

• Bank Indonesia

autor

Fenty T. Suryani

• Bank Indonesia

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Identyfikatory

DOI

10.5709/ce.1897-9254.339