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KEUANGAN INTERNASIONAL(Ernoiz Antriyandarti, SP, MP, M.Ec)
• The Foreign Exchange Market• The Balance of Payments• The Price and Income Adjustment Mechanism• Fiscal and Monetary Policy for Internal and
External Balance• The International Monetary SystemPENILAIAN• KEHADIRAN 10%, KUIS 30%, UJIAN (TAKE
HOME) 60%
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Dasar adanya pasar pertukaran mata uang
• Transfer daya beli dari mata uang suatu negara ke negara lain
• Penyediaan kredit untuk perdagangan luar negeri
• Menghindari resiko pertukaran mata uang
Kegiatan ekspor-impor sangat bergantung pada konversi nilai mata uang dari negara pengimpor terhadap negara pengekspor
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Organisasi Pasar Pertukaran Mata Uang
1. Eksportir, importir, turis, imigran, investor
2. Bank Komersial3. Broker4. Bank Sentral
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Sistem Nilai Tukar
1. Foreign Exchange Rate2. The Flexible Exchange-Rate System3. The Fixed Exchange-Rate System• Tiga demensi yang membedakan
keuangan internasional dengan keuangan domestik: 1. Risiko valas dan politik, 2. Ketidaksempur-naan pasar, 3. Sekumpulan peluang yang semakin luas.
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KEKUATAN PENGUBAH LING-KUNGAN PERSAINGAN GLOBAL
• Deregulasi besar2-an.• Matinya komunisme.• Privatisasi atas perusahaan milik
pemerintah di dunia yang menyusutkan sektor publik.
• Revolusi dalam teknologi informasi.• Peningkatan dalam pasar terhadap kontrol
perusahaan dengan gelombang pengambilalihan, merger.
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KEKUATAN PENGUBAH LING-KUNGAN PERSAINGAN GLOBAL
• Pembuangan atas kebijakan2 yang statis dan menggantikannya dengan kebijakan pasar bebas di negara2 ketiga.• Ketertundukan negara2 di dunia
terhadap kekakuan dan standar pasar global yang ada.
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GLOBALISASI EKONOMI DUNIA: TREN TERAKHIR
• 1. Munculnya pasar2 keuangan yang terglobalisasi: integrasi yang cepat atas pasar2 modal dan keuangan. • Globalisasi pasar keuangan ini awal-
nya datang dari pemerintah2 negara utama yang mulai menderegulasi pasar2 valas dan modalnya.
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GLOBALISASI EKONOMI DUNIA: TREN TERAKHIR
• 2. Munculnya Euro sebagai mata uang global: dimulai pada 1999, dengan jumlah anggota 12 negara berpenduduk 300 juta.
• 3. Liberalisasi perdagangan & integrasi ekonomi: Fenomena munculnya GATT, WTO, EU, NAFTA, dan AFTA.
• 4. Privatisasi: suatu negara menjual kepemilikan & operasinya atas suatu bisnis dengan mengalihkannya kepada sistem pasar bebas.
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How a Foreign Exchange Transaction is Conducted
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Spot Market for Foreign Exchange• Spot Market value date = 2 days (to clear)
– WSJ gives Ask/Offer Rate ~ selling price– Any published rate is for a specific time – may change 15,000
times a day or more.• Spreads
– BID (buying) rate and ASK rate• e.g., monitor might show “CAD 1.5223-28 (per US$).” BID = 1.5223,
ASK = 1.5228. Spread is 5 “pips,” where pip is last decimal.– Spread is a transaction cost– Spread is larger for more thinly traded (lower liquidity) currencies
• Rate Determination ~ supply of and demand for currencies.– Central Bank intervention influences supply and/or demand
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Arbitrage: Buy Low, Sell High
• Exchange Rates will be equalized across markets/actors• Example: let $/DM = .5 in NY, and = .55 in Frankfurt
– profitable to buy DM in NY, sell DM in Frankfurt• $1000 DM2000 in NY $1100 in Frank. profit $100
– Demand for DM in NY, ENY
– Supply DM in Frankfurt, EFrank. : Exchange rates converge!
– Highest ASK no lower than lowest BID ~ Difference in Exchange Rates no larger than transaction cost!
• Triangular Arbitrage– Cross-rates must correspond to pairs of direct rates
• $/DM in NY = .5; DM/£ in Frank. = 3; then £/$ in London must be 0.667
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Foreign Exchange Risk• Spot Rates may change in a way that makes a
transaction less (or more) profitable.– You are “uncovered” if you depend on spot market
• e.g., ¥10m account payable due in 90d. If you wait 90d to buy yen and $ depreciates, the ¥10m costs you more.
• Types of Risk Exposure– Translation Exposure– Economic Exposure– Transaction Exposure
• domestic currency value of future transactions.
• Managing XR Risk: Forward, Futures, and Option Markets
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Forward Markets• Buying & Selling currency for future delivery ~ 30, 90, or
180 days• Contract stipulates amount traded, the price, and value
date– price = forward rate = F ($/unit foreign currency)– F may be quoted outright (actual quote), or by forward spread
(from spot rate; used by dealing systems).• Forward Premiums and Discounts
– F < E ~ fewer $ to buy FX in future than now; $ trading at forward premium
– F > E ~ forward discount– signs reversed if use indirect quote
• e.g., CAD 1.5228 (per US$) spot, 1.5244 180d fwd CAD at forward discount, $ at forward premium
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Forward Markets, cont.• Forward rates reflect relative rates of return and expectations
of future exchange rates.• Actors using forward contracts are covered or hedged.• Problems with Forwards
– Default Risk – Illiquidity ~ contracts customized, limited transferability– Solutions: short maturity; margins; limited clientele.
• Swaps– Combine two transactions into one– Foreign Exchange Swap: spot trade with opposing forward trade– Currency Swap: firms borrow domestic currency, swap principal w/
foreign firm ~ cheaper foreign currency borrowing.
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Futures
Like Forward, except• active secondary market• standardized contracts ~ fewer currencies, standardized value
and expiry date• smaller than forwards ~ more accessible to smaller businesses• a clearing house guarantees contract against default, requires
margin against unprofitable positions.– day-to-day losses & gains posted against margin deposit; defaulting
only saves last day’s losses, not cumulative losses.– if margin account falls too low, have to top it off
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Options• Underlying Asset = future or spot cash• Right, but not obligation, to buy or sell at strike price
– CALL ~ right to buy– PUT ~ right to sell– Premium ~ up-front cost of obtaining right– American vs. European options
• Protects against unfavorable spot XR changes, while not limiting ability to exploit favorable spot XR changes– “In the money” ~ can profitably exercise option– CALL in the money when currency appreciates; hedge accounts
payable in foreign currencies– PUT in the money when currency depreciates; hedge accounts
receivable in foreign currencies – STRADDLE: CALL and PUT ~ in the money for any large swing in
exchange rates ~ useful for highly volatile currencies
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Hedging and Speculation• Distinction can be fuzzy, but
– hedge = reduced risk; speculation = increased risk– Speculation
• long position ~ buy FX (any contract) to sell at higher-than-expected future spot XR (future spot higher than expected by market)
• short position ~ sell FX you don’t have for future delivery at what you think is higher than expected future spot price; buy spot in future, close your position at a profit (future spot less than expected)
• Example– C$5m account payable due 90d. E (spot) = .69$/CAD, F =
.67$/CAD. Call option strike = .68$/CAD. Expect $ depreciation.– Future spot = .72 exercise option, save .03/CAD or $150,000
over previous spot, though F @ .67 was better.– Future spot = .65 just buy spot; save .02/CAD over fwd
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1. Apa yang mendasari terjadinya pasar mata uang asing (valuta
asing)?
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2. Sebutkan sistem nilai tukar mata uang3.Bagaimana proses terjadinya transaksi luar
negeri (boleh dijelaskan dengan bagan/gambar)?