Exchange Rate Determination: Dr. M. Budi Widiyo Iryanto

Exchange Rate
Determination
Dr. M. Budi Widiyo Iryanto

Measuring Exchange Rate Movements
Nilai Tukar (kurs) mengukur nilai suatu valuta dari

perspektif valuta lain.
Ketika kurs suatu valuta menurun disebut terdepresiasi,
dan sebaliknya ketika kurs suatu valuta meningkat
disebut terapresiasi
Suatu ketika, sebagian besar valuta asing mengalami
apresiasi terhadap dollar, dan sebagian besar valuta
asing lainnya mengalami depresiasi, maka dollar
tersebut disebut “mixed in trading.”
Measuring
Exchange Rate Movements
The percentage change (% D) in the value of

a foreign currency is computed as
St – St-1
St-1
where St denotes the spot rate at time t.
 A positive % D represents appreciation of the

foreign currency, while a negative % D represents
depreciation.
Contoh 1
Bagi Wisatawan
Pergerakan rupiah terhadap dollar
1 kamar Hotel di Jakarta semalam @ $200
3 Januari 1997 Rp 2.340,- Rp. 460.000
20 September 1997 Rp 7.590,- Rp. 1.518.000
26 Oktober 2008 Rp 9.980,- Rp. 1.996.000
14 NOVEMBER 2017 – Rp 13.535????

Contoh 1
Bagi MNC
Contoh 1B
Bagi MNC
Contoh 1C
Bagi MNC
Contoh 1
Bagi MNC
https://id.investing.com/currencies/usd-idr-historical-data
INDIRECT QUATION
Contoh 1C
Bagi MNC
DIRECT QUATION
Fluctuation of the British Pound
Over Time
Approximate £
that could be
Approximate Approximate Purchased with
Spot Rate of £ Annual % D $10,000
$ 1.80 20 % £ 7000
1.75 15 6800
1.70 10 6600
1.65 5
6400
1.60 0
6200
1.55 -5
1.50 -10 6000
1.45 -15 5800
1.40 -20 5600
1992 1996 2000 1992 1996 2000 1992 1996 2000
Exchange Rate Equilibrium
An exchange rate represents the price of a

currency, which is determined by the demand
for that currency relative to the supply for that
currency.
Value of £
S: Supply of £
$1.60
equilibrium exchange
$1.55 rate
$1.50
D: Demand for £
?
Quantity of £
Factors that Influence Exchange Rates
Relative Inflation Rates
$/£ U.S. inflation 

S1
  U.S. demand for British
S0
r1 goods, and hence £.
r0
D1
  British desire for U.S.
D0
goods, and hence the
Quantity of £ supply of £.
Bagaimana jika terjadi sebaliknya?
Relative Interest Rates
$/£ U.S. interest rates 

S0
  U.S. demand for British
S1
r0 bank deposits, and hence
r1 £.
D0
  British desire for U.S.
D1
bank deposits, and hence
Quantity of £ the supply of £.
Contoh :
Kondisi riil 1989,
tembok berlin hancur
Sehingga permintaan terhadap
Modal meningkat sehingga
Rate of interest juga meningkat
• A relatively high interest rate may actually reflect

expectations of relatively high inflation, which
discourages foreign investment.
• It is thus useful to consider real interest rates,

which adjust the nominal interest rates for
inflation.
• real nominal
interest  interest – inflation rate
rate rate
• This relationship is sometimes called the Fisher
effect.
Relative Income Levels
$/£ U.S. income level 

  U.S. demand for British
S0 ,S1
goods, and hence £.
r1
r0
D1
 No expected change for
D0
the supply of £.
Quantity of £

Government Controls
Pemerintah mempengaruhi nilai tukar dengan cara :
Hambatan jual beli Valas
Hambatan perdagangan
Intervensi dalam pasar valas
Pengubahan variabel2 makro : Inflasi, bunga, GNP dll
Expectations
Foreign exchange markets react to any news
that may have a future effect.
Institutional investors often take currency
positions based on anticipated interest rate
movements in various countries.
Because of speculative transactions, foreign
exchange rates can be very volatile.
Expectations
Signal Impact on $
Poor U.S. economic indicators Weakened
Fed chairman suggests Fed is Strengthened
unlikely to cut U.S. interest rates
A possible decline in German Strengthened
interest rates
Central banks expected to Weakened
intervene to boost the euro
Expectations
Signal Impact on Rp
Harapan pemilu 9 Juli 2014 Sukses ?

Ahok Menang dalam ?
Pemilihan Gubernur DKI
Pemilu 2019 sukses ?
Interaction of Factors
Faktor-faktor yang berhubungan dengan perdagangan
dan faktor keuangan kadang-kadang saling berinteraksi.
Exchange rate movements may be simultaneously
affected by these factors.
For example, an increase in the level of income
sometimes causes expectations of higher interest rates.
Interaction of Factors
• Selama periode tertentu, sejumlah faktor

mungkin mendorong kenaikan valuta, dan
faktor lain menyebabkan turunnya valuta
tersebut.
• The sensitivity of the exchange rate to these
factors is dependent on the volume of
international transactions between the two
countries.
How Factors Can Affect Exchange Rates
Trade-Related
Factors
1. Inflation U.S. demand for foreign goods, i.e.
Differential demand for foreign currency
2. Income
Differential Foreign demand for U.S. goods, i.e.
3. Gov’t Trade supply of foreign currency
Restrictions
Exchange rate
between foreign
currency and the
dollar
Financial U.S. demand for foreign securities, i.e.

Factors demand for foreign currency
1. Interest Rate
Differential Foreign demand for U.S. securities, i.e.
supply of foreign currency
2. Capital Flow
Restrictions
Simulasi antar faktor
Anda sebagai manajer PT X yang berbasis di AS, ingin

memprediksi arah pergerakan bolivar Venezeula dan Yen
Jepang. Berikut proyeksi kondisi perekonomian :
Faktor AS Venezeula Jepang
Perubahan bunga -1% -2% -4%
Perubahan Inflasi +2% -3% -6%
Asumsi : AS dan Venezeula terlibat dalam volume perdagangan
internasional yg tinggi tetapi transaksi keuangan rendah,
sedangkan AS dan Jepang melakukan sedikit perdagangan
tetapi banyak dalam transaksi keuangan
How Factors Can Affect Exchange Rates
How Factors Have Influenced Exchange Rates

Nilai $ berubah dalam persentase yang
berbeda-beda relatif terhadap valuta asing,
analis seringkali mengukur penguatan dan
melemahnya $ tersebut dengan indeks.
Pembobotan untuk setiap valuta ditentukan
oleh peran relatifnya dalam perdagangan dan
atau keuangan internasional..
Value of Foreign Currency Index Over Time
With Respect to the Dollar
large Higher
250 $ due to balance Persian U.S.
 strengthens $ weakens 
relatively high of trade Gulf War interest

200 U.S. inflation deficit rates
& growth
150
U.S. interest rates 
100 high U.S. relatively high U.S.
interest rates, a interest rates, &
50 somewhat depressed lower balance of
U.S. economy, & low
trade deficit
inflation
0
1972 1976 1980 1984 1988 1992 1996 2000
Note: The index reflects equal weights of £, ¥, French franc, German mark, and Swiss franc.
Speculating on Anticipated Exchange Rates
Contoh :
Chicago Bank memperkirakan nilai tukar Dollar New Zeealand (NZ$)
akan mengalami apresiasi dari tingkat sekarang, $.50 ke $.52 dalam
30 hari. Chigago bank mampu meminjam $ 20 juta dari bank-bank
lain untuk jangka pendek (jadi tidak memanfaatkan tabungan
deposito). Suku bunga berjalan di pasar antar bank adalah sbb:
Valuta Lending Borrowing

$ 6.72% 7.2%
NZ$ 6.48% 6.96%
Berapa profit yang didapat?
Bagaimana kalau NZ$ melemah menjadi $.48?

Speculating on Anticipated Exchange Rates
Chicago Bank expects the exchange rate of the New Zealand dollar to
appreciate from its present level of $0.50 to $0.52 in 30 days.
Borrows at 7.20% for 30 days
1. Borrows $20 4. Holds $20,912,320

million
Returns $20,120,000
Profit of $792,320
Exchange at Exchange at
$0.50/NZ$ $0.52/NZ$
Lends at 6.48% for 30

days
2. Holds NZ$40 3. Receives
million NZ$40,216,000
Speculating on Anticipated Exchange
Rates
Chicago Bank expects the exchange rate of the New Zealand
dollar to depreciate from its present level of $0.50 to $0.48 in
30 days.
Borrows at 6.96% for 30 days
1. Borrows NZ$40 4. Holds

million NZ$41,900,000
Returns NZ$40,232,000
Profit of NZ$1,668,000
or $800,640
Exchange at Exchange at
$0.50/NZ$ $0.48/NZ$
Lends at 6.72% for 30

days
2. Holds $20 3. Receives $20,112,000
million
Kasus
BCA memperkirakan bahwa Rp akan mengalami

depresiasi terhadap $ dalam 10 hari ke depan dari
Rp 11.150 menjadi Rp 12.200. Berikut adalah suku
bunga lending dan borrowing per tahun antar bank :
Valuta lending Borrowing
$ 6% 6.5%
Rp 14% 18%
Asusmsikan bahwa BCA memiliki kapasitas meminjam
sebesar $ 10 juta atau Rp 81,15 milyar
Bagaimana BCA dapat mengambil keuntungan dari
prediksi tanpa harus menggunakan dana deposito
masyarakat? Jelaskan strateginya.
36

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Exchange Rate

Dr. M. Budi Widiyo Iryanto

Nilai Tukar (kurs) mengukur nilai suatu valuta dari

The percentage change (% D) in the value of

 A positive % D represents appreciation of the

14 NOVEMBER 2017 – Rp 13.535????

An exchange rate represents the price of a

Relative Inflation Rates

$/£ U.S. inflation 

Relative Interest Rates

$/£ U.S. interest rates 

Relative Interest Rates

• A relatively high interest rate may actually reflect

• It is thus useful to consider real interest rates,

Relative Interest Rates

Relative Income Levels

$/£ U.S. income level 

Bagaimana jika terjadi sebaliknya?

Harapan pemilu 9 Juli 2014 Sukses ?

• Selama periode tertentu, sejumlah faktor

Financial U.S. demand for foreign securities, i.e.

Anda sebagai manajer PT X yang berbasis di AS, ingin

How Factors Have Influenced Exchange Rates

relatively high of trade Gulf War interest

Valuta Lending Borrowing

Bagaimana kalau NZ$ melemah menjadi $.48?

Borrows at 7.20% for 30 days

1. Borrows $20 4. Holds $20,912,320

Lends at 6.48% for 30

1. Borrows NZ$40 4. Holds

Lends at 6.72% for 30

BCA memperkirakan bahwa Rp akan mengalami

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