KEUANGAN INTERNASIONAL (Ernoiz Antriyandarti, SP, MP, M.Ec)

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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 System
• PENILAIAN
• 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 Komersial
3. Broker
4. Bank Sentral

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Sistem Nilai Tukar

• Foreign Exchange Rate
• The Flexible Exchange-Rate System
• 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 lt E fewer to buy FX in future than now
  trading at forward premium
• F gt 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 days 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 dont 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
• C5m 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
  _at_ .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 uang
• 3.Bagaimana proses terjadinya transaksi luar
  negeri (boleh dijelaskan dengan bagan/gambar)?