i. manajemen keuangan internasional

KEUANGAN INTERNASIONAL
(Ernoiz Antriyandarti, SP, MP, M.Ec)
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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%
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
Organisasi Pasar Pertukaran Mata Uang
1.
2.
3.
4.
Eksportir, importir, turis, imigran, investor
Bank Komersial
Broker
Bank Sentral
Sistem Nilai Tukar
1.
2.
3.
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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.
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.
GLOBALISASI EKONOMI DUNIA: TREN
TERAKHIR
• 1. Munculnya pasar2 keuangan yang
terglobalisasi: integrasi yang cepat
atas pasar2 modal dan keuangan.
• Globalisasi pasar keuangan ini awalnya datang dari pemerintah2 negara
utama yang mulai menderegulasi
pasar2 valas dan modalnya.
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.
How a Foreign Exchange Transaction is
Conducted
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
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
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
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
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.
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
Options
• Underlying Asset = future or spot cash
• Right, but not obligation, to buy or sell at strike price
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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
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
1. Apa yang mendasari terjadinya pasar mata
uang asing (valuta asing)?
2. Sebutkan sistem nilai tukar mata uang
3.Bagaimana proses terjadinya transaksi luar
negeri (boleh dijelaskan dengan
bagan/gambar)?