Bab 7

Kondisi Paritas Internasional

 International Parity
Conditions (IPC)
The economic theories that link
exchange rates, price levels, and
interest rates together are called
international parity conditions.
These parity conditions form the core of
the financial theory that is unique to
international finance.
 International Parity
Conditions
Parity theories help to observe in the real
world, but they are central to any
understanding of how multinational business
is conducted and funded in the world today.
The mistake is often not with the theory itself,
but with the interpretation and application of
said theories.
 Arbitrase dan Kondisi Paritas

% Perbedaan Kurs
Valas di Pasar Spot
IFE (E(e0)) FP

PPP Diskonto atau Premi

Perbedaan Tingkat
IRP Forward Valas
Bunga (rd – rf)
(F-S)/S

FE Perbedaan Tingkat FPPP

Inflasi Yang
Diharapkan (ih – if)
 Prices and Exchange
Rates
The law of one price
 If the identical product or service can be
sold in two different markets; and no
restrictions exist on the sale; and
transportation costs of moving the product
between markets are equal, then the
product’s price should be the same in both
markets.
 Prices and Exchange
Rates
A primary principle of competitive markets is that
prices will equalise across markets if frictions do not
exist.
Comparing prices then, would require only a
conversion from one currency to the other:
PAUD x S = P¥
Where the product price in Australian dollars is
(PAUD), the spot exchange rate is (S) and the price in
Yen is (P¥).
Prices and Exchange
Rates
Law of one price
 Big Mac Index
 it serves as one form for comparison of whether currencies
are currently trading at market rates that are close to the
exchange rate implied by Big Macs in local currencies.
 The index works by dividing the local price of a Big Mac by
the US price of a Big Mac. This gives the PPP exchange
rate.
 One problem with the Big Mac index is that Big Macs are
not exchanged across country borders
 Prices and Exchange
Rates
Law of one price
 CommSec iPod index
 An alternative to the Big Mac Index
 Compare the iPod prices across the boarders

 The difference with the Big Mac index is that iPods

can indeed be exchanged across the globe.

 If they are particularly cheap in one country, it could

cause tourists to buy their iPods when on holiday,

prompt people to buy iPods online in other countries
or encourage some companies to take advantage of
arbitrage opportunities
Prices and Exchange
Rates

(Page 165)
Purchasing Power Parity (PPP)

Kurs mencerminkan perbedaan

tingkat inflasi
Versi PPP:
 PPP absolut
 S = Pd / Pf
 PPP relatif
e1 = e0 x (1 + id)t
(1 + if)t
 Prices and Exchange
Rates
If the law of one price were true for all goods
and services,
 By comparing the prices of identical products
denominated in different currencies,
 the “real” or the purchasing power parity (PPP)
exchange rate that should exist, if markets were
efficient, can be determined.

This is called as the absolute version of the

PPP theory.
 Prices and Exchange
Rates
Relative purchasing power parity (RPPP)
relaxed the assumptions of the absolute
version of the PPP theory
According to the RPPP, the relative change in
prices between two countries over a period of
time determines the change in the exchange
rate over that period
Prices and Exchange
Rates
Empirical tests of purchasing power
parity theory
 Empirical tests has not proved PPP to be
accurate in predicting future exchange rates
and conclude that
 PPP holds up well over the very long run but poorly for
shorter time periods; and,
 the theory holds better for countries with relatively high
rates of inflation and underdeveloped capital markets.
Purchasing Power Parity (PPP)

Kondisi PPP
Garis Paritas
% perubahan nilai
mata uang asing
(dalam mata uang
domestik

Perbedaan inflasi
domestik relatif
terhadap negara
asing (id – if)
Purchasing Power Parity (PPP)

Ketidakberlakuan PPP:
 Bobot dan komposisi dalam Indeks
Harga
 Biaya arbitrase
 Barang dan jasa yang tidak
diperdagangkan
 Perubahan harga, perubahan kurs,
perbedaan inflasi
 Intervensi pemerintah
Fisher Effect
Formula
 1 + r = (1 + a) (1 + i)
1 + r = 1 + a + i + ai
r = a + i , ai sangat kecil
rd = ad + id rf = af + if
 Tanpa intervensi pemerintah, kondisi keseimbangan:
(1 + rd ) = (1 + id )
(1 + rf ) (1 + if )
(1 + rd ) (1 + if ) = (1 + id ) (1 + rf )
1 + rd + if + (rd x if) = 1 + id + rf + (id x rf)
rd + if = id + rf atau rd - rf = id - if
Fischer Effect

Bagan
rd - rf Garis Paritas

id - if
International Fischer Effect

Formula:
 et~ = (1 + rd)t
e0 (1 + rf)t
 Menggunakan periode tunggal, maka:
e1~ = (1 + rd)t
e0 (1 + rf)t
e1~ - e0 = (rd - rf) ;1 + rf mendekati 1,maka
e0 (1 + rf)
e1~ - e0 = rd - rf
e0
International Fischer Effect

Bagan
Garis Paritas
% perubahan nilai
mata uang asing
(dalam mata uang
domestik

rd – rf
Interest Rate Parity

Formula
 1 + rd = f1
1 + rf e0
 1 + rd – (1 + rf ) = f1 – e0

1 + rf e0
 rd – rf = f1 – e0 ;1 + rf bisa dianggap 1
1 + rf e0
 rd – rf = (f1 – e0)/e0
Interest Rate Parity

Kondisi rd – rf
Garis Paritas

Premi (+) atau

diskonto (-)
forward
Interest Rates and Exchange
Rates
Theory of Interest Rate Parity (IRP)

(Page 182)
Interest Rates and Exchange
Rates
Theory of Interest Rate Parity (IRP)
uncovered interest arbitrage (UIA)
 A deviation of covered interest arbitrage
 Investors borrow in countries and currencies exhibiting
relatively low interest rates and convert the proceed into
currencies that offer much higher interest rates.
 The transaction is “uncovered” because the investor remain
uncovered and accept the currency risk of exchanging the
higher yield currency into the lower yielding currency at the
end of the period.
Interest Rates and Exchange
Rates
Theory of Interest Rate Parity (IRP)

(Page 185)
Kurs Forward Sebagai Prediktor
Kurs Spot Masa Mendatang

Formula
 f1 – e0 = e1~ - e0
e0 e0
f1 = e1~
Kurs Forward Sebagai Prediktor
Kurs Spot Masa Mendatang

Paritas Forward
Garis Paritas
(e~ - e0)/e0

(f1 – e0)/e0
Prediksi Kurs Mata Uang

Persyaratan prediksi kurs:

 kemampuan membuat model prediksi yang
superior
 akses ke informasi dengan cepat

 bisa memanfaatkan penyimpangan dari

kondisi ekuilibrium dengan cepat
 bisa memperkirakan karakteristik campur
tangan pemerintah dalam pasar keuangan
Peramalan Pada Sistem Kurs Tetap
Faktor lingkungan (1) Kurs keseimbangan
Indikator Peramalan
Internal Eksternal
Pembatasan aliran
modal, pembatasan
Pengetatan,pembatasan
impor
aliran modal,
(5) Efek kebijakan mendorong aliran
yang dipilih modal masuk,devaluasi Indikator lingkungan

(4) Memperkirakan
(2) Tingkat defisit
reaksi atau respons
neraca pembayaran
pemerintah

Faktor politik Tingkat dan kecepatan

Faktor politik
eksternal menurunnya devisa
atau cadangan lainnya
(3) Tekanan untuk
devaluasi
Peramalan di Pasar Bebas

Cara
 Pendekatan efisiensi pasar
 Pendekatan fundamental

 Pendekatan teknikal
Peramalan di Pasar Bebas :
Pendekatan Efisiensi Pasar
Nilai pasar mencerminkan semua
informasi yang relevan
Tehnik:
 Meramal dengan kurs spot saat ini
e1~ = e0
kelemahan :
pergerakan yang random
lama periode mengurangi akurasi prediksi
tidak ada landasan teori
Peramalan di Pasar Bebas :
Pendekatan Efisiensi Pasar
 Meramal dengan kurs forward saat ini
e1~ = f1
 kelemahan: periode hanya satu tahun
 Perbandingan antara kurs forward dengan kurs
spot
 Menghasilkan hasil yang kurang lebih sama secara
empiris dalam peramalan kurs
 Meramal dengan PPP
e1~ = e0 x (1 + id)
(1 + if)
Peramalan di Pasar Bebas :
Pendekatan Efisiensi Pasar
 Meramal dengan Fischer Effect
e1~ = e0 x (1 + rd)
(1 + rf)
 Meramal dengan Interest Rate Parity
f1~ = e0 x (1 + rd)
(1 + rf)
International Parity Conditions

(Page 189)
Peramalan di Pasar Bebas :
Pendekatan Fundamental
Pendekatan peramalan kurs dengan
penggunaan variabel-variabel yang relevan
Penggunaan analisis regresi
Variabel-variabel yang dapat dipergunakan:
 Pembatasan aliran modal
 Spread kurs
 Neraca pembayaran
 Cadangan valuta asing (devisa)
 GNP atau GDP
 Pengeluaran pemerintah
 Inflasi
Permalan di Pasar Bebas :
Pendekatan Teknikal

Berdasarkan pola tertentu dalam

pergerakan kurs berdasarkan asumsi
history repeats itself