ANALISIS INVESTASI AGRIBISNIS

Dwidjono Hadi Darwanto

MAGISTER MANAJEMEN AGRIBISNIS

SEKOLAH PASCA SARJANA - UGM
YOGYAKARTA
05/11/23 1
 PENDAHULUAN
Pengertian
What is an Investment ?

An Investment :
.. as the sacrifice of (certain) current wealth for (possibly
uncertain) future wealth
.. is the current commitment of dollars for a period of time
in order to derive future payments

The commitment will compensate the investor for:

1. the time the fund are committed
2. the expected rate of inflation
3. the uncertainty of future payment
05/11/23 2
 Prinsip dasar Investasi
Trade-off between Present Consumption (of Wealth) for
higher Expected Value of Future Consumption (of Wealth)

C1

C1B

C1A

ICB
ICA
YA YB
0 C0A C0B
C0

05/11/23 3
 Mengingat adanya trade-off dari korbanan sekarang dan
harapan perolehan (return) pada saat yang akan datang
(future) maka investasi tidak terlepas dari faktor ketidak-

pastian (uncertainty) RISK

Risk can be measured as deviations of actual returns

from expectation (mostly in negative impacts)
Increasing

Required Rate of return

Required Rate of return

Aversion

Constant
Aversion
Averse
Decreasing
Aversion

Neutral Neutral

Seek/
love
Risk Risk
0 0
Behavior toward Risk and
Return
05/11/23 4
Major source of uncertainty (Risk)
1. Business Risk: is the uncertainty of income flows caused by the
nature of a firm business, i.e. fluctuate sales and
earning over the business cycle
2. Financial Risk: is the uncertainty introduced by the method by which
the firm finances its investments, i.e. if a firm
borrows money to finance investments
3. Liquidity Risk: is the uncertainty introduced by the secondary market
for an investment, i.e. if a firm invest in illiquid
investments
4. Exchange rate Risk: is the uncertainty of returns to an investor
who acquires securities denominated in a different
currency from his/her own, i.e. if investors buy and
sell assets around the world

5. Country/Political Risk: is the uncertainty of returns caused by the

possibility of a major change in the political or
economic environment of a country, i.e. if individual
invests in unstable political-economy systems

05/11/23 5
 Principles of Investment Risk

Principle 1: Investment risk is best defined as uncertainty about the

value of a portfolio when it is expected to be liquidated

Principle 2: With a few exceptions, the longer the investment horizon,

the greater the uncertainty about the future value of the
portfolio

Principle 3: Different asset classes have different amounts of

investment risk

Principle 4: Investment risk can be reduced by diversification across

securities in an assets class and across asset classes

Principle 5: Investment risk can be managed by changing the asset

allocation of the portfolio

05/11/23 6
Proses Keputusan Investasi

Proses keputusan investasi merupakan proses yang berkesinambungan

dan siklikal

1. Penentuan tujuan investasi

Keputusan alokasi aset
2. Penentuan kebijakan investasi Batasan jumlah dana,
pajak dan biaya lainnya

Strategi portofolio aktif

3. Pemilihan strategi investasi
Strategi portofolio pasif

4. Pemilihan aktiva / aset

5. Pengukuran dan Evaluasi

Benchmarking
kinerja

05/11/23 7
 Measures of Return and Risk

I. Measure of Return
1. Historical Rates of Return
a. Holding period return (HPR)

Ending value of investment

HPR =
Beginning value of investment

If HPR > 1 → Increase in Wealth or Positive rate of Return

HPR < 1 → Decrease in Wealth or Negative rate of Return
HPR = 1 → Remained the same

Case-1:
If you commit $200 to an investment at the beginning of the year and you get
back $220 at the end of the year, what is your return of the year? (HPR = 1.10)

05/11/23 8
 Annual HPR:
n = number of years the
Annual HPR = HPR1/n investment is held

b. Holding period yield (HPY)

HPY = HPR - 1
Assumed:
Annual HPY = Annual HPR - 1 Constant annual
yield for each year

Case-2:
Consider an investment that cost $250 and is worth $ 350 after being held
for two years, what is the annual yield?
(HPR = 1.40 ; annual HPR = 1.1823 ; annual HPY = 18.32 %)

In contrast, what is the annual yield of the investment of $250 held for only
six month that earned a return for only $10
(HPR = 1.04 ; annual HPR = 1.0816 ; annual HPY = 8.16 %)

05/11/23 9
c. Mean of Historical Returns

c.1. Single Investment

Arithmetic Mean (AM): AM = Σ HPY / n

Geometric Mean (GM): GM = [π HPR]1/n - 1

Case – 3 :
Beginning Ending
Year HPR HPY
Value Value
1 100.0 115.0 1.15 0.15

2 115.0 138.0 1.20 0.20

3 138.0 110.4 0.80 -0.20

05/11/23 10
 Arithmetic Mean (AM):

AM = [(0.15) + (0.20) + (-0.20)] / 3

= (0.15) / 3 = 0.05 ≈ 5 %

Geometric Mean (GM): (superior)

GM = [(1.15) x (1.20) x (0.80)] 1/3

- 1
= (1.104)1/3 - 1 = 1.03353 -1
= 0.03353 ≈ 3.353 %

GM is considered a superior measure of the long-term mean rate of return

because it indicates the compound amount annual rate of return based
on the ending value of investment versus its beginning value.

AM is biased upward if you are attempting to measure an asset’s long-term

performance

05/11/23 11
c.2. Portfolio Investment
Case - 4 : Computation of Holding Period Yield for a Portfolio
Beginning Ending
Beginning Ending
Invest Number of Market Market Market Weighted
Price Price HPR HPY
-ment Shares Value Value Weight HPY
($) ($)
($ 000) ($ 000)

A 100 000 10 1 000 12 1 200 1.20 0.20 0.05 0.010

B 200 000 20 4 000 21 4 200 1.05 0.05 0.20 0.010

C 500 000 30 15 000 33 16 500 1.10 0.10 0.75 0.075

Total 20 000 21 900 1.00 0.095

HPR = (21 900 000) ÷ (20 000 000) = 1.095

HPY = 1.095 - 1 = 0.095 ≈ 9.5 %

05/11/23 12
 c.3. Calculating Expected Rates of Return
In this case, investor assigns probability values to all possible returns

Expected Return { E(Ri) } is defined:

E(Ri) = Σ [(Probability of Return) x (Possible Return)]

= Σ [(Pi) x (Ri)]

Case – 5 :
Probability of
Rate of return
No. Economic conditions occurrence [ (Pi) x (Ri) ]
(Ri)
(Pi)

1 Crisis 0.15 -0.20 -0.0300

2 Normal 0.75 0.15 0.1125
3 Boom 0.10 0.25 0.0250

Expected Return 0.1075

05/11/23 13
I. Measure the Risk of Expected Rates of Return
Risk is the uncertainty that an investment will earn its expected rate of return

Risk can be measured as deviations of actual returns from

expectation (mostly in negative impacts)
Two possible measures of risk (uncertainty):

1. Variance (σ2) :

Variance = Σ (Probability) x (PossibleReturn – Expected Return)2

= Σ (Pi)[Ri – E(Ri)]2

2. Standard deviation (σ) :

Stdev = √(σ2)

= √Σ(Pi)[Ri – E(Ri)]2

05/11/23 14
 In some cases, an unadjusted variance or standard deviation can be
misleading.
If there are major differences in the expected rates of return, it is
necessary to use a measure of relative variability to indicate risk per unit
of expected return → coefficient of variation (CV)

Coefficient of Variation:

Standard deviation of Return

CV =
Expected rate of Return

= σi / E(R)

05/11/23 15
 Case – 6 : Risk of expected Return
Probabi- Possible
(Pi) x (Ri) Ri – E(Ri) [Ri – E(Ri)]2 Pi [Ri – E(Ri)]2
lity (Pi) Return (Ri)

0.15 0.20 0.03 0.13 0.0169 0.002535

0.15 -0.20 -0.03 -0.27 0.0729 0.010935

0.70 -0.10 0.07 0.03 0.0009 0.000630

Expected Return = 0.07

Variance = 0.014100
Standard Deviation = 0.118740
Coefficient of variation = 1.696286

Coefficient variation (CV) menunjukkan besarnya penyimpangan (deviasi)

untuk setiap satu satuan expected return.

CV = 1.696 tersebut menunjukkan bahwa dari setiap satu satuan nilai

expected return mempunyai kemungkinan menyimpang (risk)
sebesar 1.696

05/11/23 16
Problem - 1
Probability of Occurrence
Economic
Return Project - A Project – B Project – C
Condition

Normal 200 000 0.70 0.40 0.30

Crisis 80 000 0.10 0.30 0.20

Post Crisis 125 000 0.20 0.30 0.50

Expected Value - E(V) …………….. …………….. ……………..

Standard deviation – Stdev …………….. …………….. ……………..
Coefficient of Variation – CV …………….. …………….. ……………..

05/11/23 17
Problem - 2
Probability of Occurrence
Net Cash
Situation
Revenue
Number Flow Year – 1 Year - 2 Year - 3

Project - A
1 0 0.10 0.15 0.20
2 2000 0.15 0.20 0.20
3 4000 0.50 0.30 0.20
4 6000 0.15 0.20 0.20
5 8000 0.10 0.15 0.20
Project – B
1 4800 0.05 0.05 0.05
2 4300 0.10 0.15 0.20
3 3800 0.70 0.60 0.50
4 3300 0.10 0.15 0.20
5 2800 0.05 0.05 0.05

05/11/23 18
Problem - 3

Probability Return on Investrment

  State of
No. of Money Government Firm
  Economy
Occurrence Market Bonds Securities

1 Deep Recession 0.05 0.06 0.1 -0.27

2 Mild Recession 0.20 0.03 0.06 -0.05
3 Typical Economy 0.50 0.02 0.04 0.09
4 Mild Boom 0.20 0.01 0.02 0.23
5 Strong Boom 0.05 -0.02 -0.02 0.45
  E(v)   ..……………….. ..………………. ..………………..
  Stdev   ..……………….. ..………………. ..………………..
  CV   ..……………….. ..………………. ..………………..

05/11/23 19
 Strategi penurunan risiko dengan Diversifikasi

Jika XA dan XB adalah proporsi dana yang diinvestasikan pada kesempatan A

dan B maka dapat diperhitungkan:
XA + XB = 1.0

Expected Portfolio Return: E(RP) = XA ‫ ٭‬E(RA) + XB ‫ ٭‬E(RB)

In a very special case or by assuming that the two opportunities of investment

have no correlation, then:

Portfolio Standard deviation (σ ): σp = X A ‫ ٭‬σ A + X B ‫ ٭‬σ B

Portfolio Variance (σ² ): σp² = ( XA σA + XB σB )²

= XA² σA² + XB ² σB² + 2 XA XB σA σB

05/11/23 20
Namun, sebenarnya formula tersebut di atas menyimpang dari kaidah statistika dan
selain itu investor umumnya memperhitungkan keterkaitan (diversifikasi) antara
perolehan dari dua kesempatan investasi tersebut, sehingga perhitungannya adalah:

Portfolio Variance = Weighted variances + Weighted Covariances

Two Investments Portfolio Variance (σ² ):

σp² = ( XA σA + XB σB )²
= XA² σA² + XB ² σB² + 2 XA XB σA σB rAB

Portfolio Standard deviation (σP ): σp = √ (σP²)

Nilai dari σA σB rAB tersebut merupakan Covariance antara dua investasi A dan B
sedangkan rAB tersebut dikenal sebagai koefisien korelasi (Correlation Coefficient)
dengan tanda positif berarti perolehan (return) kedua investasi tersebut saling searah
sedangkan negatif berarti saling berlawanan arah. (Praktekkan pada Problema-2! )

05/11/23 21
 Perhitungan koefisien korelasi (Correlation coefficient)

Perhitungan koefisien korelasi dalam analisis investasi dapat dihitung berdasarkan

dua situasi yang berbeda, yaitu:

1. Ex Ante Correlation Coefficients yang diperhitungkan berdasarkan pada

probabilitas diperolehnya return pada masa yang
akan datang

rAB = [ ∑ Pi (RAi – ŘA)(RBi – ŘB) ] ÷ [σA σB]

2. Ex Post Correlation Coefficients yang diperhitungkan berdasarkan pada data

time series pada periode yang lalu

[ ∑ Pi (RAi – ŘA)(RBi – ŘB)] ÷ N

rAB = σA σB

Note : N is unit year or state series; P is probability of return occurrence

05/11/23 22
Minimum Risk Portfolio

Apabila hanya dua pilihan portofolio investasi maka dapat diperhitungkan alokasi
dana tersedia dengan proporsi sebagai berikut:

σB² - σA σB rAB
XA =
σA² + σB² – 2 (σA σB rAB )

XB = 1.0 - XA

Apabila investor dihadapkan pada penentuan untuk i kesempatan investasi

maka rumusan Markowitz (1950-an) yang disebut efficient frontier dapat
digunakan (dengan bantuan program komputer) sebagai:

Minimize Portfolio Risk σP = [ ∑ Xi² σi² + ∑ ∑ Xi Xj σi σj rij ]½

Subject to
Minimum stated Expected: R* ≤ E(RP) = ∑ Xi E(Ri)
Return Full Investment: 1.0 = ∑ Xi

05/11/23 23
Dari Problem – 2, diperoleh:
Investments
No Portion
Year-1 Year-2 Year-3
Basis – A      
1 rAB -1.354 -1.512 -1.581
2 XA 0.185 0.182 0.180
3 XB 0.815 0.818 0.820
Expected value - E(V) 3837 3836 3836
Standard deviation – Stdev 291 301 314
Coefficient of Variation – CV 0.076 0.078 0.082
Basis – B      
1 rAB -0.739 -0.661 -0.632
2 XA 0.130 0.110 0.102
3 XB 0.870 0.890 0.898
Expected value - E(V) 3826 3822 3820
Standard deviation – Stdev 347 384 414
Coefficient of Variation – CV 0.091 0.100 0.108
05/11/23 24
Dari Problem – 3, diperoleh:

Portfolio rij XA XB XC E(Ri) Stdev CV

A&B 0.992 2.50 -1.50 - -0.01 0.0349 -3.493
A&C -0.981 0.91 - 0.09 0.03 0.0031 0.120
B&C -0.997 - 0.86 0.14 0.05 0.0197 0.421

Tugas untuk dikumpulkan:

1. Buktikan dan tulis hasil perhitungan untuk portofolio pada Problem-2 dan
Problem-3 tersebut !

2. Tentukan pilihan anda dan jelaskan dasar pemilihan tersebut beserta sikap
anda terhadap risiko !

05/11/23 25
 Expected Return on Risk-free and Risky Portfolio
Seringkali investor (terutama yang Risk Averter) tidak mengalokasikan seluruh
dana yang dimilikinya untuk investasi dan sebagian dana lainnya dialokasikan
pada pilihan yang tanpa resiko (Risk-free), misalnya deposito. Jika alokasi untuk
kegiatan yang Risk-free tersebut sebesar X persen maka kombinasi tersebut
diharapkan dapat memberikan perolehan:

Expected Return on Combination: E(RC) = (X) RF - (1 – X) E(RP)

Combination Standard deviation (σC ): σC = (1 – X) σP

Dengan mengkombinasikan dua persamaan tersebut akan diperoleh:

E(RP) - RF
E(RC) = RF + σC
σP

05/11/23 26
 Strategi penurunan risiko dengan Kontrak ke depan
(Forward Contract)

Untuk menghindari kemungkinan kehilangan dalam kegiatan kontrak

penjualan ke depan, McKinnon memberikan rumusan perhitungan
untuk proporsi perkiraan atau ekspektasi penjualan sebagai:

Sf = 1 + [(rpq) (CVq / CVp)]

dengan : Sf = Forward selling/contract

rpq = Correlation coefficient between P and Q
CVp = Coefficient of variation for Price (P)
CVq = Coefficient of variation for Quantity of Output (Q)

05/11/23 27
Untuk menghitung koefisien korelasi (rpq) dipergunakan formula sebagai
berikut:
 (pi – E(p))(qi – E(q))
rpq =
[√ { (pi – E(p))2}{(qi – E(q))2}]

Quantity of
Probability of Market Price Total
Year output
occurrence (P) Revenue
(Q)
1 0,20 4,0 8000 32000
2 0,20 3,5 8000 28000
3 0,20 3,0 9000 27000
4 0,20 2,5 10000 25000
5 0,20 2,0 10000 20000
E(v) 3,0 9000 26400
Stdev 0,71 894 3929
CV 0,236 0,099 0,149

05/11/23 28
Berdasarkan rumus tersebut di atas dapat dihitung:
Koefisien korelasi: rpq = - 0.949 dan
bagian output yang dijual sebesar Sf = 0.6 atau 60% dari total hasil.

Jika ekspektasi total output adalah sebesar 9000 unit {E(q)} maka bagian
yang dijual ke depan adalah sebesar 5400 unit, namun perbedaan dalam
skenario penjualan tersebut akan memberikan tingkat risiko yang berbeda
pula.

Skenario – 1: Penjualan sekaligus di akhir tahun pertama

Jika 5400 unit tersebut dijual sekaligus maka perolehan (revenue) yang dapat
diharapkan adalah sebesar:

E(R) = $4 (8000) + ($3 - $4)(5400) = $32000 – $5400 = $ 26600

Ternyata perolehan yang diterima sedikit lebih tinggi dari penjualan secara
konvensional yang sebesar $ 26400 (lihat table)

05/11/23 29
 Skenario – 2: Penjualan dengan proporsi tetap (Fixed Proportion)

Forward Revenue
Probability Revenue
Sale from Total
Year of from
(Sf) remaining Revenue
occurrence forward sale
output
1 0,20 5400 16200 10400 26600
2 0,20 5400 16200 9100 25300
3 0,20 5400 16200 10800 27000
4 0,20 5400 16200 11500 27700
5 0,20 5400 16200 9200 25400
E(v) 5400 26400
Stdev 927
CV 0,035

Pada skenario ini tampak bahwa ekspektasi penerimaan (return) sama dengan
penjualan secara konvensional namun tingkat risiko (CV) menjadi lebih kecil.
Dengan demikian skenario tersebut dapat mengurangi risiko potensial kehilangan
output.

05/11/23 30
Skenario – 3: Penjualan dengan pola proporsional

Forward Revenue
Probability Revenue
Sale from Total
Year of from
(Sf) remaining Revenue
occurrence forward sale
output
1 0,20 4800 14400 12800 27200
2 0,20 4800 14400 11200 25600
3 0,20 5400 16200 10800 27000
4 0,20 6000 18000 10000 28000
5 0,20 6000 18000 8000 26000
E(v) 5400     26760
Stdev 537     862
CV 0,099     0,032

Pada skenario ini juga tampak bahwa ekspektasi penerimaan (return) sama
dengan penjualan secara konvensional namun tingkat risiko (CV) menjadi lebih
kecil lagi dari skenario-2.

05/11/23 31
 CAPITAL ASSET PRICING MODEL
Ada dua hubungan mendasar, yaitu:

1. Capital Market Line : E(Rp) = Rf + σp (RpM : σM)

The return expected on an efficient portfolio consists of a risk-

free rate ( earned for delaying consumption) plus a risk premium
(earned for bearing risk inherent in the portfolio)
The size of the risk premium is determined by the standard
deviation of the portfolio and the prevailing market risk premium
per unit of market risk

The market risk premium is the difference between the expected

return on a portfolio (called the market portfolio) and the risk-
free interest rate :

E(RpM) = E(RM - Rf)

05/11/23 32
 Then : ┌ E(R - R ) ┐
E(Rp) = RF + σp │ M F
│
└ σ M ┘

2. Security Market E(Rs) = Rf + βs (RpM)

Line :
Or : E(Rs) = Rf + βs (E(RM - RF))

Where : E(Rs) = Expected return on Security

RF = Risk-free rate of return
RPM = Market Risk premium
β = Risk of a security relative to the risk of
other securities in the portfolio

05/11/23 33
 Calculation of Beta :
σi riM
Beta of Security i : βi =
σM

σM riM
Market Portfolio βM = =1
Beta : σM

0.0(0.0)
Risk-free Security Beta : βRF = =0
σM

σp rpM
Portfolio Beta : βp =
σM

05/11/23 34
 3. Security Pricing :
The equilibrium price of a security should provide no
opportunity for speculative profits
If security is trading at a price lower than equilibrium price,
then a speculative profit is possible and excess demand will
exist until the price is forced up to equilibrium

Actual Security Return :

Pi1 – Pi0 + Di1
Ri1 =
Pi0

Where : Ri1 = Actual Security return at the end of period 1

Pi1 = Price of Security i at the end of period 1
Pi1 = Price of Security i at the end of period 0
D = Dividends received at the end of period 1

05/11/23 35
 Equilibrium Required Return = Expected Security Return

E(Pi1) - Pi0 + E(Di1)

RF + βi (RPM) =
Pi0

E(Pi1) + E(Di1)
Equilibrium Security Price : P*i0 =
1 + RF + βi (RPM)

Case 7: Compute the equilibrium price of a security if:

RF = 5.0% βi = 0.5 E(Di1) = $ 4.00

RPM = 6.0% E(Pi1) = $ 100

Answer: Pi0 = $96.30

05/11/23 36
 GLOBAL INVESTMENT

International investment refers to investing in securities

beyond the borders of one’s own country

Global investment refers to investing in securities

throughout the world

Global investment is international diversification to reduce portfolio risk,

because security returns are not highly correlated across world markets

A domestic return is the return people receive in their

domestic (local) currency. International returns are the
returns earned from investing in another country – after
conversion to one’s local country

05/11/23 37
 Return on International Investment :

( 1 + RI ) = ( 1 + RD ) ( 1 + RX )

RI = ( 1 + RD ) ( 1 + RX ) - 1

Where : RI = Return on International Investment

RD = Return on Domestic Security
RX = Return on the exchange rate of currency

Exchange Rate Theory : There are 4 concepts of exchange rate

1. Absolute purchasing power parity, used to explain the current spot

exchange rate between two countries
2. Relative purchasing power parity, used to explain why the spot
exchange rate between two countries changes over time
3. Future-spot parity, used to explain the relationship between current
spot rates and forward contract prices
4. International Fisher Equation, used to explain why interest rates very
across countries
05/11/23 38
 1. CURRENT SPOT EXCHANGE RATES :
Absolute Purchasing Power Parity :

S0d/f = P 0d ÷ P 0f or P0d = P0f * S0d/f

S0d/f = the spot exchange rate defined as the number of units of the
domestic currency that can be obtained with one unit of the
foreign currency at period 0
P0d = the price per unit of output at period 0 of domestic production

P0f = the price per unit of output at period 0 of foreign production

05/11/23 39
 2. CHANGES IN SPOT EXCHANGE RATES :
Relative Purchasing Power Parity :

1 + It d
Std/f = S0d/f (1 + I ) t
f

Std/f = the number of domestic current units necessary to acquire 1.0

unit of foreign currency at the end of period t
I td = the domestic inflation rate during period t
I tf = the foreign inflation rate during period t

05/11/23 40
 3. FORWARD EXCHANGE RATES

Risk-Free Payoff from Domestic Investment = Risk-Free Payoff

from Foreign
Investment
F0d/f
1 + RFD = ( 1 + RFF) (S ) 0
d/f

F0d/f
( 1 + RX ) = (S ) 0
d/f

Future-Spot Parity: F 0
d/f
=S 0
d/f
(
( 1 + RFD )

( 1 + RFF )
) .........
(1)

RFD = risk-free rate in the local domestic economy

RFF = risk-free rate in the foreign country
F0d/f = the current price of future contract
05/11/23 41
 Contoh: Hitung Risk-free Pay-off from Foreign Investment

Uraian US Malaysia

1-year risk-free rate 7% 9%

Spot exchange rate Rp 9200/$ Rp 2440/R

1-year forward rate Rp 9000/$ Rp 2550/R

Risk Free Pay-off from
1.047 1.139
Foreign Investment

F0d/f
RF Pay-off = ( 1 + RFF) (S ) 0
d/f

05/11/23 42
 4. INTERNATIONAL FISHER EQUATIONS

( 1 + RFD ) = ( 1 + rD ) { 1 + E(ID)}

( 1 + RFF ) = ( 1 + rF ) { 1 + E(IF)}

If rD = rF

Spot Futures Parity: F 0

d/f
=S 0
d/f
( )
( 1 + E(ID )

( 1 + E(IF )
.........
(2)

E(ID) = expected inflation in the local domestic economy

E(IF) = expected inflation in the foreign country

05/11/23 43
 INTEREST RATE PARITY

1 + RFD F0d/f 1 + E(ID)

= =
1 + RFF S0d/f 1 + E(IF)

Jika tingkat risk-free dalam setahun di Indonesia sebesar 6% dan

di US sebesar 7%, sedangkan spot-rate sebesar Rp 9200 /US$
dan perkiraan nilai tukar ke depan sebesar Rp 9000 /US$, maka:

Ratio of Risk-Free rates = (1.06) : (1.07) = 0.991

Ratio of Forward to Spot = 9000 : 9200 = 0.978

05/11/23 44
 Forward / Spot

Equilibrium
Relationship

Invest Foreign
Borrow Locally
( 1 + RFD )
0 1 2 ( 1 + RFF )
Invest Locally
Borrow Foreign

Figure 1. Interest Rate Parity Relationship

05/11/23 45
05/11/23 46