Bab 5

Pasar Valuta Asing

 Figure 5.1 Measuring Foreign
Exchange Market Activity: Average
Electronic Conversions Per Hour

(Page 133)
Struktur Pasar Valuta Asing
Perusahaan
membeli Rp
dengan Yen
Broker
Saham
Bank Lokal
Broker Bursa
Valuta Pasar Antar
Efek
Asing Bank Besar

Bank Lokal Broker

Saham
Perusahaan
membeli yen
dengan Rp
Organisasi Pasar Valuta Asing

Pelaku
Institusi atau Individu yang
membutuhkan valuta asing
Pelaku perantara
Pasar antar bank (wholesale) dan
pasar ritel (retail)
 Market Participants
Two tiers of the foreign exchange market
 Interbank or wholesale market (multiples of A$1million or
equivalent in transaction size), and
 Client or retail market (specific, smaller amounts).

Four broad categories of participants operate within

these two tiers
1. Bank and Non-bank Foreign Exchange Dealers
2. Individuals and Firms
3. Speculators and Arbitragers
4. Central Banks and Treasuries of Governments
 Market Participants

1. Bank and Nonbank Foreign Exchange Dealers

 Banks and a few nonbank foreign exchange dealers operate
in both the interbank and client markets.
 The profit from buying foreign exchange at a “bid” price and
reselling it at a slightly higher “offer” or “ask” price.
 Dealers in the foreign exchange department of large
international banks often function as “market makers.”
 These dealers stand willing at all times to buy and sell those
currencies in which they specialise and thus maintain an
“inventory” position in those currencies.
 Market Participants
2. Individuals and Firms
 Individuals (such as tourists) and firms (such
as importers, exporters and MNEs) conduct
commercial and investment transactions in the
foreign exchange market.
 They use the foreign exchange market for
commercial or investment purpose.
 Some of the participants use the market to
“hedge” foreign exchange risk.
 Market Participants
3. Speculators and Arbitragers
 Speculators and arbitragers seek to profit from
trading in the market itself.
 While dealers seek the bid/ask spread,
speculators seek all the profit from exchange
rate changes and arbitragers try to profit from
simultaneous exchange rate differences in
different markets.
Market Participants
Central Banks and Treasuries
 Central banks and treasuries intervene in the
foreign exchange market to manage the
country’s foreign exchange reserves.
 Central banks and treasuries differ in motive
from all other market participants.
Size of the Market

(Page 139)
Size of the market

(Page 141)
Size of the market

(Page 142)
Tipe Transaksi

Spot
Forward
Swap
Pasar Spot dan Forward
Pasar spot: transaksi dan settlement
terjadi sekarang
Pasar forward: transaksi (perjanjian)
terjadi saat ini, delivery (settlement)
terjadi beberapa saat mendatang
Manfaat forward: untuk hedging
(manajemen risiko) dan spekulasi
 Hedging dengan
Forward
Misalkan importir Indonesia harus
membayar $1 tiga bulan mendatang.
Nilai Rupiah yang disediakan tiga bulan
mendatang akan tergantung kurs spot
Rp/$ tiga bulan mendatang 
menghadapi risiko perubahan kurs
Importir tersebut bisa membeli dolar
forward untuk hedging
 Hedging dengan Forward

Posisi forward
Posisi Spot: Long $
short $

Rp/$
Posisi Gabungan Spot
dan Forward
Pasar Spot
Kutipan Spot
Kutipan langsung: di Indonesian: Rp10.000/$
Kutipan tidak langsung: di Indonesia $(1/10.000) / Rp
Kurs Beli-Jual (Bid-Ask Quotation)
Kurs beli (bid): Kurs dimana bank bersedia membeli valas
Kurs jual (ask): Kurs dimana bank bersedia menjual valas
Biaya Transaksi
Presentase spread = Kurs jual – kurs beli x 100
kurs beli
 Kurs Bid-Ask
Misal Kurs Rp/$ dikutip: Rp9.000-9.200/$
Jika kita ingin memperoleh $1, maka kita
mengeluarkan uang sebesar Rp9.200
Jika kita ingin menjual $1, maka kita akan
memperoleh Rp 9.000.
Selisih sebesar Rp200/$ merupakan spread
atau keuntungan bank atau pihak yang
menjual $
Foreign Exchange Rates
and Quotations

(Page 145)
Pasar Forward

Pengertian Pasar Forward

Posisi short dan posisi long
Hedging (hedger) dan spekulasi (spekulan)
Kutipan Forward
Kutipan swap rate (basis poin)
Premium dan diskonto forward
Pasar Forward

Kutipan Forward dengan menggunakan

persentase
 Kurs tidak langsung

Premium/diskonto forward = Spot – Forward x 12 x 100

Forward n
 Kurs langsung
Premium/diskonto forward = Forward – Spot x 12 x 100
Spot n
Kurs Silang

Digunakan untuk membantu dalam

penentuan nilai mata uang yang tidak
aktif diperdagangkan serta
digunakan untuk mengecek
konsistensi forecast (peramalan)
kurs di masa yang akan datang
Foreign Exchange Rates
Many and Quotations
currency pairs are only inactively traded, so their
exchange rate is determined through their relationship to a
widely traded third currency (cross rate).
Foreign Exchange Rates
and Quotations

(Page 148)
Arbitrase Segitiga

Kurs yang tidak seimbang (tidak

konsisten) memunculkan
kesempatan arbitrase
Arbitrase yang melibatkan nilai tiga
mata uang
Intermarket Arbitrage
Figure 5.5A Triangular arbitrage

(Page 149)
Pengecekan Arbitrase
Segitiga
Misalkan ada tiga mata uang, $, £, ¥
Kondisi tidak ada arbitrase terjadi jika $/£
x £/¥ x ¥/$ = 1
jika $/£ x £/¥ x ¥/$ < 1, arbitrase
dilakukan dari kiri atas, sampai ke kanan
bawah
jika $/£ x £/¥ x ¥/$ > 1, arbitrase
dilakukan dari kanan bawah, sampai ke
kiri atas