ANALISIS PARITAS SUKU BUNGA, STUDI KASUS DI INDONESIA: 1978.1-1991.IV

Syafrudin Syafrudin

ANALISIS PARITAS SUKU BUNGA, STUDI KASUS DI INDONESIA: 1978.1-1991.IV

Syafrudin Syafrudin^(1*)

(1) Universitas Gadjah Mada
(*) Corresponding Author

Abstract

Perilaku kurs mata uang mendapat perhatian besar dari para ekonom terutama sejak kembalinya sistem kurs mata uang dunia menjadi sistem kurs mengambang (Flexible Exchange Rate System). Berbagai pendekatan dan teori dikembangkan untuk menjelaskan bagaimana terbentuknya kurs mata uang dan pengaruhnya terhadap perekonomian suatu negara. Pendekatan paling klasik mengenai terbentuknya kurs mata uang dijelaskan melalui teori Paritas Daya Beli (Purchasing Power Parity) di mana kurs mata uang merupakan perbandingan antara tingkat harga di suatu negara dengan negara lainnya. Kritik-kritik dan kelemahan-kelemahan yang terdapat pada teori tersebut mendorong para ekonom untuk mengembangkan pendekatan-pendekatan lain di antaranya melalui pendekatan moneter terhadap kurs mata uang. Melalui pendekatan ini kurs ditentukan oleh keseimbangan permintaan dan penawaran antara dua mata uang. Pendekatan ini juga menjelaskan bagaimana pengaruh variabel-variabel ekonomi seperti penawaran uang, pendapatan nasional, tingkat harga, dan tingkat bunga terhadap terbentuknya kurs mata uang. Artikel ini akan membahas salah satu konsep tentang kurs mata uang yaitu konsep Paritas Suku Bunga (Interest Rate Parity). Konsep ini membantu menjelaskan bagaimana perilaku kurs dan tingkat bunga saling berinteraksi untuk mencapai posisi keseimbangan di pasar valuta asing. Dengan analisis ekonometri melalui pendekatan kointegrasi dan Model Koreksi Kesalahan (Error Correction Model) akan diuji berlaku tidaknya kondisi paritas suku bunga berlaku di Indonesia.

Keywords

Analisis Paritas Suku Bunga, Studi Kasus, Indonesia

Full Text:

PDF

References

Agmon, Tamir dan Yakov Amihud (1981), "The Forward Exchange Rate and The Predicition of The Future Spot Rate", Journal of Banking and Finance, Vol.5 hal. 426-435. Aliber, Robert Z. (1973), The Interest Rate Parity Theorem : Re Interpretation", Journal of Finance, Vol. 38, hal. 1471 - 1483. Bank Indonesia, Laporan Mingguan, be- berapa edisi. ______Statistik Ekonomi dan Keuang-an Indonesia, beberapa edisi. Baillie, Richard T., dan PC. McMahon (1989), The Foreign Exchange Market Theory and Economics Evidence, Cambridge University Press, London. Biro Pusat Statistik, Indikator Ekonomi, beberapa edisi. Boediono (1989), Ekonomi Moneter, Seri Sinopsis Pengantar Ekonomi No. 5, BPFE, Yogyakarta. Clinton, Kevin (1988), "Transactions Costs and Covered Interest Arbritage: Theory and Evidence", Journal of Political Economy, Vol. 96, hal. 358-70. Cosander, Pierre-Alexis, dan Bruno R Lang (1981), "Interest Rates Parity Tests: Switzerland and Some Major Western Countries", Journal of Banking and Finance, Vol.%, hal. 187-200. Cumby, Robert E., dan Maurice Obstfeld (1981), "A Note on Exchange Rate Ex-pectations and Nominal Interest Differentials: A Test of The Fisher Hipo-the-sis", Journal of Finance, Vol. 36, hal. 697-703. Dickey, D.A. dan W.A. Fuller (1981), "Likehood Ratio Statistics For Autore-gressive Time Series With a Unit Root", Econometrica, Vol. 49, No. 4, hal. 1057-1072. Domowitz,. dan I.Elbadawi (1987), "An Error Correction Approach to Money De-mand: The Case of Sudan", Journal of Development Economics, Vol. 26, hal 257-275. Engle R.F. dan C.W.J. Granger (1987), "Coin tegration and Error Correction : Representation, Estimation, and Testing", Economctrlca, Vol. 55, No. 2, hal. 251-276. Engle R.F. dan B.S Yoo (1987), "Forecasting and Testing in Cointe grated System", Journal of Econometrics, Vol. 36, hal. 143-159. Frenkel, Jakob A. (1976), "A Monetary Approach to The Exchange Rate", dalam The Economy of Exchange Rate, Selected Studies, J.Frenkel dan Harry G. Johnson (editor), Addison and Wesley, USA, hal. 47-64. Frenkel Jacob A. (1981), "Flexible Exchange Rate, Price, and The Role of News : Lessons From The 1970s", Journal of Political Economy, Vol.89, hal. 665-705. Frenkel, Jakob A dan Richard M. Levich (1975), "Couered Interest Arbitrage: Unsupported Profit?', Journal of Political Economy, Vol. 83, hal. 325-338. Granger, C.W.J. (1986), "Deue/opments in Study of Cointegrated Economics Variables", Oxford Bulletin of Econometrics and Statistics, Vol. 48, No. 3, hal. 213-228. Hendry D.F. (1986), "Econometrics Modelling With Cointegrated Variables: An Over-view", Oxford Bulletin of Econometrics and Statistics, Vol. 48, No.3 hal. 201-212. Insukindro (1990a), "Komponen Koefisien Regresi Jangka Panjang Model Ekonomi: Sebuah Studi Kasus Impor Barang di Indonesia", Jurnal Ekonomi dan Bisnis Indonesia, No.2, thn. V hal. 1-11. ______(1990b), The Short and The Long-Term Determinants of Money and Bank Credit Market in Indonesia, PhD Thesis University of Essex, UK, tidak dipu-blikasikan. ______(1991a), "Pendekatan Kointegrasi Dalam Analisis Ekonomi", Mimeo Fakultas Ekonomi-PAU Studi Ekonomi, Universitas Gadjah Mada. ______(I991b), "Regresi Linier Lancung Dalam Analisis Ekonomi : Suatu Tin-jauan Dengan Satu Studi Kasus Di Indonesia" Jurnal Ekonomi dan Bisnis Indonesia, No.l, thn. VI, hal. 75-87. ______(1992a), "Pembentukan Model dalam Penelitian Ekonomi", Jurnal Ekonomi dan Bisnis Indonesia, No.l thn. W,hal. 1-18. ______(1992b), "Dynamics Specification of Demand for Money: A Survey of Recent Development", Jurnal Ekonomi Indonesia, No.l April, hal. 8-23. Krugman, Paul R. dan Maurice Obstfeld (1991), International Economics, The-ory and Policy (terjemahan), Penerbit Rajawali Pers, Jakarta. Levich, Richard M (1985), "Empirical Studies of Exchange Rate : Price Behaviour, Rate Determination and Market Efficiency dalam Handbook of International Economics. B.W Jones dan P.B.Keneth (editor) Vol. II, Elsevier Publishers B.V. MacDonald, Ronald (1992), "Exchange Rate Economics", IMF Staff Paper, Vol. 39, No. 1, hal. 1-57. Mussa, Michael (1976), "The Exchange rate, The Balance of Payment and Monetary and Fiscal Under a Regimed of Controlled Floating", dalam The Economy of Exchange Rate, Selected Studies, J. Frnekel dan Harry G. Johnson (editor).Addison and Wesley, USA, hal. 47-64. Price S.G. (1988), "Cointegration : Practical Application and Problems:, Uni-versity of Essex, Manuscript.

Article Metrics

Abstract views : 7233 |

Refbacks

There are currently no refbacks.

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Journal of Indonesian Economy and Business

Journal

Editorial Team
Focus and Scope
Peer Review Process
Publication Ethics
Screening for Plagiarism

Authors

Author Guidelines
Submission Guidelines
Online Submissions
Copyright Notice
Privacy Statement
Author Fees

Download

Author Pack
Submission Form & Manuscript Template

Reviewer

Reviewer Guidelines
Reviewer Acknowledgement

Reader

General Search
Achieves
Author index
Title index

The Journal of Indonesian Economy and Business (print ISSN 2085-8272; online ISSN 2338-5847) is published by the Faculty of Economics and Business Universitas Gadjah Mada, Indonesia. The content of this website is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License

Visitor Statistics