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KEUANGAN INTERNASIONAL (Ernoiz Antriyandarti, SP, MP, M.Ec)

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Title: KEUANGAN INTERNASIONAL (Ernoiz Antriyandarti, SP, MP, M.Ec)

1
KEUANGAN INTERNASIONAL(Ernoiz Antriyandarti, SP,
MP, M.Ec)

2
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

3
Organisasi Pasar Pertukaran Mata Uang

4
Sistem Nilai Tukar

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.

5
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.

6
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.

7
GLOBALISASI EKONOMI DUNIA TREN TERAKHIR

1. Munculnya pasar2 keuangan yang terglobalisasi
integrasi yang cepat atas pasar2 modal dan
keuangan.
Globalisasi pasar keuangan ini awal-nya datang
dari pemerintah2 negara utama yang mulai
menderegulasi pasar2 valas dan modalnya.

8
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.

9
How a Foreign Exchange Transaction is Conducted
10
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

11
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

12
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

13
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 lt E fewer to buy FX in future than now
trading at forward premium
F gt 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

14
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15
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.

16
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 days losses,
not cumulative losses.
if margin account falls too low, have to top it
off

17
Options

Underlying Asset future or spot cash
Right, but not obligation, to buy or sell at
strike price
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

18
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 dont 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
C5m 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
_at_ .67 was better.
Future spot .65 ? just buy spot save .02/CAD
over fwd