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DAMPAK PEMBALIKAN MODAL DAN THRESHOLD DEFISIT NERACA BERJALAN TERHADAP NILAI TUKAR RUPIAH M. Noor Nugroho; Ibrahim Ibrahim; Tri Winarno; Meily Ika Permata
Buletin Ekonomi Moneter dan Perbankan Vol 16 No 3 (2014)
Publisher : Bank Indonesia

This paper studies the effects of foreign capital flows toward the exchange rate of rupiah both in total and across types of capital investment. This paper also analyzes the thresholds of current account deficit which significantly affect the rate of Rupiah. The estimation shows the capital outflow affect the rate of Rupiah to depreciate and is larger than the appreciation pressure of capital inflow (except when invested in Certificate of Bank Indonesia, SBI). Furthermore, the rate of Rupiah is more sensitive on government bond (SUN) than stock or SBI. The yield of this government bond largely affects the probability of the capital reversal. Related to the current account, the estimation shows that after exceeds the threshold of USD980 million monthly deficit or about 2% of GDP, the exchange rate will depreciate by 12.7% (m-o-m) with the lag effect of 4 months. Keywords: Capital flows, exchange rate, current account deficit, threshold. JEL Classification: F31, F32

KAJIAN TERHADAP STRUKTUR MIKRO PASAR VALAS ANTAR BANK DOMESTIK Aida S. Budiman; Nanang Hendarsah; M. Noor Nugroho; Evy Silviani
Buletin Ekonomi Moneter dan Perbankan Vol 7 No 1 (2004)
Publisher : Bank Indonesia

Price fluctuation on foreign exchange induces a complex consequences on financial market. Understanding micro structure of forex market and their linkage to other market will help central bank to maintain ‘targeted’ value of Rupiah and to ensure the economy recovery post crisis. We apply business intelligence application namely On-Line Analytical Processing (OLAP) to deal with huge and high frequency data from Pusat Informasi Pasar Uang (PIPU) during period of January 2003 up to 20 June 2003. Using this tool, we can analyze characteristic of any observable market blocks including market clearance status and their inter-linkage (flow of transactions). The result shows that swap transaction dominates foreign exchange transaction, followed by spot and forward. The swap transaction is mostly used to maintain short term liquidity in inter bank market. From all of the three types of transaction, foreign bank plays important role because they have ‘greater’ access on Pasar Uang Antar Bank (PUAB), meanwhile national bank face credit line policy hence 90% of foreign exchange placement is directed to foreign bank.

PENGARUH DINAMIKA PENAWARAN DAN PERMINTAAN VALAS Sugeng Sugeng; M. Noor Nugroho; Ibrahim Ibrahim; Yanfitri Yanfitri
Buletin Ekonomi Moneter dan Perbankan Vol 12 No 3 (2010)
Publisher : Bank Indonesia

This study examines the influence of forex demand and supply interaction on Rupiah's exchange rate. Estimation results show that the movement of rupiah is influenced by the forex supply and demand, where the foreign players are dominating. Furthermore, the demand and supply of foreign exchange is asymmetric.This paper also shows the impact of exchange rate movements on output is only in the short term with a more significant influence to the import, while the depreciation of Rupiah has a larger impact than its appreciation.Keywords:Foreign exchange, inflation, exchange rate.JEL Classification: E31, F31

EFFECTS OF FOREIGN EXCHANGE SUPPLY AND DEMAND DYNAMICS TO RUPIAH EXCHANGE RATE AND ECONOMIC PERFORMANCE Sugeng Sugeng; M. Noor Nugroho; Ibrahim Ibrahim; Yanfitri Yanfitri
Buletin Ekonomi Moneter dan Perbankan Vol 12 No 3 (2010)
Publisher : Bank Indonesia

This study examines the influence of forex demand and supply interaction on Rupiah's exchange rate. Estimation results show that the movement of rupiah is influenced by the forex supply and demand, where the foreign players are dominating. Furthermore, the demand and supply of foreign exchange is asymmetric.This paper also shows the impact of exchange rate movements on output is only in the short term with a more significant influence to the import, while the depreciation of Rupiah has a larger impact than its appreciation.Keywords:Foreign exchange, inflation, exchange rate.JEL Classification: E31, F31

The Impact of Capital Reversal and the Threshold of Current Account Deficit on Rupiah M. Noor Nugroho; Ibrahim Ibrahim; Tri Winarno; Meily Ika Permata
Buletin Ekonomi Moneter dan Perbankan Vol 16 No 3 (2014)
Publisher : Bank Indonesia

This paper studies the effects of foreign capital flows toward the exchange rate of rupiah both in total and across types of capital investment. This paper also analyzes the thresholds of current account deficit which significantly affect the rate of Rupiah. The estimation shows the capital outflow affect the rate of Rupiah to depreciate and is larger than the appreciation pressure of capital inflow (except when invested in Certificate of Bank Indonesia, SBI). Furthermore, the rate of Rupiah is more sensitive on government bond (SUN) than stock or SBI. The yield of this government bond largely affects the probability of the capital reversal. Related to the current account, the estimation shows that after exceeds the threshold of USD980 million monthly deficit or about 2% of GDP, the exchange rate will depreciate by 12.7% (m-o-m) with the lag effect of 4 months. Keywords: Capital flows, exchange rate, current account deficit, threshold.JEL Classification: F31, F32

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