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The Spread Component Of The Exchange Rate: The Indonesian Case

Author

Listed:
  • Nevi Danila
  • Dwinita Aryani

Abstract

Paper ini menganalisa perilaku trader yang merupakan isu utama didalam market microstucture, karena perilaku ini dapat mempengaruhi inefisiensi pasar. Perilaku ini menentukan bid-ask spread yang komponennya terdiri dari order-processing cost, adverse selection cost dan inventory holding cost. Dengan mengetahui perilaku trader dalam menentukan spread, kita akan mengetahui perilaku perubahan nilai tukar dalam jangka pendek, dimana hal ini sangat penting bagi pelaku pasar didalam menjalankan bisnisnya. Dengan menggunakan nilai tukar Rupiah terhadap US dollar, diketahui bahwa order processing cost adalah komponen spread yang paling kecil. Hal ini tidak mengejutkan karena pasar valuta asing merupakan pasar yang sangat kompetitif. Sedangkan porsi terbesar dari komponen spread adalah inventory holding cost, hal ini disebabkan karena adanya opportunity cost dan resiko perubahan kurs. Adverse selection cost adalah komponen spread terpenting kedua. Hal ini dikarenakan Bank Indonesia melakukan intervensi secara diam-diam terhadap pasar valuta asing, jika tidak maka trader akan mendapatkan informasi yang sama tentang kebijakan pemerintah atau perilaku dari makro ekonomi sebuah negara.

Suggested Citation

  • Nevi Danila & Dwinita Aryani, 2007. "The Spread Component Of The Exchange Rate: The Indonesian Case," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 10(2), pages 149-174, October.
    • Handle: RePEc:idn:journl:v:10:y:2007:i:2c:p:149-174
    DOI: https://doi.org/10.21098/bemp.v10i2.222
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    More about this item

    Keywords

    Foreign exchange; spread; order-processing cost; adverse selection cost; inventory holding cost;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

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