ANALISIS SENSITIVITAS NILAI TUKAR RUPIAH TERHADAP FUNDAMENTAL NEWS SHOCK: STUDI KOMPARASI RUPIAH DENGAN MATA UANG KUAT (HARD CURRENCY)

Abstract

The development of the exchange rate determination model becomes very important because it has directly impacts the costs and benefits for international trade market players, in the monetary view, the market must be efficient, the exchange rate fully reflects the available information, so the forward rate is an unbiased predictor, but empirical evidence indicates that the forward rate is not an unbiased predictor, presumably unanticipated news being the cause of the failure of the forward hypothesis. This study aims to analyze the effect of unanticipated news / news shock on exchange rate fluctuations. The model built in this study was adopted from the Copeland news model by incorporating the fundamental variables in news shock, and with the ECM model approach further analysis of the role of news shock in both the long term and the short term. The results showed that consistent forward rates affect exchange rates and news shock behavior had an unique influence over each exchange rate, although the model failed to identify news shocks for sure, but it can be confirmed that the unbiased forward hypothesis is not fully applicable and the role of news shock in fluctuations real exchange rate was hold.