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"ABSTRAK

The Fragile Five merupakan sebuah kelompok yang terdiri dari Brazil, India, Indonesia, Afrika Selatan, dan Turki. Kelima negara ini disebut sebagai negara - negara yang memiliki mata uang yang paling rentan di dunia. Hal ini disebabkan oleh banyaknya investor asing yang menguasai investasi domestik sehingga rentan terjadinya lalu lintas modal yang masuk dan keluar secara tiba - tiba. Penelitian ini mencoba meneliti pengaruh lalu lintas modal terhadap nilai tukar di Fragile Five untuk periode tahun 2006 hingga 2013. Uji Arellano dan Bond digunakan untuk melihat hubungan antara lalu lintas modal pada nilai tukar mata uang. Ditemukan bahwa arus modal yang keluar mendominasi perubahan nilai tukar. Selain itu, ditemukan juga bahwa investasi portfolio merupakan jenis investasi yang memberikan pengaruh paling cepat dan besar terhadap nilai tukar.

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ABSTRACT

Fragile Five is a group which consists of Brazil, India, Indonesia, South Africa, and Turkey. These countries are said to have the most fragile currency than other countries in the world. This condition is caused by the number of foreign investors that dominates domestic investment. This research tries to see the impact of capital flows towards exchange rate in Fragile Five countries for period 2006 - 2013. The Arellano Bond test is used to explain the outcome. It is found that a capital outflow dominates the change in exchange rate, causing it to depreciate. In addition, it is found that portfolio investment give the fastest and biggest impact towards the change of value in exchange rate.

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"Perkembangan capital flow masuk maupun keluar perekonomian Indonesia yang semakin meningkat dewasa ini perlu diwaspadai karena selain dampak positif, aliran modal juga berpotensi untuk menimbulkan dampak tidak menguntungkan bagi perekonomian suatu negara. Potensi risiko yang ditimbulkan oleh capital flow, antara lain adalah meningkatnya risiko suatu negara terhadap pembalikan arus modal asing (sudden reversal), tekanan terhadap nilai tukar, penggelembungan harga aset, semakin kompleksnya pengelolaan perekonomian makro, serta meningkatnya kerentanan di sektor keuangan.Tesis ini meneliti interaksi antara capital flows, fluktuasi nilai tukar dan kebijakan moneter di Indonesia dengan menggunakan pendekatan Structural Vector Autoregression (SVAR), dengan menerapkan model Siok Kun Sek (2009) dan menambahkan satu variabel, yakni aliran modal (CFA) ke dalam model tersebut.Dari hasil estimasi model dapat disimpulkan bahwa capital flows mempunyai pengaruh signifikan terhadap suku bunga SBI dan perubahan capital flow mempunyai pengaruh cukup besar terhadap kebijakan moneter, shock aliran modal cukup mengganggu otoritas moneter dalam penentuan arah jangka panjang tingkat suku bunga SBI, dan volatilitas capital flows menjadi salah satu variabel yang mengganggu otoritas moneter dalam mencapai sasaran akhir laju inflasi.

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The development of capital flows in and out of the Indonesian economy currently should be put in our consideration due to its impact on the economy. Capital flows generally has positive effects to support investment as well as increasing the effectiveness of resource allocation, however capital flows has also the potential risks to cause unfavorable impact on the economy of a country. Potential risks posed by capital flows, among others, is the increased risk of a country to foreign capital flow reversals (sudden reversal), the pressure on the exchange rate, asset price bubbles, the increasing complexity of managing the macro economy, and the increased vulnerability of the financial sector.

This thesis examines the interaction between capital flows, exchange rate fluctuations and monetary policy in Indonesia using Structural Vector Autoregression approach (svar), by applying the model Sek Siok Kun (2009) and adding one variable, namely the flow of capital (CFA) into the model.

From the results of the model estimation can be concluded that capital flows have a significant influence on interest rates (SBI). Changes of capital flows has also has a considerable influence on monetary policy in term of disturbing the monetary authority in determining the long-term direction SBI interest rate. Volatility of capital flows also to be one of the variables that interfere with the monetary authorities in achieving the final target rate of inflation."

"Over the last decade, developing countries have experienced a significant increase in capital flows. These capital flows became highly insurgent in the early 1990s. The development of these capital flows can significantly influence the domestic monetary base, and lead to domestic financial instability in these countries. Thus, this analysis focuses on assessing the ability of the monetary authorities to neutralize monetary disturbances of the capital flows in developing countries. It also attempts to analyze the impact of capital flows on the conduct of monetary policy in these countries. The study, however, is only applied to two ASEAN developing countries; Indonesia and Malaysia. The study is undertaken by running regression on three estimating equations developed in one chapter of the thesis. Regressions are run by using Ordinary Least sequares (OLS) method. The study shows that both monetary authorities in Indonesia and Malaysia have no loss of monetary control in faced of capital flows. The study also shows that the authorities in Indonesia and Malaysia direct their monetary policy to intervene in the exchange market; aims to preserve exchange rate stability as well as to maintain competitiveness of their exports. A policy implication also emerges from this study. That is, if the monetary authorities desired to have a higher degree of monetary authonomy, they must be ready to pursue a more flexible exchange rate policy."