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"ABSTRAKVolatilitas nilai tukar yang stabil diperlukan karena volatilitas yang tidak terjagamempunyai dampak yang besar bukan hanya terhadap sektor perekonomian tetapijuga sektor-sektor lainnya seperti sosial dan keamanan. Akan tetapi munculpertanyaan yaitu apa yang harus dilakukan oleh otoritas moneter ketika ada pihakdi luar juridiksinya mengeluarkan kurs NDF yang dapat mempengaruhi nilai tukarrupiah domestik sesuai dengan agenda yang diinginkan pihak yang bersangkutan.Di sisi lain, Bank Indonesia sebagai otoritas moneter mempunyai tugas untukmenjaga agar volatilitas kurs mata uang Rupiah berada pada level yang stabildengan berbagai instrumen kebijakan yang salah satunya adalah mengeluarkankurs acuan. Tesis ini akan menganalisis efektivitas implementasi kebijakanJakarta Interbank Spot Dolar Rate (JISDOR) sebagai kurs referensi terhadapvolatilitas kurs mata uang rupiah dengan menggunakan model regresi ARCH danGARCH.

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ABSTRACTA stable exchange rate volatility is required because uncontrollable fluctuationhad a great impact not only on the economic sector but also other sectors such associal and security. However, the question arises: what should be done by themonetary authority when there is a party outside the juridiction issued the NDFbenchmark exchange rate that may affect the domestic exchange rate of rupiah inaccordance with the desired agenda of the party. On the other hand, BankIndonesia as the monetary authority has a duty to keep the Rupiah exchange ratevolatility at a stable level with a wide range of policy instruments, one of which isissuing the reference exchange rate. This thesis will analyze the effectiveness ofpolicy implementation of the Jakarta Interbank Spot Dollar Rate (JISDOR) as areference rate against the rupiah exchange rate volatility using GARCH andARCH regression model."

"This study analyze the influence of non-deliverable forward (NDF) and the spot rate of USD/IDR against Bank Indonesia reference rate, Jakarta Interbank Spot Dollar Rate (JISDOR). NDF which came earlier than JISDOR is used by the market participant as the reference rate. The simple method of NDF determination had a great impact on the volatility of the rupiah currency, pushing the Bank Indonesia to issue its own reference currency. JISDOR is an indication of the rates issued by Bank Indonesia as the reference rate for the foreign exchange market in domestic and overseas. The method of creating the reference rate is by weighting the average rate of real transactions through a monitoring system which is managed by the central bank. However, the question arises: what should be done by the monetary authority when there is a party outside the jurisdiction issued the NDF rate as a benchmark that may affect the domestic exchange rate of rupiah in accordance with the desired agenda of the party. We use OLS and ARCH/GARCH to see if independent variables have an influence on dependent variable. Granger Causality test is also used to observe whether there are any relations among the variables."