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"This study aims at investigating the behavior of foreign exchange rate markets in Indonesia using 1350 daily observations. Another objective of this study is to examine the structural stability due to Bali bombing chapter I and II

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"Fokus dari penelitian ini adalah meneliti dan menganalisis bagaimana pengaruh nilai tukar terhadap impor kapas di Indonesia. Selain itu pengaruh faktor-faktor lain seperti pendapatan domestik, harga relatif turut digunakan dalam penelitian ini. Analisa pengaruh variabel nilai tukar dan variabel pendapatan domestik, harga relatif terhadap impor kapas di Indonesia menggunakan metode kointegrasi dan error correction model. Data yang dipergunakan untuk analisis dalam tesis ini adalah data sekunder, yang merupakan data time series kuartalan dari 1990: QI sampai 2006: Q2.Pengujian model pada jangka panjang menghasilkan signifikansi pengaruh nilai tukar terhadap impor kapas Indonesia. Variabel pendapatan domestik dan harga relatif juga menunjukkan signifikansi pengaruh terhadap impor kapas Indonesia. Untuk pengujian model pada jangka pendek menghasilkan signifikansi pengaruh nilai tukar terhadap impor kapas Indonesia. Selain itu pada jangka pendek permintaan kapas periode sebelumnya, pendapatan riil, harga relatif dua periode sebelumnya juga menunjukkan signifikansi terhadap impor kapas.

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The Focus of this research is to research and analyze how the impact of exchange rate on Indonesia's cotton import. Meanwhile, the other factors, i.e. domestic income, relative price are also used in this research. Analysis of the impact of variables, i.e. variable of exchange rate, variable of domestic income on Indonesia's cotton imports uses co integration method and error correction model. Data which is used in this research is secondary data which is time series data with quarterly data from 1990: Q1 until 2006:Q2.In the long term of model examination, variable of exchange rate significantly influences Indonesia's cotton import. Meanwhile, variable of domestic income and relative price also significantly inflence Indonesia's cotton imports. In the short term, the variable of exchange rate significantly influences Indonesia's cotton imports. Meanwhile some variables, i.e. variables of demand for cotton which is period is a quarter before, variables of real income, variable of relative price which is periods is two quarter before also significantly influence Indonesia's cotton import."

"ABSTRACTSkripsi ini menganalisa metode machine learning menggunakan HiddenMarkov Model (HMM), yang merupakan alat prediksi stochastic dan probabilitidigunakan untuk mengevaluasi gerakan di dalam pasar valuta asing. Skripsi inimembahas khususnya penerapan metode HMM di pasar valuta asing sebagai alatuntuk memprediksi pergerakan dan hasil dari nilai tukar di dalam pasar, kemudianmenganalisis data yang tersedia, dan akhirnya membuat keputusan berdasarkanhasil yang diperoleh. Data yang digunakan adalah data harga penutupan padapasar valuta asing AUD/USD dalam dua jangka waktu yang berbeda, hargapenutupan per 1 jam dan per 15 menit, dan data yang digunakan diperoleh daribeberapa sumber online. Analisis awal menunjukkan beberapa faktor eksternaldapat mempengaruhi keakuratan hasil. Hasilnya mengindikasi, dengan tidakmemperhitungkan factor-faktor luar lainnya, akurasi yang lebih baik didapatsewaktu menggunakan haraga penutupan jangka waktu yang lebih pendek.

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ABSTRACTThis bachelor thesis analyses the method of machine learning usingHidden Markov Model, which is a predictive stochastic and probability tool inorder to evaluate the movement inside the foreign exchange market. This paperdiscusses particularly the application of HMM method in the forex (foreignexchange) market, as the tool for forecasting the movement and the outcome ofthe exchange rate inside the market, analyses them, and finally making a decisionbasing on the obtained outcomes. The data used are the closing price of theAUD/USD forex market in two different timeframes, per hour closing price andper 15 minutes closing price, and was obtained from several online foreignexchange sources. Initial analysis suggests several external factors may affect theaccuracy of the results. The results indicate, excluding any external factors, betteraccuracy was obtained when shorter closing price timeframe was used."

"Penelitian ini berusaha meneliti efisiensi pasar valuta asing Indonesia setelah mereformasi rezim nilai tukarnya menjadi nilai tukar mengambang. Data nilai tukar yang digunakan untuk makalah ini adalah nilai tukar rupiah (Rp) terhadap dolar Amerika Serikat (USD), rupiah terhadap yen Jepang (JPY), dan rupiah terhadap won Korea Selatan (KRW) sejak Januari 2000 sampai dengan November 2012, dimana Indonesia pada 14 Agustus 1997 merubah rezim nilai tukarnya yang semula berupa rezim managed floating regime menjadi free floating regime. Penelitian ini menguji efisiensi pasar valuta asing bentuk lemah (weak form), dengan menggunakan Unit Root Test, dan regresi dengan pendekatan Efficient Market Hypothesis. Selain itu, penelitian ini juga mencoba menguji dengan menggunakan pendekatan paritas suku bunga baik terbuka maupun tertutup. Hasil yang di dapat bahwa pasar valuta asing Indonesia telah efisien bentuk lemah. Namun, jika ditinjau dengan pendekatan paritas suku bunga, pasar valuta asing Indonesia belum efisien.

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This study sought to assess the efficiency of Indonesia's foreign exchange market after the reform of its exchange rate regime to a floating exchange rate. Data exchange rates used for this paper is the rupiah (IDR) against the U.S. dollar (USD), the rupiah against the Japanese yen (JPY), and the rupiah against the South Korean won (KRW) from January 2000 to November 2012, where Indonesia on August 14, 1997 to change its exchange rate regime which was originally a regime of managed floating regime became free floating regime. This study examined the efficiency of the foreign exchange market is weak form (weak form), by using the Unit Root Test, and regression to the Efficient Market Hypothesis approach. In addition, this study also attempted to examine the use of interest rate parity approach either open or closed. The result shows that the Indonesian foreign exchange market has been weak form efficient. However, if the review with interest rate parity approach, Indonesia's foreign exchange market has not been efficient."

"[Penelitian ini menguji validitas teori Purchasing Power Parity di Indonesia dengan lima mitra dagang terpilih dengan menggunakan data berfrekuensi bulanan. Pengujian dilakukan dengan metode kointegrasi Engle-Granger kemudian apabila terbukti terdapat hubungan kointegrasi antara nilai tukar dan tingkat harga antara Indonesia dan mitra dagangnya maka selanjutnya dibentuk model koreksi kesalahan untuk melihat dinamika jangka pendeknya. Hasil peneltian menunjukkan bahwa terdapat hubungan kointegrasi pada kasus Indonesia-AS, Indonesia-Inggris dan Indonesia-Jepang pada periode Januari 2000-Januari 2015. Sedangkan pada jangka pendek kondisi PPP tidak berlaku, karena banyak faktor lain yang menjelaskan perubahan pada nilai tukar selain tingkat harga, dan karena tingkat harga pada jangka pendek cenderung bergerak lebih lambat dibandingkan nilai tukar.;This research aims to test the validity of the Purchasing Power Parity theory in Indonesia with five selected trading partners, using monthly data. Engle-Granger cointegration test is used to know whether there is a cointegrating relation between Indonesia and its trade partner?s exchange rate and price level, and if cointegration relation existed then the error correction model will be formed in order to observe the short-run dynamics of the variables. The result shows that there is a cointegrating relation between Indonesia-US and Indonesia-UK and Indonesia-Japan in the long-run but no PPP relation in the short-run. This result explains that there are other factors that define the movement of exchange rate in the short run other than the price level, and the price level moves slower than the exchange rate.;This research aims to test the validity of the Purchasing Power Parity theory in Indonesia with five selected trading partners, using monthly data. Engle-Granger cointegration test is used to know whether there is a cointegrating relation between Indonesia and its trade partner?s exchange rate and price level, and if cointegration relation existed then the error correction model will be formed in order to observe the short-run dynamics of the variables. The result shows that there is a cointegrating relation between Indonesia-US and Indonesia-UK and Indonesia-Japan in the long-run but no PPP relation in the short-run. This result explains that there are other factors that define the movement of exchange rate in the short run other than the price level, and the price level moves slower than the exchange rate., This research aims to test the validity of the Purchasing Power Parity theory in Indonesia with five selected trading partners, using monthly data. Engle-Granger cointegration test is used to know whether there is a cointegrating relation between Indonesia and its trade partner’s exchange rate and price level, and if cointegration relation existed then the error correction model will be formed in order to observe the short-run dynamics of the variables. The result shows that there is a cointegrating relation between Indonesia-US and Indonesia-UK and Indonesia-Japan in the long-run but no PPP relation in the short-run. This result explains that there are other factors that define the movement of exchange rate in the short run other than the price level, and the price level moves slower than the exchange rate.]"

"ABSTRAKAnalisis runtun waktu dapat digunakan dalam peramalan nilai tukar mata uang. Model yang biasa digunakan adalah ARIMA (Autoregressive Integrated Moving Average). Namun tidak semua data nilai tukar mata uang dapat dimodelkan dengan ARIMA, karena ARIMA hanya dapat digunakan untuk memodelkan data secara linier sedangkan pola data nilai tukar mata uang biasanya memiliki komponen linier dan nonlinier. Pemodelan nonliner dapat dilakukan antara lain dengan menggunakan model ANN (Artificial Neural Network). Pada skripsi ini dibahas model hybrid ARIMA-ANN dalam peramalan nilai tukar dolar AS terhadap rupiah dimana dilakukan filter Moving Average (MA) terhadap data sebelum proses pemodelan. Penggunaan filter MA bertujuan untuk memisahkan data menjadi dua komponen yaitu komponen linier yang memiliki volatilitas rendah dan komponen nonlinier yang memiliki volatilitas tinggi. Penentuan panjang filter yang sesuai dibutuhkan dalam proses filter Moving Average. Data historis yang digunakan adalah data kurs jual dolar AS terhadap rupiah mulai dari 31 Maret 2015 hingga 17 Maret 2016 yang dapat diunduh dari http://m.kontan.co.id/data/kurs_bi. Terkait dengan data yang digunakan, model hybrid ARIMA (2,2,2) dan ANN (4,1,1) menghasilkan MAPE sebesar 0,2955% dan MAE 39,02916 (dalam rupiah) dalam peramalan nilai tukar dolar AS terhadap rupiah pada 3 hari ke depan.

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ABSTRAKTime series analysis can be used for forecasting since exchange rate. The ARIMA (Autoregressive Integrated Moving Average) is the model usually used. But, all data is not modeling by ARIMA, ARIMA is only modeling for linear data, however the data usually has linear and nonlinear component. The nonlinear modeling can be investigated by ANN (Artificial Neural Network) model. This skripsi discusses the hybrid model of ARIMA-ANN for forecasting exchange rate of USD to Rupiah, where the Moving Average (MA) filter will be applied previously on the data. The MA filter separates the data into two component, that is linear components which has a low volatile and nonlinear component which has a high volatile. The choosen length of MA filter is needed in MA filter processing. The historical data is selling exchange rate of USD to Rupiah, dated from March 31, 2015 to March 17, 2016, which can be downloaded from http://m.kontan.co.id/data/kurs_bi. Based on historical data, the hybrid ARIMA model (2,2,2) and the ANN model (4,1,1) give MAPE 0,2955% and MAE 39,02916 (in Rupiah) for forecasting exchange rate USD to Rupiah for the next 3 days."