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"As the result of global financial liberalization there is a tendency for increasing number of portfolio INVESTMENT which in turn dominates the domestic financial market. This study aims to elaborate the effect of shortterm portfolio investment flows to the exchange rate. Using the method of Vector Auto Regressive (VAR), this study employs quarterly data from 1997 to 2007.The result shows that both real and nominal exchange rates are affected by the short-term portfolio investment flows dominantly. In particular the short-term portfolio investment inflows strengthen the local currency. Secondly, in other direction short-term portfolio investment flows also affected by both real and nominal exchange rate. Thirdly, the impact of shortterm portfolio investment flows to change of nominal exchange rate is temporarily due to adjustment toward equilibrium, but not for real exchange rate."

"Akibat pengaruh liberalisasi keuangan di dunia, dalam eberapa tahun terakhir ini aliran modal portfolio mulai mendominasi pasar uang dan pasar saham di Indonesia. Penulisan skripsi ini bertujuan untuk melihat pengaruh dari aliran modal portfolio yang bersifat jangka pendek tersebut terhadap pergerakan ni tukar Rupiah. Dengan menggunakan data triwulanan kuartal 3 tahun 1997 hingga kuartal 3 tahun 2007, penelitian ini selanjutnya di uji menggunakan metode (VAR). Dari hasil uji yang diperoleh maka dapat disimpulkan bahwa 1) baik nilai tukar riil maupun nominal dipengaruhi oleh aliran modal portfolio secara dominan 2) pergerakan aliran modal portfolio mempengaruhi fluktuasi nilai tukar Rupiah, baik riil maupun nominal 3) aliran modal portfolio masuk mendorong apresiasi nilai tukar piah 4) Dampak peningkatan aliran modal portfolio terhadap perubahan nilai tukar ominal berlangsung sementara karena kembali ke keseimbangan, namun respon nilai tuk r riil tidak kembali kepada keseimbangan."

"AbstractThe stable fluctuation of Rp against the US$ during the free floating exchange rate regime in 2002-2007 raises the existence of fear of floating exchange rate phenomenon in Indonesia. The GARCH method is use to verify this phenomenon. Moreover, Time Varying Parameter and Error Correction Mechanism method shows the economic reason behind the Monetary Authoritys response in stabilizing rupiah. Depreciation and increasing volatility of Rupiah raises ination and bank Non-Performing Loans, while appreciation and increasing volatility of Rupiah, reduce the net export. Furthermore, Vector Autoregressive confirms the Monetary Authority respond to exchange rate shock through the interest rate policy for four months and through the foreign reserves policy for two months."

"Terjadinya krisis di tahun 1997 memaksa bank sentral untuk melepaskan rezim nilai tukar tetap dan mengubahnya menjadi rezim nilai tukar mengambang. Perubahan tersebut menyebabkan timbulnya resiko nilai tukar di dalam perekonomian, sehingga meningkatkan resiko kegiatan usaha.Perubahan nilai tukar akan mempengaruhi kondisi neraca perbankan dan perusahaan, yang akhirnya berpengaruh pula pada keputusan pemberian kredit. Di lain pihak, perubahan kondisi neraca ditambah dengan selisih berbagai alternatif biaya pendanaan, akan berpengaruh pada keputusan pengajuan permohonan kredit perusahaan.Penelitian ini kemudian akan berusaha untuk melihat, pertama, pengaruh depresiasi nilai tukar terhadap penurunan aliran kredit; kedua, pengaruh kebijakan moneter ketat terhadap penurunan permintaan kredit dan atau peningkatan penawaran kredit; ketiga, pengaruh depresiasi nilai tukar pada efektivitas mekanisme transmisi kebijakan moneter melalui jalur kredit perbankan dan jalur kredit luas.Dengan dekomposisi varians dan IFF metode VAR, ditemukan bahwa, pertama, depresiasi nilai tukar menurunkan aliran kredit. Kedua, kebijakan moneter ketat direspon lebih cepat oleh penurunan permintaan kredit dibandingkan peningkatan penawaran kredit. Ketiga, perubahan nilai tukar dan kurang responsifnya penawaran kredit terhadap kebijakan moneter, menyebabkan mekanisme transmisi kebijakan moneter melalui jalur kredit perbankan tidak efektf. Keempat, dengan responsifnya permintaan kredit terhadap perubahan kebijakan moneter menyebabkan efektifnya jalur kredit luas."

"It is interesting to pay attention on exchage rate phenomenon. The movement of exchange rate has fret up space for the expanded model and their new variety based on theoretical and methodological issues.We apply the zone target model to explain the exchange rate movement in Indonesia during 1989-2002 in monthly basis data. We put special attention to the expectation process of the agent by confronting adaptive and rational expectation and also internalize the risk factor into the model.We found that rational expectation fit and much more be able to explain the exchange rate movement, risk averse agent and massive outflow of capital during the crisis in Indonesia. We test the robustness of our model by applying to VAR model, and the same result is conformed. This VAR specification also support the contagion effect hypothesis during the cirisis 1998."

"The study examines saving behavior in ASEAN 5+3 namely Indonesia, Malaysia, Singapore, Thailand, Philippines, Japan, Cina, and Korea during 1991-2007 and its implication toward global imbalances. By using fixed effect panel data regression, this research shows that government spending, interest rate and inflation, financial development through private domestic credit and stock market capitalization along with the 1997 Asian crisis significantly affect the saving behavior. As a result, a macroeconomic stability through interest rate and inflation, the reinforcement of financial development and crisis anticipation policy are required to support global rebalancing through global saving redistribution.

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Studi ini membahas perilaku tabungan negara-negara ASEAN 5+3, yaitu Indonesia, Malaysia, Singapura, Thailand, Filipina, Jepang, Cina, dan Korea, dan implikasinya terhadap ketidakseimbangan global. Dengan menggunakan regresi data panel fixed effect, kajian ini menunjukkan bahwa indikator skal belanja pemerintah, indikator makroekonomi suku bunga dan inflasi, indikator perkembangan berupa finansial kredit domestik swasta dan kapitalisasi pasar saham serta krisis Asia 1997 secara signifikan memengaruhi perilaku tabungan. Implikasinya adalah stabilitas makroekonomi melalui inflasi dan suku bunga serta pengembangan pasar finansial dan kebijakan antisipasi krisis diperlukan untuk mendorong penyeimbangan global kembali melalui redistribusi tabungan dunia."

"There are several factors influencing the financial system stability, namely the internal and the external factors. The occurrence of stock price volatility internationally, the contagion effects and the spillover effects are some external factors that have effect on the financial system stability. This research aims to know the dynamic relationship of regional and global stocks market in international financial system, and then do the analysis of the occurrence of contagion effects and spillover effects on stock price, and see their influence on domestic economics, monetary policy and financial system stability, by GARCH-VAR model.The results of this research indicate that there are some domination of the mature financial market to regional and domestic market. Moreover, the nearby regional stock price index also have a big contribution to the movement of other regional stock price market. The impact of stock price volatility to the IDR exchange rates volatility is relatively small, but not to the price level which is significantly large. Data analysis shows that there is contagion effects in stock market, but the spillover effect from stock price volatility to exchange rates volatility does not occur."

"The relationship between exchange rate volatility and export performance has been scrutinized by many economists since Bretton Wood System collapsed in 1971. Although most of the results show that there is a negative relationship between exchange rate volatility and export performance, we also find that some studies show a positive one. This study used some Indonesian group of commodities data to find the relationship between exchange rate volatility and export performance.While General Autoregressive Conditional Heteroscedasticity (GARCH) was used to calculate exchange rate volatility, this study used Pesharan & Shin ARDL cointegration test in order to find long run relationship between export performance and exchange rate volatility. Only 2 out of 7 equations tested show a long run relationship between exchange rate volatility an export performance and the signs are positive."

"AbstractThis study is conducted to develop a model that can be used to estimate the VAT revenue potential, tax gaps, and the impact of policy changes using the Input-Output Table. The amount of VAT revenue projection generated by this model is close to the VAT revenue realisation. The result of this study shows that the VAT compliance rate is only around 53%. Improving VAT compliance rate would generate a higher impact on VAT revenue as compared with raising the VAT rate. On the other hand, removing all VAT exemptions, besides increasing the administrative burden, it could also reduce VAT revenue from certain economic sectors, even though it will reduce economic distortions and avoid the need for special VAT treatment.AbstrakStudi ini dimaksudkan untuk menyusun sebuah model yang dapat digunakan dalam penghitungan potensi dan kesenjangan penerimaan (tax gap) PPN, dan mengestimasi dampak perubahan kebijakan terhadap penerimaan PPN dengan menggunakan Tabel Input-Output (Tabel I-O). Model ini menghasilkan estimasi penerimaan PPN untuk tahun 2013 yang mendekati nilai realisasi penerimaan aktual. Hasil studi menunjukkan tingkat kepatuhan pemenuhan kewajiban PPN di Indonesia hanya sekitar 53%. Peningkatan kepatuhan akan memberikan dampak yang lebih tinggi terhadap penerimaan dibandingkan menaikkan tarif PPN. Sebaliknya, penghapusan seluruh fasilitas PPN (Dibebaskan PPN, Tidak Dipungut PPN, dan PPN Tidak Dikenakan), selain dapat meningkatkan beban administrasi, untuk sektor tertentu justru dapat menurunkan penerimaan PPN, walaupun hal ini akan mengurangi distorsi ekonomi dan menghindari kebutuhan akan perlakuan khusus."