NILAI TUKAR RUPIAH :DI TENGAH PUSARAN KRISIS GLOBAL

OLEH :

Dr. Telisa Aulia Falianty

OUTLINE

• Latar Belakang

• Indikator Kerentanan terhadap Krisis

• Hasil-hasil Kajian terkait Nilai Tukar

• Kebijakan yang telah dilakukan

• Opsi Penguatan Kebijakan ke Depan

I.LATAR BELAKANG

II.INDIKATOR KERENTANAN

• Composite Leading Indicator OECD (ResikoGlobal)

• GAMA Leading Economic Indicator (Resiko di Indonesia)

• Indeks Stabilitas Sistem Keuangan

• Penurunan Penjualan Ritel

• Exchange Market Pressure (EMP)

• Resilience Indicator Liliana-Rozas Suarez (Emerging market termasuk Indonesia)

1.CLI OECD

• Kondisi perekonomian global terkini menunjukkan pesimismekarena ada perlambatan baik di negara maju maupunberkembang.

5

Composite Leading Indicator Negara-negara OECD

Sumber : www.oecd.org

2.GAMA LEI

Sumber : http://macroeconomicdashboard.com/gama-leading-economic-indicator-dan-economic-outlook-2015

GAMA LEI menunjukkan adanya penurunan/perlambatanekonomi

3.Indeks Stabilitas Sistem Keuangan BI:Masih di Hijau tapi ada peningkatan resiko

4.Penurunan Penjualan Ritel

5.Exchange Market PressureSemakin Mendekati Treshold

Sumber : Ridho dan Falianty (2015)

6.Resilience Indicator terhadap Krisis((versi Liliana Rojas-Suarez (2015))

• Indonesia masih resiliencedibandingkan negara-negaraEropa Timur, India, Brazil

• Namun resilisiensi semakinmenurun (dari 2007 ke 2014 memburuk), tahun 2007 ranking 4, tahun 2014 ranking 7

• Chili, China, Korea Selatan, Filipina lebih resiliensdibandingkan Indonesia

Komponen Resilience Indicator (versi Liliana Rojas-Suarez (2015))

• 1: current-account balance as a percentage of GDP.• 2: ratio of total external debt to GDP. Both public and

private debts are included.• 3: ratio of short-term external debt to gross international

reserves• 4: ratio of general government fiscal balance to GDP• 5. ratio of government debt to GDP• 6. squared value of the deviation of inflation from its

announced target. (This is important, since it gives an indication of how constrained a central bank is to respond with countercyclical monetary policy.)

• 7: a measure of financial fragility, characterized by the presence of credit booms or busts.

1: current-account balance as a percentage of GDP.

Tahun 2007 Tahun 2014

Posisi Indonesia memburuk

Permasalahan di Current Account

Tingginya/MeningkatnyaImpor Barang Stagnasi Ekspor Barang

0

4,000

8,000

12,000

16,000

20,000

96 98 00 02 04 06 08 10 12 14

EXPORT

2,000

4,000

6,000

8,000

10,000

12,000

14,000

16,000

18,000

96 98 00 02 04 06 08 10 12 14

IMPORT

Sumber : CEIC Database

Permasalahan di Current Account

Struktur Ekspor 1995-1998 Struktur Ekspor 2008-2014

Porsi komoditi primer meningkat dari 49% ke 63%, semakin dominan

Sumber : www.unctad.org

2: ratio of total external debt to GDP. Both public and private debts are included.

• Posisi Indonesia moderat

3: ratio of short-term external debt to gross international reserves

• Posisi di bawah garis 45 derajat menunjukkankerentanan, Indonesia termasuk rentan

4: ratio of general government fiscal balance to GDP

Tahun 2007 Tahun 2014

5. ratio of government debt to GDP

Sumber : Liliana Rojas-Suarez

6. squared value of the deviation of inflation from its announced target

• Deviasi di Indonesia besar dan kondisiIndonesia memburuk

7: a measure of financial fragility, characterized by the presence of credit booms or busts

Tahun 2007 Tahun 2014

Sumber Potensi Krisis :Taper Tantrum

• Fed memberikan ruang tahun ini untukmenaikkan suku bunga pertama kali sejak 2006.

• Dengan kebijakan moneter Amerika yang ketat(tapering) dan bank sentral negara maju lainnyamasih longgar, investor masih dapat returns lebihtinggi dari dollar-denominated assets.

• Akibatnya terjadi capital outflow dan dolarpulang kampung ke Amerika

Optimisme Meskipun Taper Tantrum

• First argument, plenty of corporate borrowers have income as well as liabilities in dollars, meaning that currency mismatches are not a concern. But many of the firms that do have matched debts and revenues are oil or mining firms, which have seen their income in dollars plunge because of falling commodity prices. And that still leaves lots of other firms which are exposed to currency moves. A quarter of China’s corporate debts are dollar-denominated; only 9% of companies’ earnings are. That the yuan has barely depreciated against the dollar, and that China shows little inclination to let it do so, is a comfort. But the peg is not guaranteed to hold; if corporate borrowers have not bothered to hedge, they will be hard hit.

• The second argument is that, as much as borrowers in emerging markets may come under pressure to service their debts, emerging-market exporters will benefit from a falling currency. Unfortunately, things are not so neat. Although most emerging-market firms that borrow in foreign currency do so in dollars, exporters may trade not with America, but with other countries whose currencies are also depreciating against the dollar. Thus the strengthening dollar can add to emerging economies’ debt burden without helping their exports.

• The third source of reassurance is that emerging markets have ample foreign-exchange reserves, which they can use to prop up firms, as Russia and Brazil have done. But countries like South Africa and Turkey have less firepower, and large short-term government debts that will gobble up dollars.

Sumber Potensi Krisis:Strong Dollar

Sumber Kerentanan:Tingginya Kepemilikan Asing pada SUN

Sumber : PPT Gubernur BI, Pertemuan Pengamat, 20 Agustus 2015

Kondisi Perkembangan Cadev

Sumber : SEKI, Bank Indonesia

• CadevIndonesia masih di atas100 miliarUSD, kecualitahun 2013

• Meskipundemikian, belakangancadev kitamulaimenurun lagidi periode2014-2015

• Ini jugamenjadisumberkerentananekonomi kita

Perbandingan Cadev Berbagai Negara

Sumber : Aizenman, Binici, Hutchision (2014)

Posisi Indonesia masih rendah dari sisi rasio cadev/GDP dibandingkannegara emerging market lainnya

Masih Tingginya CDS Indonesiadan Emerging Market lainnya

Sumber: Kajian Stabilitas SistemKeuangan, BI, Maret 2015

Sumber : PPT Gubernur BI, Pertemuan Pengamat, 20 Agustus2015

Sumber Kerentanan dari Perbankan:Ketidakseimbangan Sisi Pembiayaan dan Funding

Sumber : Statistik Perbankan Indonesia, OJK

Kinerja industri perbankan

(Perkembangan 3 tahun terakhir)

29

Perkembangan Return on Asset (ROA)

• ROA masih di atas 1.25 persen atau dengan kata lain masih termasuk kedalamperingkat perolehan laba tinggi. Namun perlu diwaspadai trend nya mengalamipenurunan yaitu 3.6 persen pada Januari 2012 menjadi 2.3 persen di bulan Juni 2015.

• .LDR mulai melambat sejak pertengahan tahun 2014

Perkembangan Loan to Deposit Ratio (LDR)

Sumber : SPI, OJK

Kinerja Industri Perbankan(perkembangan tiga tahun terakhir)

Perkembangan Permodalan Perbankan

• Rasio Modal Inti perbankan terhadap ATMR dan rasio pemenuhan modal minimum mengalami trend peningkatan, namun tahun terakhir melambat.

• Rasio pemenuhan modal minimum (KPMM) lebih tinggi secara marjinal dibandingkan dengan rasio KPMM yang ditetapkan dalam ketentuan (8% < KPMM < 9%).

• Hal ini menunjukan dari indikator pemodalan perbankan Indonesia tidak menunjukan adanya potensikrisis perbankan, namun tetap perlu waspada karena trend melambat

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Ringkasan stress test perbankan

Otoritas Jasa Keuangan• Secara umum daya tahan lebih baik dibanding 1998, namun ada empat

bank kecil yang masuk bank umum kegiatan usaha (BUKU) I akanterpapar dengan pelemahan rupiah

Bank Indonesia• Hasil stress test Bank Indonesia (BI) di SSK menunjukkan sistem keuangan

Indonesia memiliki daya tahan yang kuat dalam menghadapi risiko kredit dan

risiko pasar (suku bunga, nilai tukar dan harga SBN).

Lembaga Penjamin Simpanan

31

Uji stress test dengan menggunakan asumsi yang lebih buruk. Hasilnya, dari sisikualitas industri dan individu perbankan, LPS tidak melihat ada gejala-gejala yang sangat mengkhawatirkan

Penurunan Harga Minyak InternasionalTidak diikuti penurunan harga BBM

secara signifikan

III.HASIL-HASIL KAJIAN TERHADAP NILAI TUKAR

• Hasil Penelitian Falianty (2015)

• Hasil-hasil Penelitian Internasional

1.Hasil Penelitian Falianty (2015)Exchange Rate Effect on Indonesian Export:

The Comparisons of Two Crises Episodes

• This study found positive and significant long run relationship between nominal exchange rate and export. The estimation of full sample shows that the rupiah depreciation could help to boost export, controlling for other factors.

• However the evidence does not hold for after global crisis period. This study also found the change in behavior after the global crisis, where Rupiah depreciation in this period did not help for increasing export.

• Export elasticity to exchange rate tends to be higher in before global crisis period) compared to after global crisis period. It could relate with the decreasing of US production index

• Finally, there are other factors, such as commodity price and trade partners income are increasing in portion and that the speed of adjustment of Indonesian export variables is diminishing after the global crisis.

1.Hasil Penelitian Falianty (2015)Exchange Rate Effect on Indonesian Export:

The Comparisons of Two Crises Episodes

Variable

Alternative 1 (MPI_US) Alternative 2 (MPI_China)

All sample Before crisis After crisis All sample Before crisis After crisis

Constant 0.003[0.777] 0.002[0.488] 0.004[0.524] 0.010[1.213] 0.003[0.575] 0.004[0.499]

d(LNOMINAL_ER) 0.028[0.439] 0.061[1.031] -0.379[-1.11] -0.371[-1.043] 0.046[0.729] -0.447[-1.223]

d(LCOMPRICE) 0.404[4.109]*** 0.491[3.479]*** 0.259[1.649]*0 0.356[2.077]** 0.537[3.622]*** 0.355[2.016]**

d(LMPI_US) 0.216[1.196] 0.256[1.379] 0.580[1.507] - - -

d(LMPI_CHINA) - - - -0.022[-0335] -0.019[-1.494] -0.054[-0.804]

ECTt-1 -0.494[-8.304]*** -0.682[-8.196]*** -0.437[-4.904}*** -0.543[-5.573]*** -0.599[-7.256]*** -0.496[-5.050]***

R2 0.282 0.365 0.275 0.338 0.310 0.299

Adjusted R2 0.269 0.346 0.242 0.306 0.290 0.265

F statistics 22.923 19.821 8.515 10.359 15.533 8.551

Hasil Regresi ECM

In the short term, the change in exchange rate does not significantly influence the change in export, It is applied for all alternative models. Error correction terms in all alternative models are significant at 1%percent significance level and negative. The largest error correction coefficient is in the before crisis alternative 1 model, for 68.2 percent adjustment coefficient. In the short term, the commodity price is the only variable that has a significant impact to export. the only variables that has significant impact to export is only commodity price.

1.Hasil Penelitian Falianty (2015)Exchange Rate Effect on Indonesian Export:

The Comparisons of Two Crises Episodes

Nominal ER Nominal Export

Source : Pacific ER Database Source : CEIC Database

1.Hasil Penelitian Falianty (2015)Exchange Rate Overshooting in Global Turbulence

Forthcoming in International Journal

Dependent Variable: LOG(ER_INA)

Method: Least Squares

Date: 08/23/15 Time: 13:11

Sample (adjusted): 2013M01 2015M05

Included observations: 29 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -1.752468 2.866496 -0.611363 0.5470

LOG(M2_US) -1.082735 0.842395 -1.285306 0.2115

LOG(M2_INA) 1.351688 0.441739 3.059920 0.0055

LOG(P_CPO) 0.127923 0.091915 1.391748 0.1773

LOG(IP_US) -1.340805 0.816524 -1.642088 0.1142

LOG(ER_INA(-1)) 0.673150 0.146105 4.607300 0.0001

R-squared 0.958716 Mean dependent var 9.347995

Adjusted R-squared 0.949742 S.D. dependent var 0.097892

S.E. of regression 0.021946 Akaike info criterion -4.618480

Sum squared resid 0.011077 Schwarz criterion -4.335592

Log likelihood 72.96796 Hannan-Quinn criter. -4.529883

F-statistic 106.8241 Durbin-Watson stat 2.337443

Prob(F-statistic) 0.000000

Kesimpulan : Fenomena ER Overshooting Terbukti

Hubungan Harga BBMdengan Nilai Tukar Rupiah

Dependent Variable: LOG(ER_INA)

Method: Least Squares

Date: 08/27/15 Time: 06:39

Sample (adjusted): 2001M02 2015M05

Included observations: 172 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.313751 0.225773 1.389676 0.1665

LOG(PREMIUM_PRICE) 0.010003 0.005638 1.774237 0.0778

LOG(ER_INA(-1)) 0.957009 0.025919 36.92373 0.0000

R-squared 0.905008 Mean dependent var 9.177905

Adjusted R-squared 0.903884 S.D. dependent var 0.110652

S.E. of regression 0.034305 Akaike info criterion -3.889769

Sum squared resid 0.198884 Schwarz criterion -3.834871

Log likelihood 337.5201 Hannan-Quinn criter. -3.867495

F-statistic 805.0513 Durbin-Watson stat 1.609264

Prob(F-statistic) 0.000000

0

2,000

4,000

6,000

8,000

10,000

12,000

14,000

2002 2004 2006 2008 2010 2012 2014

PREMIUM_PRICE ER_INA

Sejak 2013, comovement positif harga BBM dengan nilai tukar semakin terlihat, but control the other factors (tappering off, subsidy reformation, expectation)

2.Hasil-hasil Penelitian Internasional

• Peningkatan cadangan devisa seringkalidianggap ampuh sebagai antisipasi dalammeredam shocks dari krisis ekonomi ataupunturbulensi ekonomi global yang terjadi (Oliver Jeanne, 2007)

• Komposisi cadev di negara-negaraberkembang didominasi oleh pembelian matauang negara-negara maju seperti SDR,USD, GBP, EUR, JPY (Oliver Jeanne, 2007)

2.Hasil-hasil Penelitian Internasional

• Survey oleh IMF kepada manajer cadev di beberapa negara sampel (Aiden dan Mulder, 2013) menunjukkan bahwa kebanyakan reserve manager tersebut akan mempertimbangkanmemegang proporsi yang lebih tinggi dari asetyang lebih aman.

• Beberapa negara berpenghasilan menengah danrendah mulai berfikir untuk mendiversifikasi asetke reminbi. Kebanyakan negara berpenghasilanrendah LIC memiliki preferensi terhadap investasidi emas untuk melindungi dari risiko.

IV.Kebijakan yang Sudah Dilakukansejak Tahun 2013

Paket Kebijakan Fiskal

Paket Kebijakan Moneter pendalaman pasar valas,

Pengaturan utang korporasi non bank, penggunaan rupiah

Paket Kebijakan OJK

Paket Kebijakan Tahap 1 September 2015, Deregulasi 134 peraturan

Paket Kebijakan Tahap 2 September 2015

Paket Kebijakan BI Tahap 1 dan 2

Paket Kebijakan Tahap 3

Paket Kebijakan Tahap 4

V.OPSI KEBIJAKAN

JANGKA PENDEK

• MANAGING EXPECTATION AND CREDIBILITY

JANGKA MENENGAH-PANJANG

• TRANSFORMASI STRUKTURAL

• SUMBER PERTUMBUHAN EKONOMI BARU

Opsi Kebijakan MenghindariKrisis Nilai Tukar

Menurunkan Inflasi

Konsistensi kebijakan= BBM mengikuti pasar

Harganya turun=> manfaatkan momentum

Perkuat Komunikasi Kebijakan

Menjaga kredibilitas pasar=> perkuat Cadev

Segera melakukan transformasi struktural

Opsi Perkuat Cadev

Optimal

DHE

BCSA

diperluas

Perkuat

Pariwisata

Perkuat

Remitansi

Diversifikasi

(emas danreminbi)

Kesuksesan Filipina (Raslan, 2015)(Dalam Kontan , 22 Agustus 2015)

China bukan negara tujuan utama ekspor

Tidak mengandalkan ekspor komoditasSDA

Didukung Business Process Outsourcing sehingga FDI besar

Remintasi sangat besar (hampir 10% GDP)

Skenario Pertumbuhan 2015-2025

Mc Kinsey, September 2015

Skenario Global 2015-2025

DISKUSI

SEKIAN DAN TERIMAKASIH