REAKSI PASAR VALUTA ASING TERHADAP PENGUMUMAN KEBIJAKAN MONETER BANK INDONESIA

Abstrak

Penelitian ini bertujuan untuk menganalisis reaksi pasar valuta asing terhadap pengumuman kebijakan moneter Bank Indonesia yang diukur melalui abnormal return pada nilai tukar Dolar Amerika Serikat terhadap Rupiah (USD/IDR). Pengumuman kebijakan moneter, khususnya keputusan suku bunga acuan Bank Indonesia, merupakan informasi penting yang dapat memengaruhi ekspektasi investor dan perilaku pelaku pasar valuta asing. Berdasarkan Teori Sinyal (Signaling Theory) dan Hipotesis Pasar Efisien (Efficient Market Hypothesis), informasi yang dipublikasikan oleh Bank Indonesia diperkirakan akan segera direspons oleh pasar sehingga tercermin pada perubahan nilai tukar. Penelitian ini menggunakan pendekatan kuantitatif dengan metode Event Study untuk menguji reaksi pasar di sekitar tanggal pengumuman kebijakan moneter. Data yang digunakan merupakan data sekunder berupa nilai tukar harian USD/IDR dan data pengumuman hasil Rapat Dewan Gubernur Bank Indonesia periode Januari 2023 hingga Desember 2025. Periode pengamatan (event window) ditetapkan selama tujuh hari, yaitu tiga hari sebelum pengumuman, hari pengumuman, dan tiga hari sesudah pengumuman. Reaksi pasar diukur menggunakan abnormal return yang kemudian dianalisis melalui uji statistik untuk mengetahui signifikansi reaksi pasar serta perbedaan abnormal return sebelum dan sesudah pengumuman kebijakan moneter. Hasil penelitian diharapkan dapat memberikan kontribusi bagi pengembangan kajian mengenai efisiensi pasar valuta asing serta menjadi referensi bagi investor dan pembuat kebijakan dalam memahami dampak informasi kebijakan moneter terhadap dinamika nilai tukar.

This study aims to analyze the foreign exchange market reaction to Bank Indonesia's monetary policy announcements as measured by the abnormal return of the United States Dollar to Indonesian Rupiah (USD/IDR) exchange rate. Monetary policy announcements, particularly decisions regarding Bank Indonesia's policy interest rate, represent important information that may influence investor expectations and foreign exchange market behavior. Based on Signaling Theory and the Efficient Market Hypothesis, publicly announced monetary policy information is expected to be rapidly incorporated into market prices, resulting in changes in exchange rates. This study employs a quantitative approach using the Event Study method to examine market reactions surrounding monetary policy announcement dates. The study utilizes secondary data consisting of daily USD/IDR exchange rates and monetary policy announcement data from Bank Indonesia's Board of Governors Meetings during the period of January 2023 to December 2025. The event window covers seven trading days, consisting of three days before the announcement, the announcement day, and three days after the announcement. Market reactions are measured using abnormal returns, which are subsequently analyzed through statistical tests to determine the significance of market reactions and the differences in abnormal returns before and after the monetary policy announcements. The findings of this study are expected to contribute to the literature on foreign exchange market efficiency and provide useful insights for investors and policymakers in understanding the impact of monetary policy information on exchange rate dynamics.