#TITLE_ALTERNATIVE#

• Main Author: KRISNAMURTI YOGO SRI WALUYO (Nim : 101 06 035); Pembimbing Tugas Akhir: Dr. M. Syamsuddin, DHANI
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/15370
• Institution: Institut Teknologi Bandung

In this final project presented the process of forming a balance that occurs in financial markets. The model used are the uncovered interest parity and covered interest parity. Both of this models describe the balance that occurs in the foreign exchange market are in&#135;uenced by domestic interest rates, interest rates abroad, spot exchange rates and future exchange rates. Issues discussed in this final project is to test the theoretical model when applied in real conditions, if the future exchange rates is a good predictor for the expected value of spot exchange rates. To determine the expected value of spot exchange rates, calculations using the prevailing theory on the forward rate unbiasedness. Ex-pected value of spot exchange rates is calculated by using genetic algorithms as the parameters incorporated into the Kalman Filter algorithm with the help of Matlab 7.0. This study uses regression models to market-based forecasting methods. Variables used in this study are spot exchange rates, one-month forward exchange rates and future exchange rates. Furthermore, we will find the relationship between the forward exchange rates with the expected value of spot exchange rates using the rationality test of forward exchange rates as spot exchange rates forecasts. Results obtained from this test is the forward exchange rates is not a better predictor for the expected value of spot exchange <br /> <br /> <br /> rates.