Analisis Penerapan Akuntansi pada Instrumen Lindung Nilai Berdasarkan PSAK 71 dalam Meminimalisir Risiko Eksposur Transaksi

Firda Aftiani Azizatul  Muna; Nur Sayidatul Muntiah; Nurul Hidayah

doi:10.33395/owner.v10i4.3677

Authors

Firda Aftiani Azizatul Muna
✉ Corresponding author: firdaftiani@gmail.com Universitas Muhammadiyah Ponorogo
Nur Sayidatul Muntiah
Nurul Hidayah

DOI:

https://doi.org/10.33395/owner.v10i4.3677

Keywords:

Risk management, Hedge effectiveness, Hedge accounting, PSAK 71.

Abstract

This study aims to compare the effectiveness of three hedging techniques : forward contract hedging, money market hedging, and currency option hedging and to evaluate their eligibility for hedge accounting under PSAK 71 based on three qualifying criteria: economic relationship, credit risk effect, and hedge ratio, in mitigating transaction exposure risk arising from import liabilities. The study employs a quantitative approach using secondary data from annual reports of metals and minerals subsector companies listed on the Indonesia Stock Exchange (IDX) during 2020–2024. The sample comprises an unbalanced panel of 39 firm-year observations from eight companies. Data were analyzed using the Dollar Offset Method to assess compensation levels and Ordinary Least Squares (OLS) regression, supported by classical assumption tests. The findings indicate that all three hedging techniques effectively mitigate transaction exposure risk, although with different compensation profiles. Forward contract hedging and currency option hedging satisfy the classical assumption tests, whereas money market hedging exhibits mild heteroscedasticity that likely reflects differences in transaction scale and interest rate differentials across sample companies. The Dollar Offset Method confirms that the compensation levels of all three techniques are consistent with the principle-based approach of PSAK 71, which replaces the 80%–125% quantitative threshold under PSAK 55. Furthermore, the evaluation demonstrates that all three hedging techniques satisfy the qualifying criteria for hedge accounting under PSAK 71, with forward contract hedging and currency option hedging exhibiting the most precise economic relationship and hedge ratio, while money market hedging requires more comprehensive documentation of hedge ineffectiveness and periodic rebalancing to maintain hedge ratio consistency. These findings provide empirical support for the adoption of hedge accounting under PSAK 71 by Indonesian mining companies to enhance financial reporting stability and better reflect corporate risk management activities.

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