An Influence Of Global Financial Crisis On Interbank Money Market Rate

Obviously, in recent years many researches are shed light on investigation the several variables of macroeconomic perspective which it might be able to influence on economic system or lead to increased/decrease economic growth. Base on the globalization of financial markets in recent years which it can move money or financial products freely between markets, thus we can see now the financial markets are growth up very rapidly however it seems likely the volatility and risk of markets are increase more and more as well. Besides, as we have seen from the global financial crisis in the last quarter of2007that mainly causes of erosion in financial stability around the world, the impact of global financial crisis also confirms that global economic growth is in deepening recession and it seems likely that impact can lead to the patchy and weak global economic recovery as well. Hence, there is not only financial sector have to pay greater attention on the recent global financial crisis but also every sector of economic system, in which they should set up mechanism and find the appropriate way for making economic system to going up with stability and soundness.Our research is comprehensive in nature in that we make an important contribution to take a look at the Thailand’s interbank money market rates such BIBOR by analyzing how the Singapore Interbank Offered Rate (SIBOR), London Interbank Offered Rate (LIBOR), AEC exchange rates, and stock indexes are set in the Bangkok Interbank Offered Rate (BIBOR) and what can be concluded concerning a reaction to changes in the BIBOR. In this research, we adopt the efficient market hypothesis (EMH) and systematic risk theory to support our idea that we capture to study the correlation between variables. To gauge the correlation between dependent and independent variables, we combine a secondary data (time series data) from the Bank of Thailand, Stock Exchange of Thailand, and internet, which cover the global financial crisis timeline that running from January2006to December2011. Methodologically, this research uses the multiple linear regressions to be our model and we perform our test whereby an econometric test which consist of cointegration test, granger causality analysis, variance decomposition analysis, and impulse response function analysis.Over the whole sample period, the empirical results from this research we can classify into three parts are as follows:First, we have found both of SIBOR and LIBOR in some tenor have a negative correlation on BIBOR. Moreover, some evidence from the cointegration test and impulse response analysis that suggested the SIBOR has more impact on BIBOR than the LIBOR in tenor3months,6months, and9months. Conversely, the LIBOR has more impact on BIBOR than the SIBOR in tenor lweek,1months, and2months. Second, in part of AEC’s exchange rates changes on the BIBOR, our empirical results from the variance decomposition and impulse response tests indicate that there are two exchange rates of AEC’ member countries which consist of Indonesian Rupiah (IDR) and Philippine Peso (PHP) can be explained the correlation on the BIBOR better than the others. Besides, we also found the degree of correlation in exchange rates varies direction with the tenor of BIBOR and almost every currency of the AEC’s exchange rates has positive correlation on BIBOR, except the PHP. Third, for study the impact of stock indexes on BIBOR, the results from econometric test such the variance decomposition analysis and impulse response analysis can suggested us that there are three important stock indexes namely DJIA, FTSE100, and ASX which lead up to the BIBOR changes.In addition, another interesting feature found in this part is come from the Granger causality analysis that the results have shown us the DJIA, NASDAQ, NIKKEI225, FTSE100, TSX, SSE, BOVESPA, ASX, and DAX were causality on the BIBOR changes over the sample period, except the HSI.In a finding of our econometric test as mentioned above, an important contribution to knowledge from this research will be extending knowledge and get a clear understanding to everybody who interested in interbank money market, BIBOR, SIBOR, LIBOR, AEC’s exchange rates, and stock indexes, in which for an objective to learn from the experience of the global financial crisis on the interbank money market rate and to manage the risk that might be an uncertainty of their life. Similarly, the empirical results in this research will serve as a base-case for future research on the analysis of BIBOR changes that might be affected by the other factors in economic system.