Interbank overnight lending rate pass-through Bangkok Interbank Offered Rate (BIBOR) during the period of financial crisis: In case of Thailand’s Interbank Market (2005 to 2011)
Author(s)
Gongkhonkwa Rujira , Wang Zongjun ,
Download Full PDF Pages: 55-67 | Views: 489 | Downloads: 104 | DOI: 10.5281/zenodo.3405741
Abstract
A global financial crisis was happened began from the end of 2007 till nowadays which that crisis was affected to the other market around the world. Hence this paper focus on the Interbank overnight lending rate and Bangkok Interbank Offered Rate (BIBOR) behavior, a long-run relationship, and pass-through between the financial turmoil and BIBOR in case of Thailand Interbank market that cover the sample period from January 2005 to December 2011. This study findings, firstly the Interbank overnight lending and BIBOR spreads are highest in period B than period A, and period C, however we also find the Interbank overnight lending spread’s variance grew due to in May 2007 to August 2009 (during the crisis period). In addition the response of Interbank overnight lending spread to BIBOR for a long-term BIBOR spread has a variance less than a short-term BIBOR and the changes in a short-term relation are stronger for Interbank overnight lending rate, BIBOR 1w, BIBOR 1m, BIBOR 2m, and BIBOR 3m more than BIBOR 6m, BIBOR 9m, and BIBOR 1y, however they have a long-run relationship to each other.
Keywords
Interbank Overnight Lending Rate, Bangkok Interbank Offered Rate (BIBOR), Interbank Spread Rate
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