INTEGRASI KETERKAITAN SUKU BUNGA DEPOSITO MAUPUN SUKU BUNGA KREDIT PADA PERBANKAN ASEAN 5, US, INGGRIS, DAN CHINA DENGAN METODE VAR PADA PERIODE 2005-2014

Abstract

By Having the established of financial integration, made possible interaction between interest rates policy of the interbank money market, making more competitive financial markets to getting consumer, and considering of the integration, concerns over systemic risk (failure the market participants in the financial system are influential and followed by others market) is a challenge for every Countries to do the protection. This study aimed to observe the relationship between the interest rates of the interbank money market (deposit rates and also credit rates) of each Country. Aiming to analyze the relationship between deposits and also credits rates each Country, the response of deposits and also credits rates each Country, and the impact of shock changes in deposits and also credit rates each Country. The population of this study are the deposit interest rates and also credit interest rates of each Country from ASEAN5, China, UK, and US. Samples were taken by using purposive sampling method. This study uses Vector Auto Regression (VAR) method using eview8 software. The method analysis are Granger Test, Impulse Response Function (IRF), and Variance Decomposition (VD). The Results relationship of deposit rates from Granger Test showed a significant relations between some Countries, one of which Singapore has a two-way influence on the US, China, and England. IRF shows reaction of shock from deposits rates primarily changes in the second period, generally. VD showed the presence of a relatively large and small impact of shocks received by each Country. The Results relationship of credit rates from Granger Test showed the least significant relations between Countries, only the UK who received a lot of influence. IRF shows the reaction of shock in credit rates, especially starting in the first period until the tenth period. VD shows the impact of shocks received by each country, especially in the second period. These results indirectly indicate the existence of financial integration in ASEAN5, China, UK, and US.