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- PublicationForeign shocks and the volatility of the ISEQWe investigate the influence of foreign monetary policy decisions on the volatility of the Irish stock market. Specifically, we examine the influence of US monetary policy announcements on the ISEQ. We find evidence of the so called calm before the storm i.e. there appears to be a decline in volatility on the day prior to an FOMC meeting and a subsequent increase in volatility after the results of such meetings are made known. We also find evidence to suggest that ISEQ volatility is influenced by surprise changes in US monetary policy. Moreover, US monetary surprises appear to affect Irish stock return volatility asymmetrically. In particular, higher than expected US federal funds, tend to increase Irish stock return volatility. This paper represents an important step in addressing the issues of spillover identification between the US and the Irish stock market.
- PublicationInternational policy rate changes and Dublin interbank offer ratesWe investigate the influence of international interest rate changes on the Dublin inter bank money market rates (Dibor). Specifically, we analyse the impact of (un)expected changes in German(Euro) area and US policy rates on various Dibor rates between 1991 to 2002 in an event type study. Our decomposition of (un)expected changes of policy rates are based on future markets and is akin to Kuttner (2000). Overall, our results suggest that Dibor rates respond positively and significantly to unanticipated Euro and US policy rate changes while expected changes have an insignificant impact.