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International policy rate changes and Dublin interbank offer rates
Author(s)
Date Issued
2004
Date Available
2009-06-09T15:42:41Z
Abstract
We 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.
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.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP-04-14
Copyright (Published Version)
2004, Centre for Financial Markets
Subjects
Classification
E4
G1
Subject – LCSH
Interest rates
Monetary policy
Interbank market--Ireland
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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Name
WP-04-14.pdf
Size
143.72 KB
Format
Adobe PDF
Checksum (MD5)
461311b6bd49c6dac2cc3c36a99b6b39
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