International policy rate changes and Dublin interbank offer rates

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Title: International policy rate changes and Dublin interbank offer rates
Authors: Bredin, Donal
Gavin, Caroline
O'Reilly, Gerard
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Date: 2004
Online since: 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.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-04-14
Copyright (published version): 2004, Centre for Financial Markets
Keywords: Monetary policyInterest rates
Subject LCSH: Interest rates
Monetary policy
Interbank market--Ireland
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Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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