International policy rate changes and Dublin interbank offer rates
|Title:||International policy rate changes and Dublin interbank offer rates||Authors:||Bredin, Donal
|Permanent link:||http://hdl.handle.net/10197/1163||Date:||2004||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||Copyright (published version):||2004, Centre for Financial Markets||Keywords:||Monetary policy;Interest rates||Subject LCSH:||Interest rates
|Language:||en||Status of Item:||Not peer reviewed|
|Appears in Collections:||Centre for Financial Markets Working Papers|
Show full item record
Page view(s) 5266
This item is available under the Attribution-NonCommercial-NoDerivs 3.0 Ireland. No item may be reproduced for commercial purposes. For other possible restrictions on use please refer to the publisher's URL where this is made available, or to notes contained in the item itself. Other terms may apply.