The Effect of Changes in Official U.K. Rates on Market Interest Rates since 1987

Dale Spencer

The Manchester School of Economic & Social Studies, 1993, vol. 61, issue 0, 76-94

Abstract: It is widely accepted that a central bank, such as the Bank of England, has the ability to control short-term interest rates. Moreover, a number of studies have documented the very close relationship between bank-administered rates and their market analogues. What has not been investigated, however, is the influence of official rates--stemming from the markets' expectations about the future path of short rates--over interest rates more generally. This influence is analyzed by considering the response of market interest rates to the thirty policy changes, as signaled by movements in official U.K. rates, since 1987. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:bla:manch2:v:61:y:1993:i:0:p:76-94

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