International monetary policy shocks and Irish market rates

Don Bredin, Caroline Gavin and Gerard O'Reilly

Applied Economics Letters, 2004, vol. 11, issue 7, 409-414

Abstract: The influence of international interest rate changes on the Dublin interbank money market rates (Dibor) is investigated. Specifically, the impact of (un)expected changes in German(Euro) area and US policy rates on various Dibor rates between 1991 to 2002 is analysed in an event type study. Decomposition of (un)expected changes of policy rates are based on future markets and is akin to the method of Kuttner. Overall, results suggest that Dibor rates respond positively and significantly to unanticipated Euro and US policy rate changes while expected changes have an insignificant impact.

Date: 2004
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DOI: 10.1080/1350485042000204697

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