International Policy Rate Changes and Dublin Interbank Offer Rates

Don Bredin, Caroline Gavin and Gerard O'Reilly
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Caroline Gavin: Central Bank and Financial Services Authority of Ireland

No 8/RT/03, Research Technical Papers from Central Bank of Ireland

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

JEL-codes: E4 G1 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2003-12
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:8/rt/03

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