International policy rate changes and Dublin interbank offer rates

Donal Bredin, Caroline Gavin and Gerard O'Reilly

Centre for Financial Markets Working Papers from Research Repository, University College Dublin

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.

Keywords: Monetary policy; Interest rates; Interest rates; Monetary policy; Interbank market--Ireland (search for similar items in EconPapers)
JEL-codes: E4 G1 (search for similar items in EconPapers)
Date: 2004
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http://hdl.handle.net/10197/1163 First version, 2004 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:rru:cfmwps:10197/1163

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