International policy rate changes and Dublin interbank offer rates

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dc.contributor.author Bredin, Donal
dc.contributor.author Gavin, Caroline
dc.contributor.author O'Reilly, Gerard
dc.date.accessioned 2009-06-09T15:42:41Z
dc.date.available 2009-06-09T15:42:41Z
dc.date.copyright 2004, Centre for Financial Markets en
dc.date.issued 2004
dc.identifier.uri http://hdl.handle.net/10197/1163
dc.description.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. en
dc.format.extent 147174 bytes
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher University College Dublin. School of Business. Centre for Financial Markets en
dc.relation.ispartofseries Centre for Financial Markets working paper series en
dc.relation.ispartofseries WP-04-14 en
dc.subject Monetary policy en
dc.subject Interest rates en
dc.subject.classification E4 en
dc.subject.classification G1 en
dc.subject.lcsh Interest rates en
dc.subject.lcsh Monetary policy en
dc.subject.lcsh Interbank market--Ireland en
dc.title International policy rate changes and Dublin interbank offer rates en
dc.type Working Paper en
dc.internal.availability Full text available en
dc.internal.webversions Publisher's version en
dc.internal.webversions http://www.ucd.ie/bankingfinance/docs/wp/BREDIN4.pdf en
dc.status Not peer reviewed en
dc.neeo.contributor Bredin|Donal|aut|
dc.neeo.contributor Gavin|Caroline|aut|
dc.neeo.contributor O'Reilly|Gerard|aut|


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