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The Influence of Domestic and International Interest Rates on the ISEQ

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  • Don Bredin

    (University College Dublin)

  • Caroline Gavin

    (CBFSAI)

  • Gerard O Reilly

    (CBFSAI)

Abstract

We investigate the influence of international and domestic monetary policy shocks on the Irish stock market. Specifically, we analyse the impact of (un)expected changes in domestic, US, UK and German/euro area policy rates on the ISEQ between 1988 to 2002 in an event type study. Our decomposition of (un)expected changes in policy rates are based on futures markets and is akin to Kuttner (2001). In the absence of an Irish interest rate futures market, we use a more indirect method by appealing to the expectations theory of the term structure of interest rates. Overall, our results suggest that, with the exception of the US, unanticipated changes in domestic and international interest rates appear to have little significant influence on the Irish stock market.

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Bibliographic Info

Article provided by Economic and Social Studies in its journal Economic and Social Review.

Volume (Year): 34 (2003)
Issue (Month): 3 ()
Pages: 249–265

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Handle: RePEc:eso:journl:v:34:y:2003:i:3:p:249-265

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  9. Bredin, Don & Cuthbertson, Keith, 2000. "The Expectations Hypothesis of the Term Structure: The Case of Ireland," Research Technical Papers 1/RT/00, Central Bank of Ireland.
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Cited by:
  1. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  2. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis.
  3. Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.
  4. Bredin, Don & Gavin, Caroline & O Reilly, Gerard, 2004. "US Monetary Announcements and Irish Stockmarket Volatility," Research Technical Papers 10/RT/04, Central Bank of Ireland.

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