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International monetary policy shocks and Irish market rates

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  • Don Bredin
  • Caroline Gavin
  • Gerard O'Reilly

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.

Suggested Citation

  • Don Bredin & Caroline Gavin & Gerard O'Reilly, 2004. "International monetary policy shocks and Irish market rates," Applied Economics Letters, Taylor & Francis Journals, vol. 11(7), pages 409-414.
    • Handle: RePEc:taf:apeclt:v:11:y:2004:i:7:p:409-414
    DOI: 10.1080/1350485042000204697
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    References listed on IDEAS

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    1. Stephan Klasen & Claudia Wink, 2002. "A Turning Point in Gender Bias in Mortality? An Update on the Number of Missing Women," Population and Development Review, The Population Council, Inc., vol. 28(2), pages 285-312, June.
    2. Agnihotri, Satish & Palmer-Jones, Richard & Parikh, Ashok, 2002. "Missing women in Indian districts: a quantitative analysis," Structural Change and Economic Dynamics, Elsevier, vol. 13(3), pages 285-314, September.
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    Cited by:

    1. Xinsheng Lu & Ying Zhou & Mingting Kou, 2013. "The Impact of Monetary Policy Surprises on Australian Financial Futures Markets," Working Papers 2013-01, Auckland University of Technology, Department of Economics.
    2. Xinsheng Lu & Ling Qu & Ying Zhou, 2015. "The Impact of Monetary Surprises on Australian Financial Futures Markets: An Insight into Cash Rate Target Announcements," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 151-166, September.
    3. Berument Hakan & Ceylan Nildag Basak, 2008. "US Monetary Policy Surprises and Foreign Interest Rates: Evidence from a Set of MENA Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 117-133, April.

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