International Policy Rate Changes and Dublin Interbank Offer Rates
AbstractWe 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
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Bibliographic InfoPaper provided by Central Bank of Ireland in its series Research Technical Papers with number 8/RT/03.
Length: 15 pages
Date of creation: Dec 2003
Date of revision:
Find related papers by JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
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