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The Influence of Domestic and International Interest Rates on the ISEQ

Author

Listed:
  • Bredin, Don

    (University College Dublin)

  • Gavin, Caroline

    (Central Bank and Financial Services Authority of Ireland)

  • O'Reilly, Gerard

    (Central Bank and Financial Services Authority of Ireland)

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.

Suggested Citation

  • Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003. "The Influence of Domestic and International Interest Rates on the ISEQ," Research Technical Papers 9/RT/03, Central Bank of Ireland.
    • Handle: RePEc:cbi:wpaper:9/rt/03
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    References listed on IDEAS

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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. Hussain, Syed Mujahid, 2010. "Simultaneous monetary policy announcements and international stock markets response: an intraday analysis," Bank of Finland Research Discussion Papers 8/2010, Bank of Finland.
    3. Hussain, Syed Mujahid, 2010. "Simultaneous monetary policy announcements and international stock markets response: an intraday analysis," Research Discussion Papers 8/2010, Bank of Finland.
    4. Massimo Guidolin & Stuart Hyde, 2009. "What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 19(6), pages 463-488.
    5. 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.
    6. 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.
    7. repec:zbw:bofrdp:2010_008 is not listed on IDEAS

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    More about this item

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • G1 - Financial Economics - - General Financial Markets

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