International Policy Rate Changes and Dublin Interbank Offer Rates
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
|Date of creation:||Dec 2003|
|Date of revision:|
|Contact details of provider:|| Postal: P.O. Box No. 559, Dame Street, Dublin 2|
Phone: (01) 671 6666
Fax: (01) 671 6561
Web page: http://www.centralbank.ie
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael Ehrmann & Marcel Fratzscher, 2003.
"Interdependence between the Euro area and the U.S.: what role for EMU?,"
Board of Governors of the Federal Reserve System (U.S.).
- Ehrmann, Michael & Fratzscher, Marcel, 2002. "Interdependence between the euro area and the US: what role for EMU?," Working Paper Series 0200, European Central Bank.
- Kenneth N. Kuttner, 2000.
"Monetary policy surprises and interest rates: evidence from the Fed funds futures markets,"
99, Federal Reserve Bank of New York.
- Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
- Rudebusch, Glenn D, 1998.
"Do Measures of Monetary Policy in a VAR Make Sense?,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 907-31, November.
- Glenn D. Rudebusch, 1996. "Do measures of monetary policy in a VAR make sense?," Working Papers in Applied Economic Theory 96-05, Federal Reserve Bank of San Francisco.
- Rudebusch, G.D., 1996. "Do Measures of Monetary Policy in a VAR Make Sense?," Papers 269, Banca Italia - Servizio di Studi.
- Monika Piazzesi, 2002.
"The Fed and Interest Rates - A High-Frequency Identification,"
American Economic Review,
American Economic Association, vol. 92(2), pages 90-95, May.
- John H. Cochrane & Monika Piazzesi, 2002. "The Fed and Interest Rates: A High-Frequency Identification," NBER Working Papers 8839, National Bureau of Economic Research, Inc.
- William Poole & Robert H. Rasche, 2000.
"Perfecting the market's knowledge of monetary policy,"
2000-010, Federal Reserve Bank of St. Louis.
- William Poole & Robert Rasche, 2000. "Perfecting the Market's Knowledge of Monetary Policy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 255-298, December.
- V. Vance Roley & Gordon H. Sellon, 1995. "Monetary policy actions and long-term interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 73-89.
- Cook, Timothy & Hahn, Thomas, 1989. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 331-351, November.
When requesting a correction, please mention this item's handle: RePEc:cbi:wpaper:8/rt/03. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Smith)
If references are entirely missing, you can add them using this form.