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Evaluating Changes in the Bank of Spain's Interest Rate Target: An Alternative Approach Using Marked Point Processes

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  • Dolado, Juan J
  • Maria-Dolores, Ramon

Abstract

This paper presents empirical evidence about the determinants of the arrival times and the magnitude of interventions taken by the Bank of Spain during the period of 1984-98 in order to modify its monetary-policy stance. Interventions are captured by changes in the marginal day-to-day interest rate of the Spanish interbank market. We rely upon the theory of marked point processes to estimate: (i) the probability of an intervention at each point in time (events), and (ii) the probability of implementing an intervention of a given magnitude and sign (marks), conditionally on the decision to intervene. Among our main results, we find favourable evidence about the existence of asymmetric responses of the central bank to changes in the evolution of various macroeconomic indicators, and on the presence of "duration" effects in inter-rate adjustments. Copyright 2002 by Blackwell Publishing Ltd

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Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 64 (2002)
Issue (Month): 2 (May)
Pages: 159-82

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Handle: RePEc:bla:obuest:v:64:y:2002:i:2:p:159-82

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  1. Morten O. Ravn & Martín Solà, 1997. "Asymmetric effects of monetary policy in the US: Positive vs. negative or big vs. small?," Economics Working Papers 247, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1997.
  2. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November.
  3. Davutyan, Nurhan & Parke, William R, 1995. "The Operations of the Bank of England, 1890-1908: A Dynamic Probit Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(4), pages 1099-1112, November.
  4. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics.
  5. Fischer, Andreas M & Zurlinden, Mathias, 1998. "Are Interventions Self-Exciting?," CEPR Discussion Papers 1964, C.E.P.R. Discussion Papers.
  6. Eric Schaling, 1999. "The non-linear Phillips curve and inflation forecast targeting," Bank of England working papers 98, Bank of England.
  7. Eichengreen, Barry & Watson, Mark W & Grossman, Richard S, 1985. "Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model," Economic Journal, Royal Economic Society, vol. 95(379), pages 725-45, September.
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Cited by:
  1. "Belderbos, Rene & Ikeuchi, Kenta & Fukao, Kyoji & Kim, Young Gak & Kwon, Hyeog Ug, 2013. "Plant Productivity Dynamics and Private and Public R&D Spillovers: Technological, Geographic and Relational Proximity," CEI Working Paper Series 2013-05, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  2. Greene, William H. & Gillman, Max & Harris, Mark N. & Spencer, Christopher, 2013. "The Tempered Ordered Probit (TOP) Model with an Application to Monetary Policy," CEI Working Paper Series 2013-04, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  3. Brooks, Robert & Harris, Mark & Spencer, Christopher, 2007. "An Inflated Ordered Probit Model of Monetary Policy: Evidence from MPC Voting Data," MPRA Paper 8509, University Library of Munich, Germany.
  4. DOLADO , Juan J. & RODRIGUEZ-POO, Juan & VEREDAS, David, 2004. "Testing weak exogeneity in the exponential family : an application to financial point processes," CORE Discussion Papers 2004049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Grammig, Joachim & Kehrle, Kerstin, 2008. "A new marked point process model for the federal funds rate target: Methodology and forecast evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2370-2396, July.
  6. Igor Kheifets & Carlos Velasco, 2013. "New Goodness-of-fit Diagnostics for Conditional Discrete Response Models," Cowles Foundation Discussion Papers 1924, Cowles Foundation for Research in Economics, Yale University.
  7. Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, vol. 38(C), pages 220-226.

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