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Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario español

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  • José Luis Fernández-Serrano

    (Universidad Europea de Madrid)

  • M. Dolores Robles Fernández

    ()
    (Universidad Complutense de Madrid)

Abstract

En este trabajo analizamos el comportamiento dinámico del tipo de interés a un mes del mercado interbancario español entre 1987 y 2001. Se utiliza un proceso de difusión tipo raíz cuadrada que permite que el tipo cambie dependiendo del estado de la economía. El cambio entre regímenes es dirigido por un proceso de Markov de primer orden con probabilidades de transición dependientes del estado. Encontramos dos regímenes claramente diferenciados que podemos relacionar con fenómenos de índole monetario y con el proceso de integración europea. Hay periodos en los que el tipo de interés es extremadamente alto y volátil, y otros caracterizados por tipos de interés bajos poco volátiles que se comportan claramente como un paseo aleatorio. (Copyright: Fundación SEPI)

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Bibliographic Info

Article provided by Fundación SEPI in its journal Investigaciones Económicas.

Volume (Year): 28 (2004)
Issue (Month): 2 (May)
Pages: 349-376

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Handle: RePEc:iec:inveco:v:28:y:2004:i:2:p:349-376

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Related research

Keywords: Proceso de Markov; tipo de interés a corto plazo; proceso de difusión.;

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References

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