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Crisis de credibilidad de la peseta en las bandas del SME. Una aplicación del Modelo de Markov con saltos de régimen

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  • RODRÍGUEZ LÓPEZ, Mª A.

    ()
    (Departamento de Fundamentos del Análisis Económico. Facultad de CC.EE. Universidad de Valladolid.)

Abstract

El análisis de los periodos de turbulencias de la moneda española dentro de la disciplina del Sistema Monetario Europeo es el objetivo de este trabajo. En un momento histórico para Europa, en el que acaba de hacerse efectiva la Unión europea, y cuando algunos países se plantean la incorporación a la misma, para lo que sería preceptiva la permanencia en el SME, parece buen momento para plantearse los determinantes de las turbulencias de una moneda sometida a bandas de fluctuación. En este trabajo, no sólo se consiguen identificar los periodos de tormenta monetaria de la Peseta entre 1989 y 1998, sino que, de alguna manera, se avanza en el conocimiento de algunos de los posibles determinantes de las crisis de la Peseta española. A través del modelo de Markov con saltos de régimen y probabilidades de transición variables intentamos responder a la cuestión de si esas perturbaciones son resultado de variables reales o monetarias o bien se pueden considerar ataques “self-fulfilling” o autorrealizables. The framework of this work is the European Monetary System and the currency crises that the Spanish Peseta suffered during the time it belonged to the ERM. We will try to identify the turbulence periods and we will to provide some explanation to those moments. Our aim is the study of Peseta crises and the contrivance of real and monetary variables. If none of them is significant then we could qualify the attacks as “Self-fulfilling”. A Markov-Switching Regime Model with time varying transition probabilities is the methodology we use.

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Bibliographic Info

Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

Volume (Year): 20 (2002)
Issue (Month): (Diciembre)
Pages: 599-626

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Handle: RePEc:lrk:eeaart:20_3_3

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Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
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Related research

Keywords: Currency Crises; Markov-Switching Regime Model; Time Varying Transition Probabilities.;

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