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El proceso de transmisión de la política monetaria a la estructura temporal de los tipos de interés en España

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  • Paz Rico Belda

    (Universitat de València)

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    Abstract

    This paper analyses the adjustment grade and speed of interest rates term structure in Spain to changes in official interest rateo For this purpose, we specify and estimate an error-correction model, which considers the anticipation of future policy monetary and this allows obtaining an efficient estimator ofthe long-run relation. Moreover, we consider the possibility of asymmetry in the adjustment process to the equilibrium. The results indicate that interest rates anticipate monetary policy actions. Furthermore, monetary policy is transmitted quickly and completely to the short-term interest rates, while transmission is not complete in long-term interest rates but his speed has increased since 1999. Finally, there is no evidence of asymmetry in the adjustment process to equilibrium. Este trabajo analiza el grado y velocidad de respuesta de la estructura temporal de los tipos de interés en España a variaciones del tipo de interés oficial. Para ello se especifica y estima un modelo de corrección de error que tiene en cuenta la anticipación de las acciones de política monetaria, permitiendo obtener un estimador eficiente de la relación de largo plazo. Además, se considera la posibilidad de asimetría en el proceso de ajuste al equilibrio. Los resultados obtenidos indican que los tipos de interés descuentan con antelación los movimientos de política monetaria. Asimismo, las acciones de política monetaria se transmiten rápida y completamente a los tipos monetarios, mientras que en los tipos a más largo plazo la transmisión no es completa, aunque la velocidad de transmisión ha aumentado desde 1999. Finalmente, no se observa asimetría en el proceso de ajuste de los tipos de interés al equilibrio.

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2011-04.pdf
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    Bibliographic Info

    Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2011-04.

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    Length: 31 pages
    Date of creation: May 2011
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    Publication status: Published by Ivie
    Handle: RePEc:ivi:wpasec:2011-04

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    Keywords: política monetaria; anticipación; asimetría. monetary policy; anticipation; asymmetry.;

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