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El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés española

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    Mankiw and Miron (1986) explain the disparate results from the empirical literature about the predictive power of the term spread between long and short interest rates. They argue that this is due to the effect of monetary policy combined with the presence of a time-varying term premium. McCallum (1994) formalises this argument in a model linking the central bank reaction to changes in the spread to the regression estimates in tests of the expectations theory. The main goal of this paper is to test the model in Spain and provide a general exact solution of McCallum’s model. (Copyright: Fundación Empresa Pública)

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    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 26 (2002)
    Issue (Month): 2 (May)
    Pages: 323-357

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    Handle: RePEc:iec:inveco:v:26:y:2002:i:2:p:323-357
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