Ciclo de la economía española y contenido informativo de los tipos de interés
En este trabajo se considera, desde un punto de vista empírico, el contenido informativo de los tipos deinterés para prever la evolución futura de la economía española mediante la determinación de la probabilidad de que ésta se encuentre en una etapa recesiva a distintos horizontes temporales de predicción. Para ello, se compara la capacidad predictiva de los tipos de interés y de los diferenciales de tipos de interés (spreads) con la de otras variables como el comportamiento pasado del PIB y diversos índices sintéticos adelantados elaborados por el INE. Los resultados obtenidos sugieren que la relevancia del contenido informativo de los tipos de interés para predecir si la economía española se encontrará en el futuro en una etapa recesiva no es excesivamente elevada, puesto que los tipos de interés y los diferenciales entre tipos no aportan, en un número significativo de ocasiones, información adicional relevante a la de las otras variables consideradas en el análisis. This article studies the informative content of interest rates to forecast the future evolution of the Spanish economy through the determination of the probability of it being in recession with different predictive time horizons. The results obtained suggest that the importance of the informative content of interest rates to predict whether the Spanish economy will in the future be in recession is not excessively high, as interest rates and differentials between rates do not contribute, on a significant number of occasions, additional information to that provided by the past behaviour of GDP and by the evolution of a composite leading economic indicator constructed starting from non-financial economic variables.
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Volume (Year): 20 (2002)
Issue (Month): (Diciembre)
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