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Nueva Evidencia Empírica sobre las Turbulencias Cambiarias de la Peseta Española. 1989-1998/New Evidence about Turbulences on the Spanish Peseta. 1989-1998s

  • RODRÍGUEZ, Mª ARACELI

    ()

    (Departamento de Análisis Económico e Historia e Instituciones Económicas. Universidad de Valladolid.Avda. Esgueva 6. 47011 Valladolid.Teléfono: 983 184428. Fax 983 423 299.)

El estudio de las razones que conducen a una crisis monetaria o financiera continúa siendo una cuestión abierta. El objetivo de este trabajo es la búsqueda de nueva evidencia y ratificación de las razones que explican la génesis de las turbulencias sobre la peseta española. Basándonos en los resultados de algunos trabajos previos sobre el tema, se construye un índice de presión especulativa que se muestra útil en la identificación de las turbulencias monetarias de la moneda española mediante la aplicación del modelo econométrico de Markov con saltos de régimen. A través del procedimiento ampliado para permitir probabilidades de transición variables intentamos no sólo responder a la cuestión de qué tipo de variables pueden ser responsables de la génesis de estas crisis, sino también comprobar la robustez de la evidencia empírica ya mostrada por estudios similares. 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. Not only, we try to identify the turbulence periods but also we provide some explanation to those moments. We build an Index of Speculative Pressures for the Spanish Peseta and using the Markov-Switching Regime Model with time varying transition probabilities we study the contrivance of different macroeconomic variables. We have been able to ratify the results which have been obtained by other similar previous studies.

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

Volume (Year): 23 (2005)
Issue (Month): (Abril)
Pages: 207-230

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Handle: RePEc:lrk:eeaart:23_1_11
Contact details of provider: Postal: Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN
Phone: (34) 983 423320
Fax: (34) 983 184568
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