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Monetary Transmission in the Term Structure of Interest Rates in Spain (1995-2003)/ Transmisión monetaria en la estructura temporal de tipos de interés en España, 1995-2003



    (Departamento de Economía Aplicada. Facultad de Economía y Empresa. UNIVERSIDAD DE MURCIA)



    (Departamento de Economía Aplicada. Facultad de Economía y Empresa. UNIVERSIDAD DE MURCIA)

The aim of this paper is to investigate whether the effectiveness of the transmission mechanism of monetary policy in Spain has changed since EMU establishment. The analysis is based on the fulfillment of the Expectations Hypothesis under rational expectations and the methodology is implemented through a cointegrated bivariate VAR model. The results reveal the existence of monetary transmission in the term structure in the period prior to EMU, even though the evidence is stronger up to the one-year rate. From 1999, the results are only consistent with a weak evidence of monetary transmission. El objetivo de este trabajo es determinar si han existido diferencias en la efectividad del mecanismo de transmisión de los impulsos de política monetaria en España tras la entrada en vigor de la UEM. El análisis está basado en el cumplimiento de la Teoría de las Expectativas en la estructura temporal de los tipos de interés y la metodología econométrica se implementa mediante un modelo VAR bivariante. Los resultados obtenidos son coherentes con la existencia de transmisión monetaria en el periodo previo a la UEM, siendo menor en los años posteriores a la constitución de la Eurozona.

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

Volume (Year): 26 (2008)
Issue (Month): (Abril)
Pages: 279-292

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Handle: RePEc:lrk:eeaart:26_1_11
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