IDEAS home Printed from https://ideas.repec.org/a/lrk/eeaart/6_3_7.html
   My bibliography  Save this article

Determinantes del tipo de interés a largo plazo: Un estudio VAR

Author

Listed:
  • Javier Nievas López

    (Universidad de Zaragoza)

  • Eduardo Pozo Remiro

    (Universidad de Zaragoza)

Abstract

En este trabajo se trata de encontrar evidencia acerca de cuáles son los determinantes del tipo de interés nominal a largo plazo en España durante el periodo 1980-1992, con la finalidad de analizar el cumplimiento del denominado Efecto Fisher, esto es, el impacto unitario que tienen los cambios en la tasa de inflación esperada sobre los tipos de interés nominales. Los resultados obtenidos, utilizando la metodología VAR, indican que las únicas variables relevantes para explicar el citado tipo de interés han sido la tasa de crecimiento monetario y el crecimiento del crédito al sector público, sin que la inflación aparezca como una variable fundamental en la determinación de los tipos; en este sentido, la conclusión sería el rechazo de la hipótesis de Fisher para el periodo considerado. In this paper we are searching evidence for the determinants of the long-term nominal interest rate in Spain during the period of 1980-1992, with the main purpose of bringing forward evidence of the so-called Fisher Effect, this is, the unitary impact that the changes of expected inflation have upon the nominal interest rate. To carry out the proposed objetives, we are using the VAR methodology over some groups of variables. The results obtained indicate that the variables that have influence on the interest rate are the rate of monetary growth and the growth of credit to the public sector. The inflation does not appear as a relevant variable in the determination of the nominal interest rate; in this meaning, the conclusion would be the rejection of the Fisher hypothesis for the aforementioned period.

Suggested Citation

  • Javier Nievas López & Eduardo Pozo Remiro, 1996. "Determinantes del tipo de interés a largo plazo: Un estudio VAR," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 6, pages 149-170, Diciembre.
  • Handle: RePEc:lrk:eeaart:6_3_7
    as

    Download full text from publisher

    File URL: http://www.revista-eea.net
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Litterman, Robert B & Weiss, Laurence M, 1985. "Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data," Econometrica, Econometric Society, vol. 53(1), pages 129-156, January.
    2. Elliott, J Walter, 1977. "Measuring the Expected Real Rate of Interest: An Exploration of Macroeconomic Alternatives," American Economic Review, American Economic Association, vol. 67(3), pages 429-444, June.
    3. Gandolfi, Arthur E, 1976. "Taxation and the "Fisher Effect"," Journal of Finance, American Finance Association, vol. 31(5), pages 1375-1386, December.
    4. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    5. Thomas J. Sargent, 1976. "Interest Rates and Expected Inflation: A Selective Summary of Recent Research," NBER Chapters,in: Explorations in Economic Research, Volume 3, number 3, pages 1-23 National Bureau of Economic Research, Inc.
    6. Canto, Victor A & Nickelsburg, Gerald & Rizos, Paul, 1987. "The Effect of Fiscal Policy on the Short-run Relation between Nominal Interest Rates and Inflation," Economic Inquiry, Western Economic Association International, vol. 25(1), pages 27-42, January.
    7. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    8. Knot, Klaas, 1995. "On the Determination of Real Interest Rates in Europe," Empirical Economics, Springer, vol. 20(3), pages 479-500.
    9. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    10. Kelly, William A, Jr & Miles, James A, 1984. "Darby and Fisher: Resolution of a Paradox," The Financial Review, Eastern Finance Association, vol. 19(1), pages 103-110, March.
    11. Dwyer, Gerald P, Jr, 1984. "The Gibson Paradox: A Cross-Country Analysis," Economica, London School of Economics and Political Science, vol. 51(202), pages 109-127, May.
    12. Martin Feldstein, 1983. "Inflation, Income Taxes, and the Rate of Interest: A Theoretical Analysis," NBER Chapters,in: Inflation, Tax Rules, and Capital Formation, pages 28-43 National Bureau of Economic Research, Inc.
    13. Levi, Maurice D & Makin, John H, 1979. "Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest," Journal of Finance, American Finance Association, vol. 34(1), pages 35-52, March.
    14. Miles, James A, 1983. " Taxes and the Fisher Effect: A Clarifying Analysis," Journal of Finance, American Finance Association, vol. 38(1), pages 67-77, March.
    15. Dwyer, Gerald Jr., 1981. "Are expectations of inflation rational? or Is variation of the expected real interest rate unpredictable?," Journal of Monetary Economics, Elsevier, vol. 8(1), pages 59-84.
    16. Franses, Philip Hans, 1991. "Seasonality, non-stationarity and the forecasting of monthly time series," International Journal of Forecasting, Elsevier, vol. 7(2), pages 199-208, August.
    17. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    18. Kelly, William A, Jr & Miles, James A, 1989. "Capital Structure Theory and the Fisher Effect," The Financial Review, Eastern Finance Association, vol. 24(1), pages 53-73, February.
    19. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    20. Gultekin, N Bulent, 1983. " Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
    21. Rüşdü Saracoglu, 1984. "Expectations of Inflation and Interest Rate Determination (Anticipations inflationnistes et détermination des taux d'intérêt) (Las expectativas inflacionarias y la determinación del tipo de interÃ," IMF Staff Papers, Palgrave Macmillan, vol. 31(1), pages 141-178, March.
    22. Thoma, Mark A., 1992. "Some international evidence on the exogeneity of the ex ante real rate of interest and the rationality of expectations," Journal of Macroeconomics, Elsevier, vol. 14(1), pages 33-45.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Tipos de interés; modelos VAR; Efecto Fisher;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lrk:eeaart:6_3_7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Beatriz Rodríguez Prado). General contact details of provider: http://edirc.repec.org/data/fcvldes.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.