Determinantes del tipo de interés a largo plazo: Un estudio VAR
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.
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Volume (Year): 6 (1996)
Issue (Month): (Diciembre)
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