Monetary Policy and the Term Structure of Interest Rates
This paper proposes and implements a strategy for identifying and estimating the monetary feedback rule used by the Bank of Spain in the period from 1988 to 1996. We present evidence that the estimated feedback rule is plausible and use it to measure the response of the term structure of interest rates to innovations in monetary policy. We find that innovations in monetary policy produce significant, persistent effects on nominal interest rates at all maturities. In particular, a 100 basis point increase in the Spanish intervention rate raises the 5 year rate for a period of 7 months and produces a maximal response of 55 basis points.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.|
Web page: http://www.cemfi.es/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:fth:cemfdt:9720. 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: (Thomas Krichel)
If references are entirely missing, you can add them using this form.