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Interest rate, expectations and the credibility of the bank of Spain

Author

Listed:
  • Javier Quesada Ibáñez

    (Instituto Valenciano de Investigaciones Económicas)

  • Francisco José Goerlich Gisbert

    (Instituto Valenciano de Investigaciones Económicas)

  • Joaquín Maudos Villarroya

    (Instituto Valenciano de Investigaciones Económicas)

Abstract

This paper tries to precisely date the change of monetary policy regimeoccurred in Spain along the year 1984 moving away from controlling monetaryaggregates into interest rate targeting. The most likely date for the changeis estimated and, surprisingly, there is evidence that agents learn quiterapidly about the new intermediate target. A week after the change, the termstructure of interest rates shows how market agents attribute much moreinformational content to interest rate changes than they did before. Two typesof transitions are tried, namely, using a one step and a gradual logisticswitching function. Este documento pretende establecer la fecha exacta del cambio en lapolítica monetaria -del control de agregados monetarios al control de tipos deinterés- que tuvo lugar en España a lo largo del año 1984. Se determina lafecha más probable del cambio, y se observa que, sorprendentemente, losagentes asimilan rápidamente este nuevo objetivo. Alrededor de una semanadespués del cambio, la estructura de los tipos de interés muestra como losagentes de mercado atribuyen mucho más contenido informacional a los cambiosen los tipos de interés que anteriormente. Se suponen dos tipos de transición:un ajuste instantáneo y otro gradual según una función logística.

Suggested Citation

  • Javier Quesada Ibáñez & Francisco José Goerlich Gisbert & Joaquín Maudos Villarroya, 1994. "Interest rate, expectations and the credibility of the bank of Spain," Working Papers. Serie EC 1994-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:1994-02
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    Citations

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    Cited by:

    1. Vidal Fernadez Montoro, 2001. "Expectations and Behaviour of the Spanish Treasury Bill Rates Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 5(1), pages 61-83, Summer.
    2. Montoro, V.F., 2001. "Expectations and the behaviour of Spanish treasury bill rates," Discussion Paper Series In Economics And Econometrics 0112, Economics Division, School of Social Sciences, University of Southampton.
    3. Nikos Apergis & John Papanastasiou & Kostas Velentzas, 1997. "The credibility of policy announcements: Greek evidence," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 699-705.
    4. Camarero, Mariam & Tamarit, Cecilio, 2002. "Instability tests in cointegration relationships. An application to the term structure of interest rates," Economic Modelling, Elsevier, vol. 19(5), pages 783-799, November.

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