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Política Monetaria y Cambios de Régimen en los tipos de Interés del Mercado Interbancario

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We analyse the dynamic behaviour of the 1-month interest rate of the Spanish money market between 1987 and 2001. The rate is modelled as a squared-root diffusion process that allows the rate to change depending on the state of the economy. The switch between regimes is governed by a first-order Markov process with state-dependent transition probabilities. We find two clearly differentiated regimens that can be related with changes in the monetary policy. We find periods of extremely high and volatile interest rates, which seem to be associated with episodes characterized by strong pressures in the exchange markets. This kind of behaviour is the less probable one. The second regime presents a bigger persistence, and it is characterized by less volatile and low interest rates that behave clearly as a random walk..

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  • José Luis Fernández Serrano & Mª Dolores Robles Fernández, 2002. "Política Monetaria y Cambios de Régimen en los tipos de Interés del Mercado Interbancario," Documentos de Trabajo del ICAE 0209, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:0209
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    Keywords

    Impuesto inflacionario óptimo; Coeficiente legal de caja;

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates

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