Evaluating Changes In The Bank Of Spain's Intervention: An Alternative Approach Using Marked Point Processes

Juan Dolado and María-Dolores, Ramón
Authors registered in the RePEc Author Service: Ramón Maria-Dolores

No 2388, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: In this paper we provide empirical evidence on the determinants of the monetary policy stance by the Bank of Spain over the period 1984-1998, by means of modelling a marked point process explaining the probability of an intervention at each point in time (events) and the size of these interventions (marks) conditional on the decision to intervene. Interventions are measured by changes in the marginal interest rate of the Spanish daily interbank market. We test for and find evidence in favour of the existence of asymmetries in the response of the central bank to the evolution of various macroeconomic variables and for the presence of 'duration' effects.

Keywords: Marked point process; Monetary policy; Ordered probit; Probit; Sequential probit (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2000-02
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Citations: View citations in EconPapers (1)

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