El modelo de McCallum. Evidencia empírica en la estructura temporal de los tipos de interés española

M. Isabel Martínez-Serna () and Eliseo Navarro-Arribas ()
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M. Isabel Martínez-Serna: Universidad de Murcia, https://www.um.es
Eliseo Navarro-Arribas: Universidad de Castilla La Mancha, https://www.uclm.es

Investigaciones Economicas, 2002, vol. 26, issue 2, 323-357

Abstract: Mankiw and Miron (1986) explain the disparate results from the empirical literature about the predictive power of the term spread between long and short interest rates. They argue that this is due to the effect of monetary policy combined with the presence of a time-varying term premium. McCallum (1994) formalises this argument in a model linking the central bank reaction to changes in the spread to the regression estimates in tests of the expectations theory. The main goal of this paper is to test the model in Spain and provide a general exact solution of McCallum’s model. (Copyright: Fundación Empresa Pública)

Keywords: Term structure of interest rates; McCallum model; predictive power; policy response function (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Date: 2002
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