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

Javier Quesada (), Francisco Goerlich Gisbert and Joaquin Maudos ()

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

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.

Keywords: Control monetario; expectativas; credibilidad Monetary control; expectations; credibility (search for similar items in EconPapers)
Pages: 54 pages
Date: 1994-01
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasec:1994-02

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