El proceso de transmisión de la política monetaria a la estructura temporal de los tipos de interés en España

Abstract

This paper analyses the adjustment grade and speed of interest rates term structure in Spain to hanges in official interest rateo For this purpose, we specify and estimate an error-correction model, which considers the anticipation of future policy monetary and this allows obtaining an efficient estimator ofthe long-run relation. Moreover, we consider the possibility of asymmetry in the adjustment process to the equilibrium. The results indicate that interest rates anticipate monetary policy actions. Furthermore, monetary policy is transmitted quickly and completely to the short-term interest rates, while transmission is not complete in long-term interest rates but his speed has increased since 1999. Finally, there is no evidence of asymmetry in the adjustment process to equilibrium.