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

  1. Francisco José Goerlich Gisbert 1
  2. Joaquín Maudos Villarroya 1
  3. Javier Quesada Ibáñez 1
  1. 1 Universitat de València
    info

    Universitat de València

    Valencia, España

    ROR https://ror.org/043nxc105

Zeitschrift:
Working papers = Documentos de trabajo: Serie EC - (Instituto Valenciano de Investigaciones Económicas)

Datum der Publikation: 1994

Nummer: 2

Seiten: 1-54

Art: Arbeitsdokument

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Zusammenfassung

This paper tries to precisely date the change of monetary policy regime occurred in Spain along the year 1984 moving away from controlling monetary aggregates into interest rate targeting. The most likely date for the change is estimated and, surprisingly, there is evidence that agents learn quite rapidly about the new intermediate target. A week after the change, the term structure of interest rates shows how market agents attribute much more informational content to interest rate changes than they did before. Two types of transitions are tried, namely, using a one step and a gradual logistic switching function.

Fuente de los datos: Dialnet