Interest rate, expectations and the credibility of the bank of Spain
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1
Universitat de València
info
Année de publication: 1994
Número: 2
Pages: 1-54
Type: Working Paper
Résumé
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.