Publication: Análisis econométricos del proceso de oferta de dinero.
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1996-02
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
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En este trabajo se presenta un marco teórico para el estudio del proceso de oferta de dinero, basado en el comportamiento de los sectores que determinan componentes del multiplicador monetario: autoridad monetaria y los sectores privados bancario y no bancario. Este marco teórico es aplicado a los datos monetarios españoles, en la elaboración de una estructura VARMA para las series, y para proporcionar una interpretación estructural al modelo mutivariante de los componentes del multiplicador monetario. Se evalúa también la existencia de cambio estructural en el modelo multivariante, en tres regímenes potencialmente diferentes de la historia monetaria española.
This paper presents a theoretical framework for the study of the money supply process. It is based on the behaviour of the institutional sectors determining money multiplier components: monetary authority, private non-banking sector and private banking sector. This framework is employed on Spanish monetary data, to build an empirical VARMA structure for the series, and to provide an structural interpretation to the multivariate model for money multiplier components. Structural change of statistical structures describing the data is tested in three potentially different regimes of the Spanish monetary history.
This paper presents a theoretical framework for the study of the money supply process. It is based on the behaviour of the institutional sectors determining money multiplier components: monetary authority, private non-banking sector and private banking sector. This framework is employed on Spanish monetary data, to build an empirical VARMA structure for the series, and to provide an structural interpretation to the multivariate model for money multiplier components. Structural change of statistical structures describing the data is tested in three potentially different regimes of the Spanish monetary history.
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