Publication: Política monetaria y cambios de régimen en los tipos de interés del mercado interbancario
Loading...
Files
Official URL
Full text at PDC
Publication Date
2002-04
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
Citations
Exportar
Abstract
Se analiza cuál es la política monetaria óptima bajo una regla de gasto público no habitual en la literatura: el gasto representa un porcentaje constante en la producción. En este caso, dado que el ritmo de crecimiento de la oferta monetaria y el coeficiente legal de caja influyen sobre el nivel de producción, el nivel de gasto dependerá del valor que tomen dichos instrumentos. Se muestra que la validez de la regla Friedman depende del valor del ratio consumo público/output. Asimismo cuando es óptimo utilizar el coeficiente legal de caja, este resulta ser un instrumento equivalente al crecimiento monetario
Description
UCM subjects
Unesco subjects
Keywords
Citation
Ang, A. y G. Bekaert, (2002), Short rate nonlinearities and regime siwitches, Journal of Economic Dynamic and Control, 26, 1243-1274.
Ang, A. y G. Bekaert, (2002), Regime switches in interest rates, Journal of Business and Economic Statistic, 20, 163-182.
Bekaert, G., R.J. Hodrick y D.A. Marshall, (2001), “Peso Problem” explanations for term structure anomalies, Journal of Monetary Economics, 48, 241-270.
Benito, S. (2000), Volatilidad de los rendimientos tipo cupón cero de la deuda pública. Estudios de la transmisión de volatilidades, mimeo, ICAE-UCM.
Chang, K.C; G.A. Karoly; F.A. Longstaff y A.B. Sanders, (1992), An empirical comparison of alternative models of the short-term interest rate, Journal of Finance, XLVII, 1209-1227.
Cox, R.; J. Ingersoll, y S. Ross, (1985), A theory of the term structure of interest rates, Econometrica, 53, 385-407.
Dahlquist, M. (1996), On alternative interest rate process, Journal of Banking and Finance, 20, 1093-1119.
Dahlquist, M. y S.F. Gray, (2000), Regime-switching and interest rates in the European monetary system, Journal of International Economics, 50, 399-419.
Evans, D.M. y K.K. Lewis, (1995), Do expected shifts in inflation affect estimates of the long-run Fisher relation, Journal of Finance, 50, 1, 225-253.
Episcopos, A. (2000), Further evidence on alternative continuous time models of the short-term interest rate, Journal of International Financial Markets, Institutions and Money, 10, 199-212.
Fernández-Serrano, J.L. y L. Robles. (2001), Structural Breaks and interest rates forecast: a sequential approach, documento de trabajo nº 0110, ICAE-UCM.
García Montalvo, J. (1998), Tipos de interés a corto plazo en España, Revista de Economía Aplicada, VI, 5-26.
García, R. y P. Perron, (1996), An analysis of the real interest rates under regime shifts, The review of economics and statistic, 78, 1, 111-125.
Gill, P.E.; W. Murray y M.H. Wright (1981), Practical optimization, Academic Press, Kent.
Gray, S.F. (1995), An analysis of conditional regime switching models, working paper , Fuqua School of Business, Duke University.
Gray, S.F. (1996), Modelling the conditional distribution of interest rate as a regimeswitching process, Journal of Financial Economics, 42, 27-62.
Hamilton, J.D. (1988), Rational expectation econometric analysis and changes in regime: an investigation of the term structure of interest rates, Journal of Economic Dynamics and Control, 12, 385-423.
Hamilton, J.D. (1989), A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica, 57, 357-384.
Hansen, B.E. (1992), The Likelihood ratio test under nonstandard conditions: testing the Markov Switching model of GNP, Journal of Applied Econometric, 7, S61-S82.
Lewis, K.K., (1991), Was there a “peso problem” in the US structure interest rates: 1979-1982?, International Economic Review, 32, 159-173.
Merton, R. (1973), Theory of rational option pricing, Bell Journal of Economic Management, Sci. 4, 141-183.
Nowman, K.B. (1997), Gaussian estimation of single-factor continuous time models of the term structure of interest rates, Journal of Finance, 52, 1695-1706.
Nowman, K.B. (1998), Continuous-time Short term interest rate models, Applied Financial Economics, 8, 401-407.
Rico, P. (2000), Procesos estocásticos del tipo de interés a corto plazo, Revista de Econmía Aplicada, VIII, 57-70.
Sola, M. y J. Driffill, (1994), Testing the term structure of interest rates using a vector autoregression with regime switch ng, Journal of Economic Dynamic and Control, 18, 601-628.
Vasicek, O. (1977), An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177-188.