Monetary transmission in the term structure of interest rates in spain, 1995-2003
ISSN: 1133-3197, 1697-5731
Any de publicació: 2008
Volum: 26
Número: 1
Pàgines: 277-278
Tipus: Article
Altres publicacions en: Estudios de economía aplicada
Resum
The aim of this paper is to investigate whether the effectiveness of the transmission mechanism of monetary policy in Spain has changed since EMU establishment. The analysis is based on the fulfillment of the Expectations Hypothesis under rational expectations and the methodology is implemented through a cointegrated bivariate VAR model. The results reveal the existence of monetary transmission in the term structure in the period prior to EMU, even though the evidence is stronger up to the one-year rate. From 1999, the results are only consistent with a weak evidence of monetary transmission.