Working Paper: CEPR ID: DP2388
Authors: Juan J. Dolado; Ramón Maradolores
Abstract: In this paper we provide empirical evidence on the determinants of the monetary policy stance by the Bank of Spain over the period 1984-1998, by means of modelling a marked point process explaining the probability of an intervention at each point in time (events) and the size of these interventions (marks) conditional on the decision to intervene. Interventions are measured by changes in the marginal interest rate of the Spanish daily interbank market. We test for and find evidence in favour of the existence of asymmetries in the response of the central bank to the evolution of various macroeconomic variables and for the presence of 'duration' effects.
Keywords: marked point process; probit; ordered probit; sequential probit; monetary policy
JEL Codes: E52; E58
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| macroeconomic variables (E19) | probability of intervention by the Bank of Spain (E58) |
| recessions (E32) | probability of intervention by the Bank of Spain (E58) |
| inflation accelerates (E31) | probability of intervention by the Bank of Spain (E58) |
| exchange rate depreciates (F31) | probability of intervention by the Bank of Spain (E58) |
| previous interest rates increased (E43) | probability of intervention by the Bank of Spain (E58) |
| economic expansions (E32) | substantial interest rate increases (E43) |
| duration of inactivity (C41) | size of interest rate changes (E43) |
| longer periods without interventions (C41) | larger adjustments in interest rates (E43) |
| previous economic conditions (N13) | Bank's interventions (G21) |