TIPOS DE INTERÉS DE INTERVENCIÓN Y LA REGLA DE TAYLOR. ESPAÑA 1989-1999. PRUEBAS DE COINTEGRACIÓN BASADAS EN INFERENCIA ESTADÍSTICA

Abstract

In this paper the existent relations between the type of intervention interest of Banco Central en España and the resultants of a specification of Taylor’s Rule, on one hand, and the type of interest of the monetary market on the other hand are studied. Our aim is to discover if the stablishment of the official types follows the orientation given by the taylorian rule of the interest type as well as to analyze in which extent the signals of the monetary politics given by the Banco Central are transmited to the monetary market through the variations of the respective monetary market of the respective interest types. For overcoming some econometric problems derived of the use of the point statistical tests, in this paper the relation of the cointegration analysis with the VAR model is analyzed. It gives to that analysis a completely new dimension that allows a more accurate and exact application to the concrete objective of the them in our work. According to different econometric research the contrast of the cointegration in
a VAR is superior to Engle-Granger’s method. The statistical properties Johansen’s method are generally better and the power of the cointegration test is superior