Evaluating Changes in the Bank of Spain's Interest Rate Target: An Alternative Approach Using Marked Point Processes.

This paper presents empirical evidence about the determinants of the arrival times and the magnitude of interventions taken by the Bank of Spain during the period of 1984-98 in order to modify its monetary-policy stance. Interventions are captured by changes in the marginal day-to-day interest rate of the Spanish interbank market. We rely upon the theory of marked point processes to estimate: (i) the probability of an intervention at each point in time (events), and (ii) the probability of implementing an intervention of a given magnitude and sign (marks), conditionally on the decision to intervene. Among our main results, we find favourable evidence about the existence of asymmetric responses of the central bank to changes in the evolution of various macroeconomic indicators, and on the presence of "duration" effects in inter-rate adjustments. Copyright 2002 by Blackwell Publishing Ltd