Evaluating Changes In The Bank Of Spain's Intervention: An Alternative Approach Using Marked Point Processes

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.