We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different preference specifications.

In this paper we consider that the relationship between nominal exchange rate and prices depends on the nature of the shocks impacting the economy. In order to identify the sources of nominal exchange rate and relative price fluctuations in Spain we impose long-run restrictions on the dynamics...

The potential negative consequences of high financial volatility have been an important concern recently. Although its empirical relevance has not been proved conclusively, clear theoretic and intuitive arguments justify this concern. Many efforts have been conducted, therefore, to determine...

This paper analyses the informational content of financial prices in Spain, mainly from the viewpoint of a central bank. In particular, we examine the informational content of domestic yields and yield spreads, foreign-domestic spreads, credit quality spreads, stock prices and exchange rates on...

The paper addresses the issue of the role of exchange rate jumps. The short-run dynamics of the peseta's effective exchange rate vis-a- vis OECD countries over the period 1974:1 - 1995:9 is estimated using a PPP-based error-correction model enlarged with additional terms allowing for the...

During the 1970s and early 1980s, Spain suffered high rates of inflation but inflation declined and by 1997 inflation had fallen to approximately 2 percent. To fight inflation, Spain implemented austere monetary programs, joined the EMS in 1989, enacted central bank autonomy in 1994, and...

We construct a model to analyse the two types of tender procedures used by the European Central Bank in its open market operations. We assume that the ECB minimizes the expected value of a loss function that depends on the quadratic difference between the interbank rate and a target interest...