Análisis de la integración y dependencia de las políticas monetarias de la Unión Europea

María del Carmen González Velasco; Roque Brinckmann

doi:10.18002/pec.v0i2011.752

Autores

María del Carmen González Velasco Universidad de León. Facultad de Ciencias Económicas y Empresariales
Roque Brinckmann Universidad Federal de Santa Catarina

DOI:

https://doi.org/10.18002/pec.v0i2011.752

Palavras-chave:

Política monetaria, Tipos interbancarios, Mercado interbancario, Cointegración, Monetary policy, Interbank rates, Interbank market, Cointegration, Dependence, Uncovered interest parity

Resumo

En este artículo se efectúa un análisis de la integración y dependencia de las políticas monetarias de la Unión Europea y, en concreto, de las políticas monetarias de la Unión Económica yMonetaria y de la zona no euro para el periodo comprendido entre Enero de 1999 y Septiembre 2009. Se aplica la metodología de la cointegración de Engle y Granger (1987) y de Johansen(1988) para contrastar la hipótesis de la paridad de tipos de interés no cubierta y se llega a la conclusión de que ambas políticas están cointegradas porque mantienen una relación de equilibrio a largo plazo. También se deduce una dependencia de la política del Banco de Inglaterra de la política del Banco Central Europeo, lo que confirma la importancia y el liderazgo de la Unión Económica y Monetaria.

This study is to investigate the long-run relationship and dependence between the UME´s monetary policy and non-euro zone´s monetary policy for the period from January 4, 1999 to September 30, 2009. We use cointegration methodology to test the Uncovered Interest Parity Hypothesis and the results indicate a long-run cointegration and empirical evidence testifies a leader-follower pattern between the two central banks. According to this pattern, the Bank of England does follow the European Central Bank.

Downloads

Não há dados estatísticos.

Referências

Belke, A. y Cui, Y. (2009). “US-Euro area monetary policy interdependence. New evidence from Taylor Rule based VECMs”, Ruhr Economic Papers, 85, Universität Duisburg-Essen.

Brada, J. y Kutan, A. (2001). “The convergence of monetary policy between candidate countries and the European Union”, Economic Systems, 25 (3), pp. 215-231.

Brada, J., Kutan, A. y Zhou, S. (2005). “Real and monetary convergence between the

European Union´s core and recent member countries: A rolling cointegration approach”, Journal of Banking & Finance, 29 (1), pp. 249-270.

Bredin, D. y Fountas, S. (1998). “Testing for monetary policy convergence in European countries”, Journal of Economic Studies, 25 (5), pp. 353-369.

Buiter, W. (2008). “Why the United Kingdom should be join the eurozone”, International Finance, 11 (3), pp. 269-282.

Chaboud, A. y Wright, J. (2005). “Uncovered interest parity: it works, but not for long”, Journal of International Economics, 66 (2), pp. 349-362.

Devine, M. (1997). “The cointegration of international interest rates: A review”, Technical Paper, nº 1/RT/97, Economic Analysis, Research and Publications Department, Central Bank of Ireland.

Dickey, D.A. y Fuller, W.A. (1979). “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, 74 (366), pp.427-431.

Dickey, D.A. y Fuller, W.A. (1981). “Likelihood ratio statistics for autoregressive times eries with a unit root”, Econometrica, 49 (4), pp. 1057-1072.

Dolado, J.; Gonzalo, J. y Marmol, F. (2001). “A primer in cointegration”. In, A companion to theoretical econometrics, Baltagi, B.H. (Ed.), chapter 30. New York: Blackwell.

Engle, R.F. y Granger, C.W.J. (1987). “Cointegration and error-correction: representation, estimation and testing”, Econometrica, 55 (2), pp. 251–276.

Engle, R. y Granger, C.W. (1987) “Cointegration and error correction: Representation, estimation and testing”, Econometrica, 55 (2), pp. 251-276.

Engle, R. y Granger, C.W. (1991). Long run economic relationships: Readings in cointegration, advanced texts in econometrics. Oxford: Oxford University Press.

Engle, R.F. y Yoo, B.S. (1987). “Forecasting and testing in cointegrated systems”, Journal of Econometrics, 35 (1), pp. 143-159.

Engle, R.F. (2002). “Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models”, Journal of Business and Economic Statistics, 20 (3), pp. 339-350.

Flam, H. et al. (2008). “EMU at ten. Should Denmark, Sweden and the UK join?, SNS Economic Policy Group Report, Stockholm.

Galindo, L.M. y Salcines, V. (2003). “Una nota sobre la hipótesis de Fisher en España en el proceso de convergencia europeo”, Momento Económico, 127, pp. 72-77.

Gerdesmeier, D. y Roffia, B. (2004). “Taylor rules for the euro area: the issue of realtime data”, Discussion Paper Series, 1 (37), Deutsche Bundesbank, Research Centre.

Granger, C.W.J. (1969). “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica, 37 (3), pp. 424-438.

Granger, C.W.J. (2004). “Análisis de series temporales, cointegración y aplicaciones”, Revista Asturiana de Economía, 30, pp. 197-206.

Granger, C.W.J. y Newbold, P. (1974). “Spurious regression in econometrics”, Journal of Econometrics, 2, (2), pp. 111-120.

Granger, C.W.J. y Weiss, A.A. (1983). “Time series analysis of error-correction models”. In Studies in econometrics, time series and multivariate statistics, Karlin, S.; Amemiya, T. y Goodman, L.A. (Eds.). En honor de T.W. Anderson. San Diego: Academic Press, pp. 255-278.

Granger, C.W.J. y Lee, T.-H. (1990). “Multicointegration”. In Advances in econometrics: cointegration, spurious regressions and unit roots, Rhodes, G. F. y Fomby, T.B. (Eds.). New York: JAI Press, pp. 17-84.

Guisán, M.C. (2008). “Causalidad y cointegración en modelos econométricos: aplicaciones a los países de la OCDE y limitaciones de los tests de cointegración”, Working Paper Series Economic Development, nº. 61, Facultad de Ciencias Económicas y Empresariales, Universidad de Santiago de Compostela.

Hall, A.D.; Anderson, H.M. y Granger, C.W.J. (1992). “A cointegration analysis of treasury bill yields”, Review of Economics and Statistics, 74 (1), pp. 116-126.

Hansen, P.R. y Johansen, S. (1998). Workbook on cointegration. Oxford: Oxford University Press.

Hylleberg, S. et al. (1990). “Seasonal integration and cointegration”, Journal of Econometrics, 44 (1-2), pp. 15-238.

Holtemoller, O.(2005). “Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries”, International Economics and Economic Policy, 2 (1), pp. 33-63.

Jaén García, M. y López Ruíz, E. (2001). Modelos econométricos de series temporales: teoría y práctica. Oviedo: Septem Ediciones.

Johansen, S. (1988) “Statistical analysis of cointegration vectors”, Journal of Economic Dynamics and Control, 12 (2-3), pp. 231-254.

Johansen, S. y Juselius, K. (1990). “Maximum likelihood estimation and Inferences on cointegration with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, 52 (2), pp. 169-210.

Johansen, S. (1991). “Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models”, Econometrica, 59 (6), pp. 1551-1580.

Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models (Advanced tests in Econometrics). Oxford: Oxford University Press.

Karfakis, J.C. y Demetrios, M.M. (1990). “Interest rate linkages within the European monetary system: A time series analysis”, Journal of Money, Credit and Banking, vol. 22, nº 3, pp. 388-394.

Kasman, A.; Kirbas-Kasman, S. y Turgutlu, E. (2008). “Monetary policy convergence of potential EMU accession countries: A cointegration analysis with shifting regimes”, Economic Modelling, 25 (2), pp. 340-350.

Katsimbris, G. y Miller, S. (1993). “Interest rate linkages within the european monetary system: further analysis”, Journal of Money, Credit and Banking, 25 (4), pp. 771-779.

Kiymaz, H. y Waller, E. (2002). “Cointegration between short-term international interest rates”, WallerJournal of Accounting & Finance Research, 12 (6), pp. 11-21.

Kocenda, E.; Kutan, A.M. y Yigit, T.M. (2006). ”Pilgrims to the eurozone: how far, how fast?, Economic Systems, 30 (4), pp. 311-327.

Lardic, S. y Mignon, V. (2003). “Fractional cointegration between nominal interest rates and inflation: a re-examination of the fisher relationship in the G7 countries”, Economics Bulletin, 3 (14), pp. 1-10.

Mackinnon, J.G.(1996). “Numerical distribution functions for unit root and cointegration tests”, Journal of Applied Econometrics, 11 (6), pp. 601-618.

Maddala, G.S. y Kim, I. (2002). Unit roots, cointegration, and structural changes. Cambridge, Cambridge University Press.

Mishkin, F.S. (1992). “Is the Fisher effect for real?: A reexamination of the relationship between inflation and interest rates”, Journal of Monetary Economics, 30 (2), pp. 195-215.

Pesaran, M.H.; Smith, L.V. y Smith, R.P. (2007). “What if the UK or Sweden had joined the Euro in 1999? An empirical evaluation using a global VAR”, International Journal of Finance & Economics, 12 (1), pp. 55-87.

Philips, P. (1986). “Understanding spurious regression in econometrics”, Journal of Econometrics, 33 (3), pp. 311-340.

Reade, J. y Volz, U. (2009a). “Leader of the Pack? German monetary dominance in Europe prior to EMU”, Economic Series Working Papers, Department of Economics, 419, University of Oxford.

Reade, J. y Volz, U. (2009b). “Too much to lose, or more to gain? Should Sweden join the euro?”, Discussion Paper Series, Department of Economics, 442, august.

Sander, H. y Kleimeier, S. (2006). ”Convergence of interest rate pass-through in a wider Eurozone?”, Economic Systems, 30 (4), pp. 405-423.

Sørensen, C. y Werner, T. (2006). “Bank interest rate pass-through in the euro area: A cross country comparison”, European Central Bank Working Paper, 580.

Weber, E. (2005). “British interest rate convergence between the US and Europe: A recursive cointegration analysis”, The ICFAI Journal of Monetary Economics, 4 (4), pp. 29-47.