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Exploring the sources of Spanish macroeconomic fluctuations: An estimation of a small open economy DSGE model

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  • Martín-Moreno, José M.
  • Pérez, Rafaela
  • Ruiz, Jesús

Abstract

This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluctuations before the international financial and economic crisis (1970–2008). To do this we estimate a small open economy stochastic model using Kalman Filter techniques. The set of estimated parameters allows the replication with remarkable accuracy of the time path for the major macroeconomic aggregates. In particular, the model reproduces the so-called dual inflation phenomenon which burdens the competitiveness of the Spanish economy.

Suggested Citation

  • Martín-Moreno, José M. & Pérez, Rafaela & Ruiz, Jesús, 2016. "Exploring the sources of Spanish macroeconomic fluctuations: An estimation of a small open economy DSGE model," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 417-437.
    • Handle: RePEc:eee:reveco:v:45:y:2016:i:c:p:417-437
    DOI: 10.1016/j.iref.2016.07.002
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    References listed on IDEAS

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    More about this item

    Keywords

    DSGE model; Frequentist techniques; Filter Kalman estimation; Small open economy;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles

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