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Ciclo económico y desempleo estructural en la economía española

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Author Info

  • Rafael Doménech

    (Universidad de Valencia)

  • Víctor Gómez

    (Ministerio de Hacienda)

Abstract

Este trabajo propone un nuevo método de descomposición del PIB en sus componentes estructural y cíclico utilizando un modelo de componentes no observables, que aprovecha la información que la tasa de desempleo y la tasa de inversión contienen sobre la posición cíclica de la economía. El modelo, que permite también recuperar una estimación de la tasa de desempleo estructural compatible con la ley de Okun, se estima por máxima verosimilitud utilizando el filtro de Kalman en el que las condiciones iniciales son parcialmente difusas, mientras que los componentes no observables se estiman utilizando un algoritmo de suavizado. (Copyright: Fundación SEPI)

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Bibliographic Info

Article provided by Fundación SEPI in its journal Investigaciones Económicas.

Volume (Year): 29 (2005)
Issue (Month): 2 (May)
Pages: 259-288

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Handle: RePEc:iec:inveco:v:29:y:2005:i:2:p:259-288

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Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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Web page: http://www.fundacionsepi.es/

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Related research

Keywords: Componente cíclico del PIB; Ley de Okun; inversión; filtro de Kalman.;

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References

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  1. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de Espa�a Working Papers 0108, Banco de Espa�a.
  2. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
  3. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Ciclical patterns of the spanish economy," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 445-473, September.
  4. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  5. Albert Marcet & Morte O. Ravn, . "The HP-Filter in Cross-Country Comparisons," Studies on the Spanish Economy 100, FEDEA.
  6. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de Espa�a Working Papers 9324, Banco de Espa�a.
  7. Regina Kaiser & Agustín Maravall, 1999. "Estimation of the Business Cycle: a Modified Hodrick-Prescott Filter," Banco de Espa�a Working Papers 9912, Banco de Espa�a.
  8. Thomas Laubach, 1997. "Measuring the NAIRU : evidence from seven economies," Research Working Paper 97-13, Federal Reserve Bank of Kansas City.
  9. Rünstler, Gerhard, 2002. "The information content of real-time output gap estimates, an application to the euro area," Working Paper Series 0182, European Central Bank.
  10. Samuel Bentolila & Juan F. Jimeno, . "Spanish Unemployment: The End of the Wild Ride?," Working Papers 2003-10, FEDEA.
  11. Victor Gómez & Agustín Maravall, 1996. "Programs TRAMO and SEATS, Instruction for User (Beta Version: september 1996)," Banco de Espa�a Working Papers 9628, Banco de Espa�a.
  12. Camba-Mendez, Gonzalo & Rodriguez-Palenzuela, Diego, 2003. "Assessment criteria for output gap estimates," Economic Modelling, Elsevier, vol. 20(3), pages 529-562, May.
  13. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-68, July.
  14. Gomez, Victor, 1999. "Three Equivalent Methods for Filtering Finite Nonstationary Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 109-16, January.
  15. Andrew C. Harvey & Thomas M. Trimbur, 2003. "General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 244-255, May.
  16. Burnside, Craig, 1998. "Detrending and business cycle facts: A comment," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 513-532, May.
  17. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de Espa�a Working Papers 0108, Banco de Espa�a.
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Citations

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Cited by:
  1. Máximo Camacho & Rafael Doménech, 2012. "MICA-BBVA: a factor model of economic and financial indicators for short-term GDP forecasting," SERIEs, Spanish Economic Association, vol. 3(4), pages 475-497, December.

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