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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)

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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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File URL: ftp://ftp.funep.es/InvEcon/paperArchive/May2005/v29i2a2.pdf
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Publisher 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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Related research
Keywords: Componente cíclico del PIB Ley de Okun inversión filtro de Kalman.

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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  1. 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.
  2. Samuel Bentolila & Juan F. Jimeno, 2003. "Spanish Unemployment: The End of the Wild Ride?," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
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  3. Marcet, Albert & Ravn, Morten O., 2004. "The HP-Filter in Cross-Country Comparisons," CEPR Discussion Papers 4244, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  4. Thomas Laubach, 2001. "Measuring The NAIRU: Evidence From Seven Economies," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 218-231, May. [Downloadable!] (restricted)
    Other versions:
  5. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May. [Downloadable!] (restricted)
    Other versions:
  6. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de España Working Papers 9324, Banco de España.
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  7. Gerhard Ruenstler, 2002. "The information content of real-time output GAP estimates: an application to the Euro area," Working Paper Series 182, European Central Bank. [Downloadable!]
  8. Burnside, Craig, 1998. "Detrending and business cycle facts: A comment," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 513-532, May. [Downloadable!] (restricted)
  9. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de España Working Papers 0108, Banco de España. [Downloadable!]
  10. 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.
  11. 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, 03. [Downloadable!] (restricted)
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  12. Camba-Mendez, Gonzalo & Rodriguez-Palenzuela, Diego, 2003. "Assessment criteria for output gap estimates," Economic Modelling, Elsevier, vol. 20(3), pages 529-562, May. [Downloadable!] (restricted)
  13. Agustín Maravall & Ana del Río, 2001. "Time Aggregation and the Hodrick-Prescott Filter," Banco de España Working Papers 0108, Banco de España. [Downloadable!]
  14. Juan J. Dolado & Miguel Sebastián & Javier Vallés, 1993. "Cyclical Patterns of the Spanish Economy," Banco de España Working Papers 9324, Banco de España.
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