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A quarterly macroeconometric model of the Spanish Economy

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Author Info

  • Ángel Estrada

    ()
    (Banco de España)

  • José Luis Fernández

    ()
    (Banco de España)

  • Esther Moral

    ()
    (Banco de España)

  • Ana V. Regil

    ()
    (Banco de España)

Registered author(s):

    Abstract

    This paper presents a new version of the Spanish quarterly macroeconometric model. The previous version [see Willman and Estrada (2002)] evidenced a number of shortcomings, some of which are redressed here. In particular, the model now uses seasonally and working days adjusted time series; it considers a breakdown by sector (government and private sectors), by external trade (euro area and rest of the world) and by investment (residential and productive); and finally, it includes wealth evaluated at market prices. While the long run properties of the old model have not changed substantially, in the short run different simulation exercises show that the new model provides stronger responses in the first two years and a prompter and faster return to the baseline values.

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    File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/04/Fic/dt0413e.pdf
    File Function: First version, July 2004
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    Bibliographic Info

    Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0413.

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    Length: 60 pages
    Date of creation: Jul 2004
    Date of revision:
    Handle: RePEc:bde:wpaper:0413

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    Web page: http://www.bde.es/
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    Related research

    Keywords: Macro model; Spain;

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    Cited by:
    1. Jérôme Henry & Pablo Hernández de Cos & Sandro Momigliano, 2004. "The short-term impact of government budgets on prices: evidence from macroeconometrics models," Banco de Espa�a Working Papers 0418, Banco de Espa�a.
    2. Álvarez, Luis J. & Hurtado, Samuel & Sánchez, Isabel & Thomas, Carlos, 2011. "The impact of oil price changes on Spanish and euro area consumer price inflation," Economic Modelling, Elsevier, vol. 28(1-2), pages 422-431, January.
    3. de Castro Fernández, Francisco & Hernández de Cos, Pablo, 2006. "The economic effects of exogenous fiscal shocks in Spain: a SVAR approach," Working Paper Series 0647, European Central Bank.
    4. Francisco de Castro & Laura Fernández-Caballero, 2011. "The effects of fiscal shocks on the exchange rate in Spain," Banco de Espa�a Working Papers 1121, Banco de Espa�a.
    5. de Castro, Francisco & Hernández de Cos, Pablo, 2008. "The economic effects of fiscal policy: The case of Spain," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 1005-1028, September.
    6. Pedregal, Diego J. & Pérez, Javier J., 2008. "Should quarterly government finance statistics be used for fiscal surveillane in Europe?," Working Paper Series 0937, European Central Bank.
    7. Samuel Hurtado & Elena Fernández & Eva Ortega & Alberto Urtasun, 2011. "Nueva actualización del modelo trimestral del Banco de España," Banco de Espa�a Occasional Papers 1106, Banco de Espa�a.
    8. Alexander W. Hoffmaister & Mario Catalán & Jaime Guajardo, 2007. "Coping with Spain's Aging," IMF Working Papers 07/122, International Monetary Fund.
    9. Henry, Jérôme & Hernández de Cos, Pablo & Momigliano, Sandro, 2004. "The short-term impact of government budgets on prices: evidence from macroeconomic models," Working Paper Series 0396, European Central Bank.
    10. Henry, Jerome & Hernandez de Cos, Pablo & Momigliano, Sandro, 2008. "The impact of government budgets on prices: Evidence from macroeconometric models," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 123-143.

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