Actualización del modelo trimestral del Banco de España
AbstractThis paper presents the update of the macroeconometric model used at the Bank of Spain for medium term macroeconomic forecasting, as well as for performing policy simulations. The many changes that the Spanish economy has experimented in the last years, and the new system of national accounts published by the national statistical office, suggested that a reestimation of the model was due. This paper presents such reestimation with newer data (up to the end of 2005), and includes some modifications that were deemed necessary in certain equations. The quarterly model of the Bank of Spain keeps a similar structure to its previous version; it still is basically a demand-driven model. It is found that the Spanish economy shows, in general, higher sensitivity than in previous periods to changes in exogenous variables, especially in financial conditions. The new model reflects, too, changes in demographic trends, and presents an external sector less sentitive to changes in price-competitiveness.
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Bibliographic InfoPaper provided by Banco de EspaÃ±a in its series Banco de EspaÃ±a Working Papers with number 0717.
Length: 48 pages
Date of creation: Jun 2007
Date of revision:
economía española; Spanish economy; modelo macroeconómico; macroeconometric model;
Find related papers by JEL classification:
- E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E20 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
- E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-07-07 (All new papers)
- NEP-EEC-2007-07-07 (European Economics)
- NEP-FOR-2007-07-07 (Forecasting)
- NEP-MAC-2007-07-07 (Macroeconomics)
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- Konstantins Benkovskis & Michele Caivano & Antonello D’Agostino & Alistair Dieppe & Samuel Hurtado & Tohmas Karlsson & Eva Ortega & Tímea Várnai, 2011. "Assessing the sensitivity of inflation to economic activity," Working Paper Series 1357, European Central Bank.
- Samuel Hurtado & Elena Fernández & Eva Ortega & Alberto Urtasun, 2011. "Nueva actualización del modelo trimestral del Banco de España," Banco de EspaÃÂ±a Occasional Papers 1106, Banco de EspaÃ±a.
- Maravall, A. & del Rio, A., 2007.
"Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter,"
Computational Statistics & Data Analysis,
Elsevier, vol. 52(2), pages 975-998, October.
- Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Banco de EspaÃÂ±a Working Papers 0728, Banco de EspaÃ±a.
- Isabel Argimón & Pablo Hernández de Cos, 2008. "The determinants of budget balances of the regional (Autonomous) governments," Banco de EspaÃÂ±a Working Papers 0803, Banco de EspaÃ±a.
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