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Short-term monitoring of the Spanish Government balance with mixed-frequencies models

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Author Info

  • Teresa Leal

    ()
    (Universidad de Huelva)

  • Diego J. Pedregal

    ()
    (Universidad de Castilla-La Mancha)

  • Javier J. Pérez

    ()
    (Banco de España)

Abstract

We construct multivariate, state-space mixed-frequencies models for the main componentsof the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled through its total revenue and expenditure categories, and encompasses a number of indicators, depending on data availability. The mixed-frequencies approach is particularly relevant for the case of Spain, given its institutional set-up and the specific data availability for the different subsectors. All in all, we provide models detailed enough in coverage, while at the same time manageable, to be used: (i) for real-time monitoring of fiscal policies with a focus on quarterly developments of the General Government sector; (ii) for the monitoring of general government sub-sectors for which intra-annual data coverage is limited (Regional and Local governments), and (iii) to bridge (translate) into National Accounts available monthly information for the subsectors of the general government.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/09/Fic/dt0931e.pdf
File Function: First version, January 2010
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Bibliographic Info

Paper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0931.

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Length: 32 pages
Date of creation: Dec 2009
Date of revision:
Handle: RePEc:bde:wpaper:0931

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Related research

Keywords: Fiscal forecasting; Fiscal policies; Mixed frequency data; Kalman Filter;

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Cited by:
  1. Bianchi, Giuseppe & Cesaroni, Tatiana & Ricchi, Ottavio, 2010. "Previsioni delle Spese del Bilancio dello Stato attraverso i flussi di contabilità finanziaria
    [Forecasting Budget Expenditures using budget entities]
    ," MPRA Paper 27440, University Library of Munich, Germany.

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