Short-term monitoring of the Spanish Government balance with mixed-frequencies models
AbstractWe 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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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 0931.
Length: 32 pages
Date of creation: Dec 2009
Date of revision:
Fiscal forecasting; Fiscal policies; Mixed frequency data; Kalman Filter;
Find related papers by JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- H6 - Public Economics - - National Budget, Deficit, and Debt
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- NEP-ALL-2010-01-23 (All new papers)
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- 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.
- Giuseppe Bianchi & Tatiana Cesaroni & Ottavio Ricchi, 2013. "Previsioni delle spese del bilancio dello Stato attraverso i flussi di contabilità finanziaria," Rivista di Politica Economica, SIPI Spa, SIPI Spa, issue 1, pages 271-326, January-M.
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