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A short-term forecasting model for the Spanish economy: GDP and its demand components

Author

Listed:
  • Ana Arencibia Pareja

    (Banco de España)

  • Ana Gómez Loscos

    (Banco de España)

  • Mercedes de Luis López

    (Banco de España)

  • Gabriel Pérez Quirós

    (Banco de España)

Abstract

This document describes the key aspects of the extended and revised version of Spain-STING (Spain, Short-Term Indicator of Growth), which is a tool used by the Banco de España for the short-term forecasting of the Spanish economy’s GDP and its demand components. Drawing on a broad set of indicators, several dynamic factor models are estimated. These models allow the forecasting of GDP, private consumption, public expenditure, investment in capital goods, construction investment, exports and imports in a consistent way. We assess the predictive power of the GDP and its demand components for the period 2005- 2017. With regard to the GDP forecast, we find a slight improvement on the previous version of Spain-STING. As for the demand components, we show that our proposal is better than other possible time series models.

Suggested Citation

  • Ana Arencibia Pareja & Ana Gómez Loscos & Mercedes de Luis López & Gabriel Pérez Quirós, 2018. "A short-term forecasting model for the Spanish economy: GDP and its demand components," Occasional Papers 1801, Banco de España.
  • Handle: RePEc:bde:opaper:1801
    as

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    References listed on IDEAS

    as
    1. Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443.
    2. Ana Arencibia Pareja & Ana Gómez Loscos & Mercedes de Luis López & Gabriel Pérez Quirós, 2017. "A short-term forecasting model for GDP and its demand components," Economic Bulletin, Banco de España, issue DIC, pages 1-10.
    3. Maximo Camacho & Gabriel Perez-Quiros, 2009. "Ñ-STING: España Short Term INdicator of Growth," Working Papers 0912, Banco de España.
    4. repec:bde:joures:v:10:y:2014:p:29 is not listed on IDEAS
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    More about this item

    Keywords

    business cycles; spanish economy; dynamic factor models.;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications

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