Update of the Quarterly Model of the Bank of Spain
Bank of Spain, Research Department
Bank of Spain
José Luis Fernández
Banco de España
affiliation not provided to SSRN
Banco de España
June 26, 2007
Banco de España Research Paper No. WP-0717
This 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 re-estimation of the model was due. This paper presents such re-estimation 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 sensitive to changes in price-competitiveness.
Number of Pages in PDF File: 47
Keywords: Spanish economy, macroeconometric model
JEL Classification: E10, E17, E20, E60
Date posted: June 28, 2007 ; Last revised: December 14, 2007
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