A Short-Term Forecasting Model for the Spanish Economy: GDP and Its Demand Components
39 Pages Posted: 7 Feb 2018
Date Written: February 6, 2018
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.
Keywords: business cycles, spanish economy, dynamic factor models
JEL Classification: E32, C22, E27
Suggested Citation: Suggested Citation