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

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.

Keywords: business cycles, spanish economy, dynamic factor models

JEL Classification: E32, C22, E27

Suggested Citation

Arencibia Pareja, Ana and Gómez-Loscos, Ana and de Luis López, Mercedes and Pérez-Quirós, Gabriel, A Short-Term Forecasting Model for the Spanish Economy: GDP and Its Demand Components (February 6, 2018). Banco de Espana Occasional Paper No. 1801. Available at SSRN: https://ssrn.com/abstract=3118855 or http://dx.doi.org/10.2139/ssrn.3118855

Ana Arencibia Pareja (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Ana Gómez-Loscos

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Mercedes De Luis López

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Gabriel Pérez-Quirós

Banco de España

Alcala 50
Madrid 28014
Spain

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