New Version of the Quarterly Model of Banco de España (MTBE)

31 Pages Posted: 8 Feb 2018

See all articles by Ana Arencibia Pareja

Ana Arencibia Pareja

Banco de España

Samuel Hurtado

Banco de España

Mercedes de Luis López

Banco de España

Eva Ortega

Bank of Spain, Research Department

Date Written: December 29, 2017

Abstract

The Quarterly Model of Banco de España (MTBE, Modelo Trimestral del Banco de España), is a large-scale macro-econometric model used for medium term macroeconomic forecasting of the Spanish economy, as well as for performing scenario simulations. The model is specified as a large set of error correction equations, and, especially in the short run, is mostly demand driven. This paper presents an update of the model, estimated with data from 1995 to 2014.

In this iteration, a big revamp to the econometric techniques used in estimation has been implemented. Despite that, changes in coefficients and simulation results with respect to the previous version of the model are smaller than what we saw in earlier updates. Compared with MTBE-2014, this new version (MTBE-2017) shows less response of demand to interest rates and stock market prices but more to credit, less response of GDP to world demand but more to world prices and to the price of oil, more positive effects to output and employment from price and wage moderation, and slightly faster and bigger fiscal multipliers for some shocks (government consumption and investment, direct taxes to households) but smaller for others (indirect taxes, direct taxes to firms).

Keywords: Spanish Economy, Macroeconometric Model

JEL Classification: E10, E17, E20, E60

Suggested Citation

Arencibia Pareja, Ana and Hurtado, Samuel and de Luis López, Mercedes and Ortega, Eva, New Version of the Quarterly Model of Banco de España (MTBE) (December 29, 2017). Banco de Espana Occasional Paper No. 1709. Available at SSRN: https://ssrn.com/abstract=3120252 or http://dx.doi.org/10.2139/ssrn.3120252

Ana Arencibia Pareja (Contact Author)

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Samuel Hurtado

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

HOME PAGE: http://www.bde.es

Mercedes De Luis López

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

Eva Ortega

Bank of Spain, Research Department ( email )

Alcala 50
28014 Madrid
Spain

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