Update of the Quarterly Model of the Bank of Spain

47 Pages Posted: 28 Jun 2007 Last revised: 14 Dec 2007

Eva Ortega

Bank of Spain, Research Department

Pablo Burriel

Banco de España

José Luis Fernández

Banco de España

Eva Ferraz

affiliation not provided to SSRN

Samuel Hurtado

Banco de España

Date Written: June 26, 2007

Abstract

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.

Keywords: Spanish economy, macroeconometric model

JEL Classification: E10, E17, E20, E60

Suggested Citation

Ortega, Eva and Burriel, Pablo and Fernández, José Luis and Ferraz, Eva and Hurtado, Samuel, Update of the Quarterly Model of the Bank of Spain (June 26, 2007). Banco de España Research Paper No. WP-0717. Available at SSRN: https://ssrn.com/abstract=997008 or http://dx.doi.org/10.2139/ssrn.997008

Eva Ortega (Contact Author)

Bank of Spain, Research Department ( email )

Alcala 50
28014 Madrid
Spain

Pablo Burriel

Banco de España ( email )

Madrid 28014
Spain

José Luis Fernández

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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

Eva Ferraz

affiliation not provided to SSRN

No Address Available

Samuel Hurtado

Banco de España ( email )

Alcala 50
Madrid 28014
Spain

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

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