La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el B... more La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el Banco de España, en el ámbito de sus competencies, que se consideran de interés general.
La puesta en marcha de proyectos de inversión por parte de las empresas experimentó también una r... more La puesta en marcha de proyectos de inversión por parte de las empresas experimentó también una recuperación en los meses finales del ejercicio, localizada, sobre todo, en el componente de bienes de equipo, que se vio impulsada por la fortaleza de la demanda CHINA INDIA COREA BRASIL MÉXICO 4 PREVISIONES DE INFLACIÓN PARA 2011 (f) %
El petróleo se encareció considerablemente durante la primera mitad de 2008, hasta alcanzar nivel... more El petróleo se encareció considerablemente durante la primera mitad de 2008, hasta alcanzar niveles próximos a los 150 dólares por barril en julio, alcanzado el máximo histórico. Se trata de cuantificar el impacto de los cambios en el precio del petróleo sobre ...
La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el B... more La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el Banco de España, en el ámbito de sus competencies, que se consideran de interés general.
... La primera versión de este modelo la desarrollaron Estrada, Fernández, Moral y Regil (2004) y... more ... La primera versión de este modelo la desarrollaron Estrada, Fernández, Moral y Regil (2004) y desde entonces ha estado sometido a un proceso de continua actualización y mejora (véase, por ejemplo, Ortega, Burriel, Fernández, Ferraz y Hurtado, 2007). ... Véase Álvarez et al. ...
ABSTRACT The Quarterly Model of Banco de España (MTBE, Modelo Trimestral del Banco de España) is ... more 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 evaluating the staff projections and performing scenario simulations. The model is specified as a large set of error correction mechanism equations, and, especially in the short run, is mostly demand driven. This paper presents an update of the model, estimated with data from 1995-2012. In this new version, private productive investment and employment react more to output, capturing the higher sensitivity of these variables observed during the crisis, and prices and wages react less both to each other and to the evolution of real variables. Credit is now an endogenous variable in the model and it also helps explain the behaviour of the main demand components. As a result of all these changes, simulations now generally display a somewhat stronger demand channel and show nominal effects that are both smaller and with less inertia. The updated model describes an economy that is more reactive to financial shocks other than changes in interest rates, where wage moderation can generate growth and employment if it is followed by price moderation and where fiscal consolidation reduces public deficit and has negative but moderate effects on GDP.
This paper presents the update of the macroeconometric model used at the Bank of Spain for medium... more This paper presents the update of the macroeconometric model used at the Bank of Spain for medium term macroeconomic forecasting of the Spanish economy, 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 reestimation of the model was due. This paper presents such reestimation with newer data (up to the end of 2005), and includes some modifications that were deemed necessary in certain equations.
Modern DSGE models are microfounded and have deep parameters that should be invariant to changes ... more Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so in principle they are not subject to the Lucas critique. But the literature has already established that misspecification issues also cause parameter instability after policy changes in DSGE models. This paper will look at the implications of parameter shifts for econometric policy evaluation, to see whether policy advice derived from DSGE models would have differed fundamentally from that which the policymakers of the 1970s derived from their reduced-form Phillips curves. The results show drift in most parameters, including those that are supposedly structural (such as the share of capital in production, habits or the elasticity of labor supply to the real wage), and major shifts in the impulse response functions derived from the real-time estimation of the model. After the expansionary monetary shocks of the early 1970s, a standard DSGE model would have behaved very similarly to an old-style Phillips curve, with marked shifts in parameter values and impulse response functions.
La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el B... more La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el Banco de España, en el ámbito de sus competencies, que se consideran de interés general.
La puesta en marcha de proyectos de inversión por parte de las empresas experimentó también una r... more La puesta en marcha de proyectos de inversión por parte de las empresas experimentó también una recuperación en los meses finales del ejercicio, localizada, sobre todo, en el componente de bienes de equipo, que se vio impulsada por la fortaleza de la demanda CHINA INDIA COREA BRASIL MÉXICO 4 PREVISIONES DE INFLACIÓN PARA 2011 (f) %
El petróleo se encareció considerablemente durante la primera mitad de 2008, hasta alcanzar nivel... more El petróleo se encareció considerablemente durante la primera mitad de 2008, hasta alcanzar niveles próximos a los 150 dólares por barril en julio, alcanzado el máximo histórico. Se trata de cuantificar el impacto de los cambios en el precio del petróleo sobre ...
La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el B... more La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el Banco de España, en el ámbito de sus competencies, que se consideran de interés general.
... La primera versión de este modelo la desarrollaron Estrada, Fernández, Moral y Regil (2004) y... more ... La primera versión de este modelo la desarrollaron Estrada, Fernández, Moral y Regil (2004) y desde entonces ha estado sometido a un proceso de continua actualización y mejora (véase, por ejemplo, Ortega, Burriel, Fernández, Ferraz y Hurtado, 2007). ... Véase Álvarez et al. ...
ABSTRACT The Quarterly Model of Banco de España (MTBE, Modelo Trimestral del Banco de España) is ... more 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 evaluating the staff projections and performing scenario simulations. The model is specified as a large set of error correction mechanism equations, and, especially in the short run, is mostly demand driven. This paper presents an update of the model, estimated with data from 1995-2012. In this new version, private productive investment and employment react more to output, capturing the higher sensitivity of these variables observed during the crisis, and prices and wages react less both to each other and to the evolution of real variables. Credit is now an endogenous variable in the model and it also helps explain the behaviour of the main demand components. As a result of all these changes, simulations now generally display a somewhat stronger demand channel and show nominal effects that are both smaller and with less inertia. The updated model describes an economy that is more reactive to financial shocks other than changes in interest rates, where wage moderation can generate growth and employment if it is followed by price moderation and where fiscal consolidation reduces public deficit and has negative but moderate effects on GDP.
This paper presents the update of the macroeconometric model used at the Bank of Spain for medium... more This paper presents the update of the macroeconometric model used at the Bank of Spain for medium term macroeconomic forecasting of the Spanish economy, 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 reestimation of the model was due. This paper presents such reestimation with newer data (up to the end of 2005), and includes some modifications that were deemed necessary in certain equations.
Modern DSGE models are microfounded and have deep parameters that should be invariant to changes ... more Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so in principle they are not subject to the Lucas critique. But the literature has already established that misspecification issues also cause parameter instability after policy changes in DSGE models. This paper will look at the implications of parameter shifts for econometric policy evaluation, to see whether policy advice derived from DSGE models would have differed fundamentally from that which the policymakers of the 1970s derived from their reduced-form Phillips curves. The results show drift in most parameters, including those that are supposedly structural (such as the share of capital in production, habits or the elasticity of labor supply to the real wage), and major shifts in the impulse response functions derived from the real-time estimation of the model. After the expansionary monetary shocks of the early 1970s, a standard DSGE model would have behaved very similarly to an old-style Phillips curve, with marked shifts in parameter values and impulse response functions.
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Papers by Samuel Hurtado