Update of the Quarterly Model of the Bank of Spain

The quarterly model of the Banco de Espana (MTBE) is a primary tool in the elaboration of medium term projections for the Spanish economy and for the quantification of the effects of different economic policy measures or economic shocks of a very diverse nature. As part of the process of continuous development of this tool, a substantial revamping of the model has been recently carried out. Changes have been introduced both in the estimation of the coefficients – with an updated sample period that now extends to the end of 2008 – and in the methodology, affecting all aspects of the model. In addition, new explicative variables have been introduced in order to approximate the effects of agents' confidence and credit restrictions on spending decisions, which allow for a more fitting analysis of the recent evolution of the Spanish economy.

[1]  Francisco Alonso,et al.  Implied Default Barrier in Credit Default Swap Premia , 2008 .

[2]  J. Campa,et al.  The Reaction by Industry Insiders to M&As in the European Financial Industry , 2008 .

[3]  Anton A. Nakov,et al.  Oil and the Great Moderation , 2007 .

[4]  Carmen Broto,et al.  Local Debt Expansion... Vulnerability Reduction? An Assessment for Six Crises-Prone Countries , 2007 .

[5]  P. Albarrán,et al.  Inequality for Wage Earners and Self-Employed: Evidence from Panel Data , 2007 .

[6]  R. Jiménez‐Rodríguez.  The Industrial Impact of Oil Price Shocks: Evidence from the Industries of Six OECD Countries , 2007 .

[7]  Anton A. Nakov,et al.  Inflation-Output Gap Trade-Off With a Dominant Oil Supplier , 2007 .

[8]  J. Jimeno,et al.  House Prices and Employment Reallocation: International Evidence , 2007, SSRN Electronic Journal.

[9]  Luis Gutiérrez de Rozas,et al.  Testing for Competition in the Spanish Banking Industry: The Panzar-Rosse Approach Revisited , 2007 .

[10]  Javier Delgado,et al.  Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo , 2007 .

[11]  J. Ruiz,et al.  The Wise Use of Dummies in Gravity Models: Export Potentials in the Euromed Region , 2007 .

[12]  Fernando Nieto.  The Determinants of Household Credit in Spain , 2007 .

[13]  Jacob A. Bikker,et al.  A new approach to measuring competition in the loan markets of the euro area , 2007 .

[14]  Jesús Saurina,et al.  An Assessment of Basel II Procyclicality in Mortgage Portfolios , 2007 .

[15]  Alfredo Martín-Oliver,et al.  Measurement of Capital Stock and Input Services of Spanish Banks , 2007 .

[16]  José María Serena,et al.  Global Financial Integration, Monetary Policy and Reserve Accumulation: Assessing the Limits in Emerging Economies , 2007 .

[17]  Roberto Blanco,et al.  Have Real Interest Rates Really Fallen that Much in Spain? , 2007 .

[18]  Gabriel Jiménez,et al.  Modelling the Distribution of Credit Losses with Observable and Latent Factors , 2007 .

[19]  Harald Stahl,et al.  Price Setting in the Euro Area: Some Stylised Facts from Individual Producer Price Data , 2007, SSRN Electronic Journal.

[20]  Marcel Fratzscher,et al.  The Transmission of Emerging Market Shocks to Global Equity Markets , 2007, SSRN Electronic Journal.

[21]  P. Kujal,et al.  Cost Effectiveness of R&D and Strategic Trade Policy , 2007 .

[22]  J. Campa,et al.  Current Accounts in the Euro Area: An Intertemporal Approach , 2007 .

[23]  R. Gimeno,et al.  Genetic Algorithm Estimation of Interest Rate Term Structure , 2006 .

[24]  Javier Andrés,et al.  Bemod: A DSGE Model for the Spanish Economy and the Rest of the Euro Area , 2006 .

[25]  Marcel Jansen,et al.  Employment Fluctuations with Downward Wage Rigidity: The Role of Moral Hazard , 2006, SSRN Electronic Journal.

[26]  Francisco Alonso,et al.  Option-implied preferences adjustments, density forecasts, and the equity risk premium , 2006 .

[27]  I. Hernando,et al.  Competition and Price Adjustment in the Euro Area , 2006 .

[28]  Nuno C. Martins,et al.  Does Limited Access to Mortgage Debt Explain Why Young Adults Live with Their Parents? , 2006 .

[29]  María J Nieto,et al.  Preconditions for a successful implementation of supervisors' prompt corrective action: Is there a case for a banking standard in the EU? , 2006 .

[30]  Fabio Canova,et al.  Back to Square One: Identification Issues in DSGE Models , 2009, SSRN Electronic Journal.

[31]  Enrique Sentana,et al.  Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation , 2005 .

[32]  Anton A. Nakov,et al.  Optimal and Simple Monetary Policy Rules with Zero Floor on the Nominal Interest Rate , 2005 .

[33]  Ángel Estrada,et al.  A quarterly macroeconometric model of the Spanish economy , 2004 .

[34]  L. Julián,et al.  What Do Micro Price Data Tell Us on the Validity of the New Keynesian Phillips Curve , 2008 .

[35]  D. Navia,et al.  Equilibrium Exchange Rates in the New EU Members: External Imbalances vs. Real Convergence , 2007 .

[36]  F. Lozano,et al.  Macroeconomic modelling in emu: how relevant is the change in regime? , 2007 .

[37]  A. Erce-Domínguez.  Using standstills to manage sovereign debt crises , 2006 .

[38]  G. Fagan,et al.  Econometric Models of the Euro-area Central Banks , 2005 .

[39]  Angel Estrada García,et al.  Los instrumentos de previsión y modelización económica , 2005 .