Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs

Danilo Leiva-Leon (danilo.leiva-leon@bos.frb.org)

No 1706, Occasional Papers from Banco de España

Abstract: This paper proposes a suite of Structural Bayesian Vector Autoregression (SBVAR) models used (i) to disentangle the main shocks driving the Spanish economy over time and (ii) to provide short and medium term forecasts of output and infl ation. The suite consists of a benchmark model, that includes output, prices and interest rate, along with four extensions that gather information from the labor, financial, and international markets, and from the fiscal sector. The identification of the structural shocks is achieved by relying on sign and exclusion restrictions. The models provide a narrative of the contribution of fundamental economic shocks that agrees with main historic events of the Spanish economy. Moreover, the proposed SBVAR models are used to provide forecasts of output and inflation conditional on different scenarios about the development of key macroeconomic variables. Therefore, the suite could be incorporated to the toolkit of quantitative models that the Banco de España uses to perform forecasts.

Keywords: structural analysis; vector autoregressions; bayesian estimation; sign restrictions (search for similar items in EconPapers)
JEL-codes: C22 E27 E32 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2017-09
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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