Short-term monitoring of the Spanish Government balance with mixed-frequencies models

Teresa Leal (), Diego J. Pedregal () and Javier Pérez
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Teresa Leal: Universidad de Huelva
Diego J. Pedregal: Universidad de Castilla-La Mancha

No 931, Working Papers from Banco de España

Abstract: We construct multivariate, state-space mixed-frequencies models for the main componentsof the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled through its total revenue and expenditure categories, and encompasses a number of indicators, depending on data availability. The mixed-frequencies approach is particularly relevant for the case of Spain, given its institutional set-up and the specific data availability for the different subsectors. All in all, we provide models detailed enough in coverage, while at the same time manageable, to be used: (i) for real-time monitoring of fiscal policies with a focus on quarterly developments of the General Government sector; (ii) for the monitoring of general government sub-sectors for which intra-annual data coverage is limited (Regional and Local governments), and (iii) to bridge (translate) into National Accounts available monthly information for the subsectors of the general government.

Keywords: Fiscal forecasting; Fiscal policies; Mixed frequency data; Kalman Filter (search for similar items in EconPapers)
JEL-codes: C53 E6 H6 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2009-12
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0931

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