New version of the quarterly model of Banco de España (MTBE)
Ana Arencibia Pareja,
Samuel Hurtado (),
Mercedes de Luis López and
Eva Ortega ()
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Ana Arencibia Pareja: Banco de España
Mercedes de Luis López: Banco de España
No 1709, Occasional Papers from Banco de España
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 performing scenario simulations. The model is specified as a large set of error correction equations, and, especially in the short run, is mostly demand driven. This paper presents an update of the model, estimated with data from 1995 to 2014. In this iteration, a big revamp to the econometric techniques used in estimation has been implemented. Despite that, changes in coefficients and simulation results with respect to the previous version of the model are smaller than what we saw in earlier updates. Compared with MTBE-2014, this new version (MTBE-2017) shows less response of demand to interest rates and stock market prices but more to credit, less response of GDP to world demand but more to world prices and to the price of oil, more positive effects to output and employment from price and wage moderation, and slightly faster and bigger fiscal multipliers for some shocks (government consumption and investment, direct taxes to households) but smaller for others (indirect taxes, direct taxes to firms).
Keywords: Spanish economy; macroeconometric model (search for similar items in EconPapers)
JEL-codes: E10 E17 E20 E60 (search for similar items in EconPapers)
Pages: 31 pages
New Economics Papers: this item is included in nep-cmp, nep-eec and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bde:opaper:1709
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