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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
EL ACCESO A LA FINANCIACIÓN DE LOS MERCADOS POR PARTE DE LAS COMUNIDADES AUTÓNOMAS
Mar Delgado y Javier J. PérezBanco de España
Seminario Banco de España – MEDEBanco de España, Madrid, 28 de abril de 2017
Las opiniones y los análisis contenidos en esta presentación son responsabilidad exclusiva de los autores y, por tanto, no coinciden necesariamente con los del Banco de España o el Eurosistema.
MONITORING THE SPANISH ECONOMY THROUGH THE LENSES OF STRUCTURAL BAYESIAN VARs
Alberto UrtasunBanco de España, Jefe de la División de Análisis Coyuntural y Previsión Económica
Seminario CEMLA: Desarrollos recientes y herramientas para el análisis de la actividad económica
Banco de España, 5-7 de junio de 2019
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 2
Introduction
MONITORING THE SPANISH ECONOMY THROUGH THE LENSES OF STRUCTURAL BAYESIAN VARS
Danilo Leiva-Leon
Banco de España
Documentos Ocasionales
N.º 1706
2017
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 3
Introduction
• Goal: Provide a suite of empirical models for:
1. Assessing the structural shocks that mainly affect the Spanish economy over time
2. Producing forecasts of GDP and inflation conditional on assumptions about key macroeconomic variables
• Tool: Suite of Structural Vector Autoregressions (SVAR) , estimated with Bayesian methods, which allows us to:
1. Impose restrictions that help to identify in a relatively accurate way key macroeconomic structural shocks
2. Easily provide robust and detailed inference about conditional forecasts obtained from the suite of models
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 4
Outline
1. Suite of Models
2. Results
2.1. Structural Analysis
2.2. Forecasts
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 5
Outline
1. Suite of Models
2. Results
2.1. Structural Analysis
2.2. Forecasts
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 6
1. BENCHMARK
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE
Suite of Bayesian VAR Models
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 7
2. LABORBENCHMARK VARIABLES
+UNEMPLOYMENT RATE
WAGES
3. FISCALBENCHMARK VARIABLES
+GOVERNMENT EXPENDITURE
GOVERNMENT REVENUE
5. INTERNATIONALBENCHMARK VARIABLES
+GLOBAL DEMANDEXCHANGE RATE
1. BENCHMARK
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE 4. FINANCIAL
BENCHMARK VARIABLES+
STOCK RETURNSUNCERTAINTY INDEX
Suite of Bayesian VAR Models
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 8
2. LABORBENCHMARK VARIABLES
+UNEMPLOYMENT RATE
WAGES
3. FISCALBENCHMARK VARIABLES
+GOVERNMENT EXPENDITURE
GOVERNMENT REVENUE
5. INTERNATIONALBENCHMARK VARIABLES
+GLOBAL DEMANDEXCHANGE RATE
1. BENCHMARK
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE 4. FINANCIAL
BENCHMARK VARIABLES+
STOCK RETURNSUNCERTAINTY INDEX
Suite of Bayesian VAR Models
ESTRUCTURAL ANALYSIS:Narrative of the contribution of shocks
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 9
2. LABORBENCHMARK VARIABLES
+UNEMPLOYMENT RATE
WAGES
3. FISCALBENCHMARK VARIABLES
+GOVERNMENT EXPENDITURE
GOVERNMENT REVENUE
5. INTERNATIONALBENCHMARK VARIABLES
+GLOBAL DEMANDEXCHANGE RATE
1. BENCHMARK
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE 4. FINANCIAL
BENCHMARK VARIABLES+
STOCK RETURNSUNCERTAINTY INDEX
Suite of Bayesian VAR Models
6. ONE-FITS-ALL
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE
+
UNEMPLOYMENT RATEWAGES
+
GOVERNMENT EXPENDITUREGOVERNMENT REVENUE
+
STOCK RETURNSUNCERTAINTY INDEX
+
GLOBAL DEMANDEXCHANGE RATE
ESTRUCTURAL ANALYSIS:Narrative of the contribution of shocks
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 10
2. LABORBENCHMARK VARIABLES
+UNEMPLOYMENT RATE
WAGES
3. FISCALBENCHMARK VARIABLES
+GOVERNMENT EXPENDITURE
GOVERNMENT REVENUE
5. INTERNATIONALBENCHMARK VARIABLES
+GLOBAL DEMANDEXCHANGE RATE
1. BENCHMARK
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE 4. FINANCIAL
BENCHMARK VARIABLES+
STOCK RETURNSUNCERTAINTY INDEX
Suite of Bayesian VAR Models
6. ONE-FITS-ALL
REAL GDPCORE INFLATION
OIL PRICEINTEREST RATE
+
UNEMPLOYMENT RATEWAGES
+
GOVERNMENT EXPENDITUREGOVERNMENT REVENUE
+
STOCK RETURNSUNCERTAINTY INDEX
+
GLOBAL DEMANDEXCHANGE RATE
ESTRUCTURAL ANALYSIS:Narrative of the contribution of shocks
FORECASTS: conditionalon assumptions
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Benchmark Model
11DG ECONOMICS, RESEARCH AND STATISTICS
• SBVAR mode for the Spanish economy
• Sign and Exclusion Restrictions: The reduced form innovations are a function of the structural innovations
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Benchmark Model
12DG ECONOMICS, RESEARCH AND STATISTICS
• SBVAR mode for the Spanish economy
• Sign and Exclusion Restrictions: The reduced form innovations are a function of the structural innovations
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Benchmark Model
13DG ECONOMICS, RESEARCH AND STATISTICS
• SBVAR mode for the Spanish economy
• Sign and Exclusion Restrictions: The reduced form innovations are a function of the structural innovations
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Benchmark Model
14DG ECONOMICS, RESEARCH AND STATISTICS
• SBVAR mode for the Spanish economy
• Sign and Exclusion Restrictions: The reduced form innovations are a function of the structural innovations
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Labor Model
15DG ECONOMICS, RESEARCH AND STATISTICS
• The (i) unemployment rate and (ii) wages are incorporated to the Benchmark model
• The assumed restrictions follow the line of Peersman and Straub (2009), and Foroni et al. (2015)
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Fiscal Model
16DG ECONOMICS, RESEARCH AND STATISTICS
• The (i) government revenues and (ii) government expenditures are incorporated to the Benchmark model
• The assumed restrictions follow the line of Mountford y Uhlig (2009)
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: Financial Model
17DG ECONOMICS, RESEARCH AND STATISTICS
• The (i) stock returns and (ii) a financial uncertainty index are incorporated to the Benchmark model
• Gil, Pérez and Urtasun (2016) have documented significantly negative effects of uncertainty on real activity
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Identification of Shocks: International Model
18DG ECONOMICS, RESEARCH AND STATISTICS
• A measure of global demand and the Dollar-Euro exchange rate are incorporated to the Benchmark model
• Sign restriction of the Benchmark model are kept, and exclusion restrictions are added
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DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 19
Esquema
1. Suite of Models
2. Results
2.1. Structural Analysis
2.2. Forecasts
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
20DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
21DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
Labor MarketReforms
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
22DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
Monetary Union
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
23DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
Housing boom,Great Recession
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
24DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
Period of“Lowflation”
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
25DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
Fall in Oil Pirces
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Benchmark Model
26DG ECONOMICS, RESEARCH AND STATISTICS
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Demand Shocks Cost-push Shocks
Monetary Policy Shocks Oil Price Shocks
Monetary Union
Housing boom,Great Recession
Labor MarketReforms
Fall in Oil Pirces
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
-0.8
-0.3
0.2
0.7
GDP Historical Decomposition: Labor Model
27DG ECONOMICS, RESEARCH AND STATISTICS
Labor Supply Shocks
Cost-push Shocks (Labor vs. Benchmark)
Monetary Policy Shocks (Labor vs. Benchmark) Oil Price Shocks (Labor vs. Benchmark)
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Labor ReformLaw 10/ 1994 High Unemployment
Levels
Demand Shock (Labor vs. Benchmark)
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Fiscal Model
28DG ECONOMICS, RESEARCH AND STATISTICS
Government Expenditure and Revenue Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8Exp-Gov-Shock
Inc-Gov-Shock
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
Sovereign DebtCrisis
Cost-push Shocks (Fiscal vs. Benchmark)
Monetary Policy Shocks (Fiscal vs. Benchmark) Oil Price Shocks (Fiscal vs. Benchmark)
Demand Shock (Fiscal vs. Benchmark)
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: International Model
29DG ECONOMICS, RESEARCH AND STATISTICS
International Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
Great Recession in Advanced Economies
Cost-push Shocks (International vs. Benchmark)
Monetary Policy Shocks (International vs. Benchmark) Oil Price Shocks (International vs. Benchmark)
Demand Shock (International vs. Benchmark)
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Financial Model
30DG ECONOMICS, RESEARCH AND STATISTICS
Uncertainty Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
-0.8
-0.3
0.2
0.7
High levels of uncertainty“Double-dip recession”
Cost-push Shocks (Financial vs. Benchmark)
Monetary Policy Shocks (Financial vs. Benchmark) Oil Price Shocks (Financial vs. Benchmark)
Demand Shock (Financial vs. Benchmark)
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
GDP Historical Decomposition: Models by Block
31DG ECONOMICS, RESEARCH AND STATISTICS
Uncertainty Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
High levels of uncertainty“Double-dip recession”
Labor Supply Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Labor ReformLaw 10/ 1994
High UnemploymentLevels
Government Expenditure and Revenue Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8Exp-Gov-Shock Inc-Gov-Shock
Sovereign DebtCrisis
International Shocks
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
-0.8
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Great Recession in Advanced Economies
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 32
Esquema
1. Suite of Models
2. Estimation Algorithms
3. Results
3.1. Structural Analysis
3.2. Forecasts
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: conditional and unconditional variables
33DG ECONOMICS, RESEARCH AND STATISTICS
BENCHMARK FISCAL LABOR INTERNATIONAL FINANCIAL ONE-FITS-ALL
REAL GDP * * * * * *CORE INFLATION * * * * * *INTEREST RATE X X X X X X
GOVERNMENT EXPEDITURE
X X
GOVERNMENT REVENUE
X X
UNEMPLOYMENT RATE * *WAGE * *GLOBAL DEMAND
X X
EXCHANGE RATE X XSTOCK RETURNS X X
UNCERTAINTY * *OIL PRICE X X X X X X
Nota. * denotes unconditional variables and X denotes conditional variables
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: Benchmark Model
34DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP
2000 2005 2010 2015 2020
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
Proyección BdEPredicción modelo
• The forecasts of GDP from the Benchmark model tend to be slightly lower than the BdE projections
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: Benchmark Model
35DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP
2000 2005 2010 2015 2020
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2000 2005 2010 2015 2020
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
Core Inflation Rate
Proyección BdEPredicción modelo
Proyección BdEPredicción modelo
• The forecasts of GDP from the Benchmark model tend to be slightly lower than the BdE projections
• The forecasts of inflation from the Benchmark model tend to be significantly lower thanthe BdE projections
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: Models by Block
36DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP
• The forecasts of GDP from most of the models by blocks are aligned with the BdEprojections. Although, there is certain heterogeneity.
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00
Benchmark Finance International
Labor Fiscal BdE
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: Models by Block
37DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP Core Inflation Rate
• The forecasts of GDP from most of the models by blocks are aligned with the BdEprojections. Although, there is certain heterogeneity.
• For the case of inflation, the forecasts of all the models by blocks point to a significantly lower inflation than the BdE projections.
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00
Benchmark Finance International
Labor Fiscal BdE
0.00
0.10
0.20
0.30
0.40
0.50
0.60
Benchmark Finance International
Labor Fiscal BdE
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: One-Fits-All Model (“Agnostic” priors)
38DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP
Proyección BdEPredicción modelo
• Once it is conditioned on all the assumptions, the One-Fits-All model produces forecasts that are more optimistic than the projections of the BdE
Proyección BdEPredicción modelo
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: One-Fits-All Model (“Agnostic” priors)
39DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP Core Inflation Rate
Proyección BdEPredicción modelo
Proyección BdEPredicción modelo
• Once it is conditioned on all the assumptions, the One-Fits-All model produces forecasts that are more optimistic than the projections of the BdE
• The forecats of inflation from the One-Fits-All model follow a similar path to the BdEprojections
Proyección BdEPredicción modelo
Proyección BdEPredicción modelo
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecasts: One-Fits-All Model (“Mimic” priors)
40DG ECONOMICS, RESEARCH AND STATISTICS
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
-2
-1.5
-1
-0.5
0
0.5
1
1.5
2
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
-0.2
0
0.2
0.4
0.6
0.8
1
1.2
Growth Rate of Real GDP Core Inflation Rate
Proyección BdEPredicción modelo
Proyección BdEPredicción modelo
• Once the model uses “mimic” priors and conditions on all the assumptions, theforecasts of GDP from the One-Fits-All model are very similar to the projections of theBdE
• The forecats of inflation from the One-Fits-All model also follow a similar path to theBdE projections
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecast Uncertainty: Benchmark Model
41DG ECONOMICS, RESEARCH AND STATISTICS
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q2
0.63
0.87
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q3
0.56
0.74
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q4
0.56
0.68
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42018:Q1
0.50
0.56
Growth Rate of Real GDP
Nota. Numbers in blue indicate the forecasts from the Benchmark model, whilenumbers in black indicate the BdE projections
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecast Uncertainty: One-Fits-All Model
42DG ECONOMICS, RESEARCH AND STATISTICS
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q2
0.91
0.87
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q3
0.77
0.74
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q4
0.67
0.68
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42018:Q1
0.67
0.56
Growth Rate of Real GDP
Nota. Numbers in red indicate the forecasts from the One-Fits-All model, whilenumbers in black indicate the BdE projections
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecast Uncertainty: Benchmark vs. One-Fits-All
Model
43DG ECONOMICS, RESEARCH AND STATISTICS
Growth Rate of Real GDP
Nota. Numbers in blue (red) indicate the forecasts from the Benchmark (One-Fits-All)
model, while numbers in black indicate the BdE projections
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q2
0.63
0.91
0.87
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q3
0.56
0.77
0.74
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q4
0.56
0.67
0.68
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42018:Q1
0.50
0.67
0.56
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecast Uncertainty: Benchmark Model
44DG ECONOMICS, RESEARCH AND STATISTICS
Core Inflation Rate
Nota. Numbers in blue indicate the forecasts from the Benchmark model, whilenumbers in black indicate the BdE projections
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q2
0.17
0.87
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q3
0.17
0.74
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q4
0.28
0.68
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42018:Q1
0.24
0.56
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecast Uncertainty: One-Fits-All Model
45DG ECONOMICS, RESEARCH AND STATISTICS
Core Inflation Rate
Nota. Numbers in red indicate the forecasts from the One-Fits-All model, whilenumbers in black indicate the BdE projections
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q2
0.50
0.87
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q3
0.52
0.74
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q4
0.37
0.68
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42018:Q1
0.37
0.56
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA
Forecast Uncertainty: Benchmark vs. One-Fits-All
Model
46DG ECONOMICS, RESEARCH AND STATISTICS
Core Inflation Rate
Nota. Numbers in blue (red) indicate the forecasts from the Benchmark (One-Fits-All)
model, while numbers in black indicate the BdE projections
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q2
0.17
0.50
0.87
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q3
0.17
0.52
0.74
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42017:Q4
0.28
0.37
0.68
-3 -2 -1 0 1 2 3
0
0.1
0.2
0.3
0.42018:Q1
0.24
0.37
0.56
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 47
Conclussions
• The proposed suite of models provide a narrative of the contribution of fundamental economic shocks that agrees with main historic events of the Spanish economy.
• The proposed SBVAR models are used to provide forecasts of output and inflation conditional on different scenarios about the development of key macroeconomic variables.
• The models provide conditional forecasts that are significantly aligned to the BdE projections
• Therefore, the suite could be incorporated to the toolkit of quantitative models that the Banco de España uses to perform forecasts.
DIRECCIÓN GENERAL DE ECONOMÍA Y ESTADÍSTICA 48
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