A DSGE Model for the Spanish Economy (original) (raw)

MEDEA: A DSGE Model for the Spanish Economy

SSRN Electronic Journal, 2000

In this paper, we provide a brief introduction to a new macroeconometric model of the Spanish economy named MEDEA (Modelo de Equilibrio Dinámico de la Economía EspañolA). MEDEA is a dynamic stochastic general equilibrium (DSGE) model that aims to describe the main features of the Spanish economy for policy analysis, counterfactual exercises, and forecasting. MEDEA is built in the tradition of New Keynesian models with real and nominal rigidities, but it also incorporates aspects such as a small open economy framework, an outside monetary authority such as the ECB, and population growth, factors that are important in accounting for aggregate fluctuations in Spain. The model is estimated with Bayesian techniques and data from the last two decades. Beyond describing the properties of the model, we perform different exercises to illustrate the potential of MEDEA, including historical decompositions, long-run and short-run simulations, and counterfactual experiments.

BEMOD: A DSGE Model for the Spanish Economy and the Rest of the Euro Area

SSRN Electronic Journal, 2000

In this paper we present the theoretical foundations and the simulation results obtained with a new dynamic general equilibrium model developed at the Banco de España for the Spanish economy and the rest of Euro area. The model is designed to help in simulating the effect of alternative shocks on the main aggregate variables.

Spain in the Euro: a general equilibrium analysis

Series, 2010

This paper analyzes the determinants of Spain's macroeconomic ‡uctuations since the inception of the euro in 1999, with a special attention to observed growth and in- ‡ation di¤erentials with respect to the rest of the European Monetary Union (EMU). For that purpose we estimate the Banco de España DSGE model of the Spanish economy and the rest of the Eurosystem (BEMOD). We …nd that observed di¤erentials are the result of a combination of asymmetric country-speci…c shocks (in particular, demand and productivity shocks for growth and cost-push shocks for in ‡ation) as well as asymmetric economic structure (especially lower nominal wage and price rigidities in Spain). Finally, we …nd that EMU membership has had a non-negligible e¤ect on observed di¤erentials. JEL codes: C11, C51, E17

A rational expectations model for simulation and policy evaluation of the Spanish economy

SERIEs, 2010

This paper describes a Rational Expectations Model of the Spanish economy, REMS, which is in the tradition of small open economy dynamic general equilibrium models, with a strongly microfounded system of equations. The model is built on standard elements, but incorporates some distinctive features to provide an accurate description of the Spanish economy. We contribute to the existing models of the Spanish economy by adding search and matching rigidities to a small open economy framework. Our model also incorporates habits in consumption and rule-of-thumb households. As Spain is a member of EMU, we model the interaction between a small open economy and monetary policy in a monetary union. The model is primarily constructed to serve as a simulation tool at the Spanish Ministry of Economic Affairs and Finance. As such, it provides a great deal of information regarding the transmission of policy shocks to economic outcomes. The paper describes the structure of the model in detail, as well as the estimation and calibration technique and some examples of simulations.

An area-wide model for the euro area

Economic Modelling, 2005

This paper presents a quarterly estimated structural macroeconomic model for the euro area, the AWM, which is a medium-sized model that treats the euro area as a single economy. The model is designed to have a long-run equilibrium consistent with neo-classical economic theory while the short-run dynamics are largely demand-driven. The current version of the AWM is mostly backwardlooking and is largely estimated rather than calibrated. A general overview of the structure of the model and of its long-run and short-run properties is given, with particular emphasis on the steady state properties, and a review of key equations. Results from two illustrative simulations are provided: a fiscal expenditure shock and a change in interest rates, with and without policy responses, respectively.

Update of the Quarterly Model of the Bank of Spain

SSRN Electronic Journal, 2000

This paper presents the update of the macroeconometric model used at the Bank of Spain for medium term macroeconomic forecasting of the Spanish economy, as well as for performing policy simulations. The many changes that the Spanish economy has experimented in the last years, and the new system of national accounts published by the national statistical office, suggested that a reestimation of the model was due. This paper presents such reestimation with newer data (up to the end of 2005), and includes some modifications that were deemed necessary in certain equations.

A general equilibrium assessment of external and domestic shocks in Spain

Economic Modelling, 2012

After many years of growth, the Spanish economy plunged into the most severe and prolonged recession recorded since reliable national accounts data have been available. The main goal of this paper is to quantify the effects of the external and domestic shocks that hit the Spanish economy in 2008-2009 by employing a disaggregated general equilibrium model calibrated to a 2000 SAM elaborated by the authors. External shocks are simulated by employing the neoclassical closure (private investment is determined by domestic and external savings) and the Keynesian closure (investment is exogenous). External and domestic shocks are also jointly simulated with the Keynesian closure. The results provide a good approximation to observed changes in key macroeconomic variables.