2006): BEMOD: a DSGE model for the Spanish economy and the rest of the Euro Area. Banco de España Working Paper, n (original) (raw)

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.

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.

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

2005, An Estimated Two-Country DSGE Model for the Euro Area and the

2014

Work in progress This paper develops an open economy DSGE model with sticky prices and wages linking the euro area and the US economy. The model is estimated with Bayesian tech-niques using ten country-speci c macroeconomic variables for each economy together with oil prices and the euro/dollar exchange rate. The introduction of a complete set of domestic and open economy shocks allows for an empirical investigation of their con-tribution to the business cycle uctuations in output, trade balance and exchange rate. The spill-over e¤ects depend crucially on the elasticity of substitution. The empirical t results in similar probabilities for high and low values of this parameter. The re-strictions that are imposed by the UIRP condition on the reaction of the model to the various shocks are not supported by the data. 1

Exploring the sources of Spanish macroeconomic fluctuations: An estimation of a small open economy DSGE model

International Review of Economics & Finance

This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluctuations before the international financial and economic crisis (1970-2008). To do this we estimate a small open economy stochastic model using Kalman Filter techniques. The set of estimated parameters allows the replication with remarkable accuracy of the time path for the major macroeconomic aggregates. In particular, the model reproduces the so-called dual inflation phenomenon which burdens the competitiveness of the Spanish economy.

Disentangling the Effects of Supply and Demand Shocks: A DSGE Model for the Spanish Economy

Procedia Economics and Finance, 2014

In this paper we use a small open economy Dynamic Stochastic General Equilibrium Model (DSGE) for Spanish economy to search for a deeper characterization of the determinants of Spain's macroeconomic fluctuations throughout the period 1970-2008. In order to do this, we distinguish between tradable and non-tradable goods to take into account the fact that the presence of non-tradable goods in this economy is one of the largest in the world. We estimate a DSGE model with supply and demand shocks (sectorial productivity, public spending, international real interest rate and preferences) using Kalman Filter techniques. We find the following results. First of all, our variance decomposition analysis suggests that 1) the preference shock basically accounts for private consumption volatility 2) the idiosyncratic productivity shock accounts for non tradable output volatility; and 3) the sectorial productivity shock along with the international interest rate both greatly account for tradable output. Secondly, the model closely replicates the time path observed in the data for the Spanish economy and finally, the model captures the main cyclical qualitative features of this economy reasonably well.

Empirical Properties Of Closed-And Open-Economy Dsge Models Of The Euro Area

2008

Abstract In this paper, we compare the empirical properties of closed-and open-economy DSGE models estimated on Euro area data. The comparison is made along several dimensions; we examine the models in terms of their marginal likelihoods, forecasting performance, variance decompositions, and their transmission mechanisms of monetary policy.

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.