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Ajuste estacional y extracción de señales en la Contabilidad Nacional Trimestral

  • Instituto Nacional de Estadística (España). Subdirección General de Cuentas Nacionales
  • Banco de España. Servicio de Estudios
Descripción de los principales elementos del proceso de ajuste estacional y extraccion de señales que se emplean en la Contabilidad Nacional Trimestral (CNTR). Se especifica, en primer lugar, la estructura de componentes subyacentes empleada, para, a continuacion, describir los aspectos tecnicos de su estimacion. Dichos aspectos comprenden el calculo de los efectos de calendario, la determinacion de los componentes estocasticos y la descomposicion final. Asimismo, se detalla el proceso de extraccion de señales aplicado al Producto Interior Bruto (PIB) y, finalmente, el metodo de equilibrado y conciliacion multivariante empleado. (ad)

House prices and rents : an equilibrium asset pricing approach

  • Ayuso Huertas, Juan
  • Restoy Lozano, Fernando
In this paper we use a relatively general intertemporal asset pricing model where housing services and consumption are non-separable to obtain a measure of the potential overvaluation of housing in relation to rents in Spain, the United Kingdom and the United States. The results show that part of the increase in real house prices during the late nineties can be seen as a return to equilibrium following some undershooting of house prices after previous peaks. However, more recently, marked increases in house prices have led priceto- rent ratios to well above equilibrium in all three countries by 2002. More specifically, the price-to-rent ratios were around 20% above equilibrium in Spain and the UK, and around 7% in the US. Part of that overvaluation –particularly in Spain and the UK– may be attributable to the sluggishness of supply in the presence of large demand shocks in this market and/or the slow adjustment of observed rents to the conditions prevailing in the housing market. [resumen de autor]

Differences in changes in fresh food prices by type of establishment

  • Matea Rosa, María de los Llanos
  • Pérez-García Mirasierra, Miguel

Fixed and variable-rate mortgages, business cycles and monetary policy

  • Rubio Sánchez, Margarita
The aim of this paper is twofold. First, I study how the proportion of fixed and variable-rate mortgages in an economy can affect the way shocks are propagated. Second, I analyze optimal implementable simple monetary policy rules and the welfare implications of this proportion. I develop and solve a New Keynesian dynamic stochastic general equilibrium model that features a housing market and a group of constrained individuals who need housing collateral to obtain loans. A given proportion of constrained households borrows at a variable rate, while the rest borrows at a fixed rate. The model predicts that in an economy with mostly variable-rate mortgages, an exogenous interest rate shock has larger effects on borrowers than in a fixed-rate economy. Aggregate effects are also larger for the variable-rate economy. For plausible parametrizations, differences are muted by wealth effects on labor supply and by the presence of savers. More persistent shocks, such as inflation target and technology shocks, cause larger aggregate differences. From a normative perspective I find that, in the presence of collateral constraints, the optimal Taylor rule is less aggressive against inflation than in the standard sticky-price model. Furthermore, for given monetary policy, a high proportion of fixed-rate mortgages is welfare enhancing

International reserves and gross capital flows : dynamics during financial stress

  • Alberola Ila, Enrique
  • Erce Domínguez, Aitor
  • Serena Garralda, José Mª
This paper explores the role of international reserves as a stabilizer of international capital flows during periods of global financial stress. In contrast with previous contributions, aimed at explaining net capital flows, we focus on the behavior of gross capital flows. We analyze an extensive cross-country quarterly database using event analyses and standard panel regressions. We document significant heterogeneity in the response of resident investors to financial stress and relate it to a previously undocumented channel through which reserves are useful during financial stress. International reserves facilitate financial disinvestment overseas by residents, offsetting the simultaneous drop in foreign financing, Este trabajo estudia el papel de las reservas internacionales como una fuerza estabilizadora de los flujos de capital internacionales durante períodos de estrés global. A diferencia de contribuciones anteriores, centradas en estudiar los flujos de capital netos, este trabajo se centra en el comportamiento de los flujos de capital brutos. Mediante el uso de técnicas de panel y análisis de eventos analizamos una base de datos trimestrales con una amplia cobertura geográfica. Nuestros resultados muestran una marcada heterogeneidad en la respuesta de los inversores residentes a períodos de estrés, y relacionan dicha heterogeneidad con un canal para el que hasta la fecha no había evidencia empírica: las reservas internacionales facilitan la repatriación del capital que los inversores residentes tienen depositado en otros países, lo cual compensa la caída en la financiación internacional que se observa durante estos eventos

The incidence of nominal and real wage rigidity : an individual-based sectoral approach

  • Messina, Julián
  • Izquierdo Peinado, Mario
This paper presents estimates based on individual data of downward nominal and real wage rigidities for thirteen sectors in Belgium, Denmark, Spain and Portugal. Our methodology follows the approach recently developed for the International Wage Flexibility Project, whereby resistance to nominal and real wage cuts is measured through departures of observed individual wage change histograms from an estimated counterfactual wage change distribution that would have prevailed in the absence of rigidity. We evaluate the role of worker and firm characteristics in shaping wage rigidities. We also confront our estimates of wage rigidities to structural features of the labour markets studied, such as the wage bargaining level, variable pay policy and the degree of product market competition. We find that the use of firm-level collective agreements in countries with rather centralized wage formation reduces the degree of real wage rigidity. This finding suggests that some degree of decentralization within highly centralized countries allows firms to adjust wages downwards, when business conditions turn bad

Understanding the Spanish business innovation gap : the role of spillovers and firms' absorptive capacity

  • López García, Paloma
  • Montero Montero, José Manuel
This paper investigates whether the existence of knowledge spillovers, differences in the capacity of firms to assimilate them and disparities in some human resource management practices are related with the decision to innovate of Spanish firms. In order to do this, we employ data from the "Central de Balances" database, which covers both manufacturing and services firms during the period 2003-2007, and use an estimator proposed by Wooldridge (2005) for dynamic random effects discrete choice models. The empirical exercise provides evidence on the positive link between spillovers and the innovative behaviour of companies, not just for the knowledge generated in the same industry, but also for that generated in the same region or by the public sector. Moreover, this link is stronger for those firms with a higher capacity to absorb those spillovers. This ability not only works through firms’ R&D capabilities, but also through such factors as the quality of the labour force, the share of temporary employment and the amount of resources spent in training. In addition to these factors, we find that innovation performance exhibits a high degree of inertia. Further, some other observed firm characteristics, such as size, sales growth, export behaviour, sector capital intensity or financial structure variables, are also found to be relevant determinants of the likelihood of innovation

Monitoring the world business cycle

  • Camacho, Máximo
  • Martínez Martín, Jaime
En este artículo proponemos un modelo Markov-switching de factores dinámicos para: i) construir un índice que refl eje las condiciones del ciclo económico global, ii) para realizar previsiones a corto plazo del crecimiento trimestral del PIB mundial en tiempo real, y iii) calcular probabilidades en tiempo real del ciclo económico global. Para superar los retos inherentes a la predicción en tiempo real, el modelo se adapta a frecuencias mixtas y a la publicación de datos asincrónicos, e incorpora indicadores adelantados. Nuestros resultados en un falso tiempo real muestran que este enfoque proporciona inferencias fi ables y oportunas del crecimiento trimestral global y del estado del ciclo económico mundial en frecuencia mensual, We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, for performing short-term forecasts of quarterly world GDP growth in real time and computing real-time business cycle probabilities. To overcome the real-time forecasting challenges, the model takes into account mixed frequencies, asynchronous data publication and leading indicators. Our pseudo real-time results show that this approach provides reliable and timely inferences of quarterly world growth and of the state of the world business cycle on a monthly basis

Fiscal multipliers across the credit cycle

  • Borsi, Mihály Tamás
Este trabajo estudia las diferencias entre los multiplicadores fiscales a lo largo del ciclo de crédito en las economías de la OCDE. Se obtienen respuestas al impulso mediante un modelo estado dependiente con proyecciones directas, en el que los multiplicadores dependen del estado de los mercados de crédito. La identificación de los efectos de las medidas de estímulo y de austeridad fiscal se logra mediante la distinción entre los incrementos y las disminuciones no anticipados en el gasto público. Los resultados empíricos destacan la importancia del entorno financiero. Las políticas fiscales expansivas están asociadas con grandes multiplicadores durante los episodios de crisis crediticias y, además, un aumento del gasto también fomenta el crecimiento económico en los períodos de expansiones rápidas de crédito, aunque en menor medida. Por el contrario, el efecto de las políticas fiscales contractivas en la producción no es nunca estadísticamente distinto de cero. Los multiplicadores para cada componente del PIB y la tasa de desempleo implican que las reducciones en el gasto público deben ayudar a restringir la economía durante los auges de crédito excesivos, mientras que el aumento de los gastos en las recesiones financieras debería facilitar la reparación de los balances del sector privado con el fin de reactivar la confianza del mercado e impulsar la recuperación económica, This paper studies the differences between fiscal multipliers in OECD economies across the credit cycle. Impulse responses are obtained using a state-dependent model with direct projections, in which multipliers depend on the state of credit markets. Identification of the effects of fiscal stimulus and austerity measures is achieved by distinguishing between unanticipated increases and decreases in government spending. The empirical results imply that the financial environment matters. Expansionary fiscal policies are associated with large multipliers during credit crunch episodes, and spending increases likewise foster economic growth in periods of rapid credit expansion, albeit to a lesser extent. In contrast, the output effect of contractionary fiscal policies is never statistically different from zero. Regime-specific multipliers of the individual components of GDP and the unemployment rate suggest that reductions in public expenditure should help constrain the economy during unsustainable credit booms, whereas spending increases in financial recessions should facilitate the repair of private sector balance sheets in order to revive market confidence and boost economic recovery

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