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Financial pressure, monetary policy effects and inventory adjustment by UK and Spanish firms

Benito, Andrew - Banco de España - 2002

This paper examines the adjustment of inventories by firms in the UK and Spain. A widely-held view—but one which has … not found much support in previous studies of inventories— is that a key channel for monetary policy is through … with borrowing costs on inventories are estimated. Financial effects associated with liquidity and the borrowing ratio are …

Persistent link: https://www.econbiz.de/10004980999

Ñ-STING: España Short Term INdicator of Growth

Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2009

We develop a dynamic factor model to compute short term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which works well as an indicator of the business cycle conditions in Spain. To examine its real time forecasting accuracy, we use real-time...

Persistent link: https://www.econbiz.de/10004969768

Inflation dynamics in a model with firm entry and (some) heterogeneity

Andrés, Javier; Burriel, Pablo - Banco de España - 2014

We analyse the incidence of endogenous entry and firm TFP-heterogeneity on the response of aggregate inflation to exogenous shocks. We build up an otherwise standard DSGE model in which the number of firms is endogenously determined and firms differ in their steady state level of productivity....

Persistent link: https://www.econbiz.de/10011105510

Monitoring the world business cycle

Camacho, Maximo; Martinez-Martin, Jaime - Banco de España - 2015

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...

Persistent link: https://www.econbiz.de/10011212880

Finite sample performance of small versus large scale dynamic factor models

Alvarez, Rocio; Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2012

We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...

Persistent link: https://www.econbiz.de/10010862254

Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth

Burriel, Pablo; García-Belmonte, María Isabel - Banco de España - 2013

In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...

Persistent link: https://www.econbiz.de/10010862260

The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit

Rivas, Maria Dolores Gadea; Perez-Quiros, Gabriel - Banco de España - 2012

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims...

Persistent link: https://www.econbiz.de/10010862273

Extracting non-linear signals from several economic indicators

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2012

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non-linear multivariate specification (one-step approach)...

Persistent link: https://www.econbiz.de/10010862279

Real-time forecasting us GDP from small-scale factor models

Camacho, Máximo; Martínez-Martín, Jaime - Banco de España - 2014

We show that the single-index dynamic factor model developed by Aruoba and Diebold (Am Econ Rev, 100:20-24, 2010) to construct an index of US business cycle conditions is also very useful for forecasting US GDP growth in real time. In addition, we adapt the model to include survey data and...

Persistent link: https://www.econbiz.de/10010936748

Markups, gaps, and the welfare costs of business fluctuations

Galí, Jordi; Gertler, Mark; López-Salido, J. David - Banco de España - 2002

In this paper we present a simple, theory-based measure of the variations in aggregate economic efficiency associated with business fluctuations. We decompose this indicator, which we refer to as “the gap”, into two constituent parts: a price markup and a wage markup, and show that the...

Persistent link: https://www.econbiz.de/10004981000