Spain in the Euro: a General Equilibrium Analysis€¦ · peseta Example of a 2009-2010 forecast...
Transcript of Spain in the Euro: a General Equilibrium Analysis€¦ · peseta Example of a 2009-2010 forecast...
Spain in the Euro: a General Equilibrium Analysis
Javier Andrés (University of Valencia), Samuel Hurtado, Eva Ortegaand Carlos Thomas (Bank of Spain)
Central Bank Macroeconomic Modelling WorkshopBank of Israel, 28-29 October 2009
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 1
/ 31
The Bank of Spain DSGE model
BEMOD: DSGE model developed at the Bank of Spain (Andrés,Burriel and Estrada, 2006, Bank of Spain WP)
First DSGE model of the Eurosystem to incorporate a multi-country(Spain + rest of Euro Area) and multi-sector (non-tradables,tradables and durables) structure
Estimated version published (Investigaciones Económicas, 2009) andused in simulation exercises, e.g. e¤ects of oil price shocks
Also used as a validation tool in the regular quarterly forecastingexercises: estimation of shocks behind baseline macroeconomicforecasts
Rich tool for the analysis of the Spanish economy inside EMU
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 2
/ 31
This talk
This talk: BEMOD-based analysis of Spain�s macroeconomic�uctuations (relative to rest of EMU) since the creation of the euro
Results: estimated model attributes �uctuations in GDP growth andCPI in�ation di¤erentials to a combination of
Asymmetric country-speci�c shocks (demand and productivity shocksfor GDP, cost-push shocks for CPI)Asymmetric economic structure (lower nominal rigidities in Spain butmore wage indexation)
Results imply: Di¤erent stabilization needs for Spain and the rest ofEMU -> counter-factual simulations from a version of BEMOD withpeseta
Example of a 2009-2010 forecast validation exercise
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 3
/ 31
Model structure
3 country blocks: Spain (H), Rest of Euro Area (F) and Rest of theWorld (W; exogenous)
4 types of agents in H and F:1 Representative household:
Supplies labor and rents physical capital to �rmsPurchases consumption basket, invests in productive capital and indurable goods, buys nominal bonds (euro- and dollar-denominated)
2 Firms:
3 sectors: tradables, non-tradables, durables3 inputs in each sector: labor, capital and oil
3 Fiscal authority: collects taxes, consumes a fraction of country�s outputand issues nominal government bonds
4 Monetary authority (common to H and F): sets short-run nominalinterest rates (Taylor rule)
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 4
/ 31
Frictions
Nominal frictions:
Goods markets: monopolistic competition, Calvo price-setting andindexation to sectoral de�atorLabor markets: monopolistic competition, Calvo wage-setting andindexation to CPI
Real frictions:
Investment adjustment costsAdjustment costs in importsVariable capital utilizationHabit formation
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 5
/ 31
Shocks
7 country-speci�c shocks (Spain & rest of EMU):
Technology: sectoral TFP (tradables, non-tradables), andinvestment-speci�cPreferences: impatience to consumePrice and wage mark-upsGovernment expenditure
3 shocks common to Spain and Rest of EMU: TFP,di¤erence-stationary technology and nominal interest rate
4 shocks to Rest of the World: oil price, nominal interest rate, worldprices and demand
Total: 21 shocks
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 6
/ 31
Some log-linearized equations
Sectoral de�ator in�ation in sector S,
�St � �S�St�1 =�1� �S
� �1� ��S
��S
�mcSt + u
Pt
�+ �Et
��St+1 � �S�St
�mcSt = wt �mplt:
wt = �Wt � �CPIt + wt�1:
Wage in�ation,
�Wt ��W�CPIt�1 =
�1� �W
� �1� ��W
��W (1 + "W �)
�mrst + u
Wt
�+�Et
��Wt+1 � �W�CPIt
��S ; �S : Calvo and indexation parameters in sector S;�W ; �W : Calvo and indexation parameters for nominal wages
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 7
/ 31
Some log-linearized equations (2)
Taylor rule for the nominal interest rate,
Rt = �RRt�1 + (1� �R)����0:1�CPIt + 0:9F�CPIt
�+�y (0:1�vat + 0:9�Fvat)
�+ "Rt :
�� > 1, �CPIt : CPI in�ation, �vat: value added growth, "Rt � iid.
Spain has a low weight (10%) on ECB monetary policy decisions.
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 8
/ 31
Model parameterization
Bayesian estimation of:
Shock parameters (autocorrelation and standard deviation)Calvo and indexation parameters: prices (tradables and non-tradables)and wagesTaylor rule coe¢ cientsInvestment adjustment costs
Calibration of remaining parameters, including
Preferences: discount factor, elasticities of substitution (inter- andintra-temporal), labor supply elasticity, habitsTechnology: factor shares, elasticities of substitution, variable capitalutilizationDepreciation rates for productive capital and stock of durablesSteady-state ratios (share of non-tradables in consumption, etc.)
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 9
/ 31
Calibration
H / F country Description� 0.99 discount factor�; �D 1 inter-temporal ES (consumption, durables) 0.85 habits'�1 1 labor supply elasticity�; �T 0.5 intra-temporal ES!CN 0.47 / 0.58 weight of non-tradables in consumption!CTH 0.46 / 0.43 weight of home goods in tradables consumption!CTF 0.33 / 0.08 weight of RW goods in tradables consumption�; �D 0.021, 0.005 depreciation rates (capital, durables)�T 0.34 / 0.15 capital share in tradables�N 0.21 / 0.22 capital share in non-tradables�D 0.14 / 0.05 capital share in durables
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 10
/ 31
Bayesian estimation: data
Quarterly data, 1997Q1-2007Q4
17 observable variables:
Spain (8): consumption, productive investment, value added,employment in tradables and non-tradables, year-on-year CPI in�ation,real wages, exportsRest of Euro Area (7): same variables except for exportsEuro nominal interest rateWorld nominal interest rate
Non-stationary series (consumption, investment, etc.) in demeanedgrowth rates
Stationary series (in�ation and interest rates) are demeaned
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 11
/ 31
Parameter estimates
Prior Prior mean Posterior modeParameter dist. Spain Rest EMU Spain Rest EMU
Calvo tradables Beta 0.75 0.75 0.69 0.83Calvo non-tradables Beta 0.83 0.80 0.90 0.93Calvo, wages Beta 0.75 0.75 0.61 0.69indexation, tradables Beta 0.30 0.30 0.09 0.24indexation, non-tradables Beta 0.40 0.40 0.27 0.35indexation, wages Beta 0.75 0.25 0.77 0.16invest. adjustment cost Normal 4 4 1.07 3.44Taylor rule, in�ation Normal 1.5 1.51Taylor rule, output growth Normal 0.5 0.44Taylor rule, smoothing Beta 0.9 0.83
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 12
/ 31
Prior vs. posterior distributions: Calvo parameters
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 13
/ 31
Prior vs. posterior distributions: indexation parameters
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 14
/ 31
Prior vs. posterior distributions: Taylor rule coe¢ cients
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 15
/ 31
Shock to Euro Area nominal interest rate
EMU - nominal interest rate EMU - private consumption EMU - private productive investment
Spain - total exports Spain - private consumption Spain - private productive investment
Spain - tradable production Spain - non-tradable production Spain - total employment
0
0,1
0,2
0,3
0,4
0,5
-1,6-1,4-1,2
-1-0,8-0,6-0,4-0,2
0
-5
-4
-3
-2
-1
0
1
-1,2
-1
-0,8
-0,6
-0,4
-0,2
0
-1,4
-1,2
-1
-0,8
-0,6
-0,4
-0,2
0
-2,5
-2
-1,5
-1
-0,5
0
-8
-6
-4
-2
0
2f
-15
-10
-5
0
5
-3-2,5
-2-1,5
-1-0,5
00,5
1
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 16
/ 31
Sources of growth and in�ation di¤erentials
What have been the determinants of GDP growth and CPI in�ationdi¤erentials between Spain and the rest of EMU?
Given the infered historical shocks, compute the contribution of eachtype of shock to observed GDP growth and CPI in�ation in the twoeconomies
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 17
/ 31
Decomposition of GDP growth di¤erentials
EMU - value added growth
ES - value added growth
-12,0
-10,0
-8,0
-6,0
-4,0
-2,0
0,0
2,0
4,0
6,0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - public demand
EMU - private demand
ES - prices and wages
ES - productivity
ES - demand (private and public)
Carry-over
EMU - working age population
EMU - value added growth
-12,0
-10,0
-8,0
-6,0
-4,0
-2,0
0,0
2,0
4,0
6,0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - demand (private and public)
ES - prices and wages
ES - productivity
ES - public demand
ES - private demand
Carry-over
ES - working age population
ES - value added growth
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 18
/ 31
Decomposition of CPI in�ation di¤erentials
EMU - private consumption inflation
ES - private consumption inflation
ES - value added growth
-6,0-5,0-4,0-3,0-2,0-1,00,01,02,03,04,05,0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - demand (private and public)
ES - prices and wages
ES - productivity
ES - demand (private and public)
Carry-over
EMU - private consumption inflation
-6,0-5,0-4,0-3,0-2,0-1,00,01,02,03,04,05,0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - demand (private and public)
ES - prices and wages
ES - productivity
ES - demand (private and public)
Carry-over
ES - private consumption inflation
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 19
/ 31
Decomposition of Spain-EMU di¤erentials
Country-speci�c shocks have played a key role in growth and in�ationdevelopments in the two economies
Common shocks (rest of the World, EMU-wide) are also keydeterminants but have di¤erent impacts across countries ) must bedue to asymmetries in the economic structure:
lower nominal inertia in Spain
but more wage indexation: second-round e¤ects amplify �uctuations inSpanish CPI in�ationlower real rigidities in investment than rest of Eurozonemore oil dependency in Spanish production and CPI
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 20
/ 31
Decomposition of Spain-EMU di¤erentials
Country-speci�c shocks have played a key role in growth and in�ationdevelopments in the two economies
Common shocks (rest of the World, EMU-wide) are also keydeterminants but have di¤erent impacts across countries ) must bedue to asymmetries in the economic structure:
lower nominal inertia in Spainbut more wage indexation: second-round e¤ects amplify �uctuations inSpanish CPI in�ation
lower real rigidities in investment than rest of Eurozonemore oil dependency in Spanish production and CPI
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 20
/ 31
Decomposition of Spain-EMU di¤erentials
Country-speci�c shocks have played a key role in growth and in�ationdevelopments in the two economies
Common shocks (rest of the World, EMU-wide) are also keydeterminants but have di¤erent impacts across countries ) must bedue to asymmetries in the economic structure:
lower nominal inertia in Spainbut more wage indexation: second-round e¤ects amplify �uctuations inSpanish CPI in�ationlower real rigidities in investment than rest of Eurozone
more oil dependency in Spanish production and CPI
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 20
/ 31
Decomposition of Spain-EMU di¤erentials
Country-speci�c shocks have played a key role in growth and in�ationdevelopments in the two economies
Common shocks (rest of the World, EMU-wide) are also keydeterminants but have di¤erent impacts across countries ) must bedue to asymmetries in the economic structure:
lower nominal inertia in Spainbut more wage indexation: second-round e¤ects amplify �uctuations inSpanish CPI in�ationlower real rigidities in investment than rest of Eurozonemore oil dependency in Spanish production and CPI
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 20
/ 31
Implications for monetary policy
Asymmetries in shocks and structure => di¤erent stabilization needsat certain periods between Spain and the rest of EMU, but only onemonetary policy (in which Spain plays small role).
Build a version of BEMOD in which Spain retains the peseta andBanco de España has its own interest rate rule (same coe¢ cients asin estimated model, but national targets)
Compute di¤erentials in this version, given estimated structuralparameters and historical shocks
Compare with actual di¤erentials
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 21
/ 31
Actual vs counterfactual di¤erentials: independentmonetary policy
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008-0.02
-0.01
0
0.01
0.02GDP growth differential
datacounterfactual
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008-0.01
-0.005
0
0.005
0.01CPI inflation differential
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 22
/ 31
Actual vs counterfactual di¤erentials: independentmonetary policy
2001 2002 2003 2004 2005 2006 2007 20082
2.5
3
3.5
4
4.5
5tipos de interés nominales a 3 meses
tipos del euro, serie históricatipos de la peseta, simulacióntipos del euro, simulación
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 23
/ 31
Actual vs counterfactual di¤erentials: independentmonetary policy
At certain dates, Banco de España would have hypotheticallyimplemented di¤erent growth-in�ation combinations. Spanishmonetary policy would have (hypotehtically) been more restrictive in2002-2006.
lower relative in�ation most of the sample and similar or slightly lowerrelative growth
Interest rates in the rest of Eurozone almost unchanged: Spain barelya¤ected EMU monetary policy
Re�ects endogenous response to di¤erent stabilization needs
Caveats: BEMOD does not include the credibility etc. bene�ts ofEMU membership for Spain, neither the costs of changing regime.
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 24
/ 31
Validation of baseline macroeconomic forecasts
shock de preferencias shock de preferencias - UEM shock de demanda mundial
-0,06
-0,04
-0,02
0
0,02
0,04
0,06
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,02
-0,015
-0,01
-0,005
0
0,005
0,01
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,6
-0,4
-0,2
0
0,2
0,4
2002 2003 2004 2005 2006 2007 2008 2009 2010
shock de gasto público shock de gasto público - UEM shock de tipos de interés
-0,05
0
0,05
0,1
0,15
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,1
-0,05
0
0,05
0,1
0,15
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,004-0,003-0,002-0,001
00,0010,0020,0030,004
2002 2003 2004 2005 2006 2007 2008 2009 2010
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 25
/ 31
Validation of baseline macroeconomic forecasts
EMU - value added growth
ES - value added growth
-12,0
-10,0
-8,0
-6,0
-4,0
-2,0
0,0
2,0
4,0
6,0
2003 2004 2005 2006 2007 2008 2009 2010
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - public demand
EMU - private demand
ES - prices and wages
ES - productivity
ES - demand (private and public)
Carry-over
EMU - working age population
EMU - value added growth
-12,0
-10,0
-8,0
-6,0
-4,0
-2,0
0,0
2,0
4,0
6,0
2003 2004 2005 2006 2007 2008 2009 2010
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - demand (private and public)
ES - prices and wages
ES - productivity
ES - public demand
ES - private demand
Carry-over
ES - working age population
ES - value added growthAndrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 26
/ 31
Conclusions
We have analyzed Spain�s macroeconomic �uctuations (relative toEMU) during the �rst 10 years of Euro membership...
... through the lens of an estimated version of the Banco de EspañaDSGE model (BEMOD)
Di¤erentials in CPI in�ation and GDP growth have been persistentand volatile
We have found a relevant role for both
asymmetries in country-speci�c shocks (demand, productivity, priceand wage mark-ups), andasymmetries in economic structure (nominal and real rigidities)
An independent monetary authority would have hypotheticallypursued di¤erent output-in�ation trade-o¤s at certain times
Through the lens of BEMOD, the current recession in Spain had aninternational and EMU-wide origin but has been reinforced by adepressed domestic demand despite the �scal stimulus.
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 27
/ 31
Figure: Structure of production in each country
Stage I
Stage II
Stage III
O k n
YN YT
IT
YD
IN cTcN
IH FIHcH FcH WcHWIH
IP
XF XW
I c g X
M
cF IF IWcW
MF MW
cOil
g
ID
Stage I
Stage II
Stage III
O k n
YN YT
IT
YD
IN cTcN
IH FIHcH FcH WcHWIH
IP
XF XW
I c g X
M
cF IF IWcW
MF MW
cOil
g
ID
Stage I
Stage II
Stage III
O k n
YN YT
IT
YD
IN cTcN
IH FIHcH FcH WcHWIH
IP
XF XW
I c g X
M
cF IF IWcW
MF MW
cOil
g
ID
O k n
YN YT
IT
YD
IN cTcN
IH FIHcH FcH WcHWIH
IP
XF XW
I c g X
M
cF IF IWcW
MF MW
cOil
g
ID
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 28
/ 31
Goodness of �t
Data vs one-period-ahead forecast (Kalman �lter)
Spain - CPI inflation - year-on-year growth rate EMU - CPI inflation - year-on-year growth rate
Spain - value added - quarterly growth rate EMU - value added - quarterly growth rate
-0,025-0,02
-0,015-0,01
-0,0050
0,0050,01
0,015
1997 1999 2001 2003 2005 2007
-0,015
-0,01
-0,005
0
0,005
0,01
0,015
1997 1999 2001 2003 2005 2007-0,01
-0,005
0
0,005
0,01
1997 1999 2001 2003 2005 2007
-0,015
-0,01
-0,005
0
0,005
0,01
0,015
1997 1999 2001 2003 2005 2007
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 29
/ 31
Validation of baseline macroeconomic forecasts
shock al crecimiento común de largo plazo shock de precio del petró leo
-0,008
-0,006
-0,004
-0,002
0
0,002
0,004
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,4-0,3-0,2-0,1
00,10,20,3
2002 2003 2004 2005 2006 2007 2008 2009 2010
shock so bre los salarios shock sobre los salarios - UEM
-0,6
-0,4
-0,2
0
0,2
0,4
0,6
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,4-0,3-0,2-0,1
00,10,20,3
2002 2003 2004 2005 2006 2007 2008 2009 2010
shock de productividad en no comerciables shock de productividad en no comerciables - UEM
-0,3
-0,2
-0,1
0
0,1
0,2
0,3
2002 2003 2004 2005 2006 2007 2008 2009 2010
-0,2-0,15-0,1
-0,050
0,050,1
0,150,2
2002 2003 2004 2005 2006 2007 2008 2009 2010
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 30
/ 31
Validation of baseline macroeconomic forecasts
EMU - private consumption inflation
ES - private consumption inflation
-7,0-6,0-5,0-4,0-3,0-2,0-1,00,01,02,03,04,05,0
2003 2004 2005 2006 2007 2008 2009 2010
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - demand (private and public)
ES - prices and wages
ES - productivity
ES - demand (private and public)
Carry-over
EMU - private consumption inflation
-7,0-6,0-5,0-4,0-3,0-2,0-1,00,01,02,03,04,05,0
2003 2004 2005 2006 2007 2008 2009 2010
Rest of the world
Common real shocks
Interest rates
EMU - prices and wages
EMU - productivity
EMU - demand (private and public)
ES - prices and wages
ES - productivity
ES - demand (private and public)
Carry-over
ES - private consumption inflation
Andrés, Hurtado, Ortega, Thomas () Spain in the Euro: a GE AnalysisCentral Bank Macroeconomic Modelling Workshop Bank of Israel, 28-29 October 2009 31
/ 31