Open AccessA Short-Term Forecasting Model for the Spanish Economy: GDP and Its Demand Components
Author(s) -
Ana Arencibia Pareja,
Ana GómezLoscos,
Mercedes de Luis López,
Gabriel PérezQuirós
Publication year - 2018
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.3118855
Subject(s) - economics , investment (military) , private consumption , real gross domestic product , consumption (sociology) , investment goods , term (time) , dynamic factor , economy , gross private domestic investment , predictive power , demand forecasting , econometrics , macroeconomics , production (economics) , fiscal policy , return on investment , operations management , physics , quantum mechanics , social science , philosophy , open ended investment company , epistemology , sociology , politics , political science , law
This document describes the key aspects of the extended and revised version of Spain-STING (Spain, Short-Term Indicator of Growth), which is a tool used by the Banco de Espana for the short-term forecasting of the Spanish economy’s GDP and its demand components. Drawing on a broad set of indicators, several dynamic factor models are estimated. These models allow the forecasting of GDP, private consumption, public expenditure, investment in capital goods, construction investment, exports and imports in a consistent way. We assess the predictive power of the GDP and its demand components for the period 2005- 2017. With regard to the GDP forecast, we find a slight improvement on the previous version of Spain-STING. As for the demand components, we show that our proposal is better than other possible time series models.
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