Macroeconomía

Documentos Macroeconomía

Precio de la vivienda, empleo y PIB en España

eee2017-09 | Javier Andrés, Javier Ferri, 11/04/2017

En este trabajo se analiza la influencia de diversos shocks sobre la evolución reciente de la producción agregada y el empleo en la economía española. Nuestros resultados sugieren que los shocks al precio de la vivienda y al crédito a las empresas explican una proporción no desdeñable de la dinámica del PIB en España antes y, sobre todo, durante la crisis financiera.

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Heterogeneous Household Finances and the Effect of Fiscal Policy

dt2017-05 | Javier Andrés, José E. Boscá, Javier Ferri, Cristina Fuentes-Albero, 06/03/2017

This paper develops a model with heterogeneous households in terms of net worth and collaterizable assets. Using sample weights estimated from the PSID, we show that balancesheet heterogeneity is key to characterizing the aggregate effects of government spending along different dimensions. We find that: (i) the response of individual consumption to a government spending shock is negatively correlated with household’s net worth and also depends on her access to mortgage and non-mortgage credit, which implies that the size of the fiscal multiplier is sensitive to the distribution of household types; (ii) the response of aggregate employment is negatively correlated with the share of impatient households; as the weight of these households in total population increases firms rely more on adjustments in the intensive margin to meet the fiscal induced boost in aggregate demand, thus generating jobless recoveries; (iii) the output multiplier is positively correlated with wealth inequality; and (iv) while a government spending shock has a welfare cost for wealthy households, it delivers a welfare gain for constrained households.

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El Impacto de los Fondos FEDER (2014-2020) sobre el Crecimiento y el Empleo de las Regiones Españolas

eee2016-34 | José E. Boscá, Javier Escribá, Javier Ferri, María José Murgui, 08/11/2016

Este trabajo cuantifica los efectos que sobre el crecimiento económico y el empleo tendría la ejecución de los programas cofinanciados con el Fondo FEDER durante el periodo 2014-2020. Obtenemos para ello simulaciones procedentes de un modelo de equilibrio general dinámico para la economía española (REMS), considerando como escenario base el derivado del Programa de Estabilidad. Los resultados agregados apuntan a un efecto positivo sobre la tasa de crecimiento medio interanual del PIB ligeramente superior a tres décimas, lo que supondría un aumento del PIB de 26.000 millones en 2020 y aproximadamente 240.000 puestos de trabajo más durante el periodo.

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Notas para una política fiscal en la salida de la crisis

fpp2016-03 | Javier Andrés, Ángel de la Fuente, Rafael Doménech, 22/02/2016

¿Qué política fiscal debería adoptar España durante los próximos años, ahora que finalmente parece que lo peor de la crisis ya ha pasado? Quizás la principal línea de división entre las posibles respuestas a esta pregunta es la existente entre los que piensan que el nivel actual de ingresos públicos sobre PIB es suficiente para atender las necesidades de la sociedad española y aquellos que consideran que el peso del gasto público ha de incrementarse significativamente para asegurar la suficiencia y la calidad de los servicios y prestaciones públicas. Tras repasar la historia reciente de las cuentas públicas españolas, en el presente trabajo se propone una estrategia para asegurar la solvencia de nuestras finanzas públicas que se sitúa en una posición intermedia entre los extremos descritos anteriormente e incorpora un tercer margen de actuación que, a nuestro entender, resulta crucial. En un contexto de crecientes necesidades de gasto, ligadas en buena parte al envejecimiento de la población, la eliminación del déficit seguramente requerirá tanto un esfuerzo continuado de contención y racionalización del gasto, para el que ciertamente hay margen, como un incremento de la recaudación tributaria que debería ser lo menos distorsionador posible. Pero las actuaciones sobre ambas partidas del presupuesto pueden verse complementadas por el uso de un instrumento adicional: unas reformas estructurales que sirvan para aumentar de forma significativa y sostenida el nivel de ocupación y la tasa de crecimiento de nuestra economía, mitigando así el desagradable trade-off que existe entre presión fiscal, por un lado, y protección social y calidad de los servicios públicos, por el otro.

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REMS1: Adding Financial Frictions and a Housing Market to REMS

eee2016-03 | José E. Boscá, Javier Ferri, 26/01/2016

We introduce an update of REMS, the model used by the Spanish Ministries of Economy and Finance for ex-ante policy evaluation. We include two new features in the model: credit-constrained consumers, which are added to the existing optimizing consumers and liquidity-constrained (RoTs) consumers; and a market for housing. Credit-constrained consumers can borrow up to a limit defined by the expected value of their houses. Part of the real estate accumulated by patient households is offered to impatient and liquidity-contrained households as house to rent. Impatient households can decide between purchasing houses to occupy themselves or renting houses from patient households. Completely liquidity-constrained households only have access to rented houses. We illustrate how this housing market reacts to different shocks and we simulate the expected e§ects of Spainís 2014 fiscal reform.

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Series enlazadas de PIB y otros agregados de Contabilidad Nacional para España, 1955-2014

eee2016-02 | Ángel de la Fuente, 21/01/2016

En este trabajo se elaboran series homogéneas de PIB, empleo y otros agregados de Contabilidad Nacional para el conjunto de España durante el período 1955-2014. Las series se construyen mediante el enlace de diversas bases de la CNE y de la Contabilidad Trimestral.

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2015/11 Series enlazadas de empleo y VAB para España, 1955-2014

eee2015-11 | Ángel de la Fuente, 11/05/2015

En este trabajo se elaboran series homogéneas de distintos agregados de empleo y de VAB a precios corrientes y constantes para el conjunto de España durante el período 1955-2014. Las series se construyen mediante el enlace de diversas bases de la CNE y de la Contabilidad Trimestral, introduciéndose también una corrección tentativa para reconciliar las series de empleo de la CNE con las de la EPA.

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Instruments, rules and household debt: The effects of fiscal policy

dt-2015-05 | Javier Andrés, José E. Boscá, Javier Ferri, 05/04/2015

In this paper we look at the interplay between the level of household leverage in the economy and fiscal policy. When the fiscal rule is defined on lump-sum transfers, government spending or consumption taxes, the impact multipliers of transitory fiscal shocks become substantially amplified in an environment of easy access to credit by impatient consumers. However, when the government reacts to debt deviations by raising distortionary taxes on income, labour or capital, the effects of household debt on the size of the impact output multipliers vanish or even reverse. We also find that differences in fiscal multipliers between high and low indebtedness regimes belong basically to the short run, whereas the long-run multipliers are barely affected by the level of household debt in the economy. Finally, we find that fiscal shocks exert an unequal welfare effect on impatient and patient households that can even be of opposite signs.

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Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates?

dt-2015-04 | Pau Rabanal, Juan F. Rubio-Ramírez, 19/03/2015

Real exchange rates exhibit important low-frequency fluctuations. This makes the analysis of real exchange rates at all frequencies a more sound exercise than the typical business cycle one, which compares actual and simulated data after the Hodrick-Prescott Ölter is applied to both. A simple two-country, two-good, international real business cycle model can explain the volatility of the real exchange rate when all frequencies are studied. The puzzle is that the model generates too much persistence of the real exchange rate instead of too little, as the business cycle analysis asserts. We show that the introduction of input adjustment costs in production, cointegrated productivity shocks across countries, and lower home bias allows us to reconcile theory and this feature of the data.

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Household Debt and Fiscal Multipliers

dt-2015-01 | Javier Andrés, José E. Boscá, Javier Ferri, 04/03/2015

We study the size of government spending multipliers in a general equilibrium model with search and matching frictions in which we allow for different levels of household indebtedness. The main results of the paper are: (a) the presence of impatient households and private debt helps generate government spending multipliers greater than 1; (b) as financial conditions worsen and impatient consumers find it more difficult to borrow (i.e. in a credit crunch), the size of the government spending multiplier falls; (c) conversely, employment, vacancies and unemployment multipliers are larger when access to credit becomes more difficult; and (d) the model explains the observed pattern of responses of labour market variables, housing prices and private debt to a fiscal shock reasonably well. On these grounds it outperforms the standard model with Rule-of-Thumb consumers whose predictions for the labour market are at odds with the data.

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The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure

dt-2014-13 | Jonas E. Arias, Dario Caldara, Juan F. Rubio-Ramírez, 12/10/2014

In this paper, we identify monetary policy shocks in structural vector autoregressions (SVARs) by imposing sign and zero restrictions on the systematic component of monetary policy while leaving the remaining equations in the system unrestricted. As in Uhlig (2005), no restrictions are imposed on the response of output to a monetary policy shock. We find that an exogenous increase in the federal funds rate leads to a persistent decline in output and prices. Our results show that the contractionary effects of monetary policy shocks do not hinge on questionable exclusion restrictions, but are instead consistent with agnostic identification schemes. The anal- ysis is robust to various specifications of the systematic component of monetary policy widely used in the literature.

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Estimating Dynamic Equilibrium Models with Stochastic Volatility

dt-2014-11 | Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, Juan F. Rubio-Ramírez, 05/10/2014

This paper develops a particle filtering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach. The algorithm, which exploits the structure and profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large-scale models. As an application, we use our algorithm and Bayesian methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in monetary policy. Our application shows the importance of stochastic volatility in accounting for the dynamics of the data.

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The Spanish Economy at a Glance

eee2014-06 | Enas Abdallah, 31/08/2014

This report is a brief synopsis of the Spanish economy aiming at introducing a descriptive analysis that highlights recent developments in different aspects of the economy as well as summarizing stylized facts related to the demographic profile of the country. The report also presents an assessment of the performance of the Spanish economy in light of key international indicators.

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Las opiniones recogidas en estos documentos son las de sus autores y no coinciden necesariamente con las de FEDEA.