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Exploring the sources of Spanish macroeconomic fluctuations: An estimation of a small open economy DSGE model

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Martín Moreno, José M and Pérez Sánchez, Rafaela María and Ruiz Andújar, Jesús (2016) Exploring the sources of Spanish macroeconomic fluctuations: An estimation of a small open economy DSGE model. International Review of Economics and Finance, 45 . pp. 417-437. ISSN 1059-0560

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Official URL: http://dx.doi.org/10.1016/j.iref.2016.07.002



Abstract

This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluctuations before the international financial and economic crisis (1970–2008). To do this we estimate a small open economy stochastic model using Kalman Filter techniques. The set of estimated parameters allows the replication with remarkable accuracy of the time path for the major macroeconomic aggregates. In particular, the model reproduces the so-called dual inflation phenomenon which burdens the competitiveness of the Spanish economy.


Item Type:Article
Uncontrolled Keywords:DSGE model; Frequentist techniques; Filter Kalman estimation; Small open economy.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > Macroeconomics
JEL:C13, C63, E32, F41, F44
ID Code:55387
Deposited On:22 May 2019 13:01
Last Modified:12 Nov 2019 11:43

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