Short-term monitoring of the Spanish government deficit with mixed-frequencies models

• Autores: María Teresa Leal Linares, Diego José Pedregal Tercero, Javier J. Pérez
• Localización: XVII Encuentro de Economía Pública: políticas públicas ante la crisis, 2010, pág. 14
• Idioma: inglés
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• Resumen

  • We construct multivariate, state-space mixed-frequencies models for the main components of the Spanish General Government sector made up of blocks for each one of its subsectors: Central Government, Social Security and aggregate of Regional and Local government sectors. Each block is modelled through its total revenue and expenditure categories, and encompasses a number of indicators, depending on data availability. The mixed-frequencies approach is particularly relevant for the case of Spain, given its institutional set-up and the specific data availability for the different subsectors. All in all, we provide models detailed enough in coverage, while at the same time manageable, to be used: (i) for real-time monitoring of fiscal policies with a focus on quarterly developments of the General Government sector; (ii) for the monitoring of general government sub-sectors for which intra-annual data coverage is limited (Regional and Local governments); (iii) to bridge (translate) into National Accounts available monthly information for the subsectors of the general government.