Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77741
Authors: 
Leal, Teresa
Pedregal, Diego J.
Pérez, Javier J.
Year of Publication: 
2011
Citation: 
[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Publisher:] Springer [Place:] Heidelberg [Volume:] 2 [Year:] 2011 [Issue:] 1 [Pages:] 97-119
Abstract: 
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: (1) for real-time monitoring of fiscal policies with a focus on quarterly developments of the General Government sector, (2) for the monitoring of general government sub-sectors for which intra-annual data coverage is limited (Regional and Local governments), (3) to bridge (translate) into National Accounts availablemonthly information for the subsectors of the general government.
Subjects: 
fiscal forecasting
fiscal policies
mixed frequency data
Kalman filter
JEL: 
C53
E6
H6
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/2.0/
Document Type: 
Article

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