[Journal:] SERIEs - Journal of the Spanish Economic Association [ISSN:] 1869-4195 [Publisher:] Springer [Place:] Heidelberg [Volume:] 2 [Year:] 2011 [Issue:] 1 [Pages:] 97-119
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.
fiscal forecasting fiscal policies mixed frequency data Kalman filter