Economic analysis and research

Research features

Our “Research Features” are designed to give general readers an accessible snapshot of the most recent research projects published by Bank of Spain staff economists.

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  • Spanish non-financial corporations' liquidity needs and solvency after the Covid-19 shock (207 KB) Roberto Blanco, Sergio Mayordomo, Alvaro Menéndez and Maristela Mulino

    The COVID-19 pandemic is exerting an unprecedented adverse impact on economic activity and, in particular, on firms’ income. In some cases this means firms’ income is insufficient to meet payments to which they have committed. This article presents the results of an exercise simulating Spanish non-financial corporations’ liquidity needs for the four quarters of this year. Liquidity needs, between April and December, might exceed €230 billion. It is estimated that, through the public guarantee programmes for lending to firms, almost three-quarters of this shortfall might be covered. To finance the remainder, companies could use their liquidity buffers and/or resort to new unsecured debt. Further, despite the unprecedented fall in business turnover, a significant percentage of companies (around 40%) is estimated to have been able to withstand this situation without undergoing a downturn in their financial position. However, at the remaining companies, the fall-off in activity has led to significant increases in their level of financial vulnerability, doing so more sharply within the SME segment and especially among the firms in the sectors most affected by the pandemic, such as tourism and leisure, motor vehicles, and transport and storage.

  • Real-time weakness of the global economy: a first assessment of the coronavirus crisis (605 KB) Danilo Leiva-Leon, Gabriel Perez-Quiros and Eyno Rots

    The Global Weakness Index (GWI) is a real-time measure of how weak the global economy is. We use this index to assess on the spot how the repercussions of the coronavirus (COVID-19) crisis are playing out. After the release of certain soft indicators on 2 March 2020 the GWI increased sharply – much faster than in the 2008 crisis. And at the time of writing it remains at a record high.

  • The benefits are at the tail: uncovering the impact of macroprudential policy on growth-at-risk (216 KB) Jorge E. Galán

    I uncover heterogeneous effects of macroprudential policy on the GDP growth distribution by bringing together the literature on the impact of macroprudential policy and recent developments on the use of quantile regressions to identify effects on growth-at-risk. I identify important benefits of macroprudential policy on the left-tail of the GDP growth distribution, which contrast with the negative effects found in the median. I find that the impact of macroprudential policy is highly dependent on the position in the financial cycle, the direction of the policy, the type of instrument, and the time elapsed since its implementation. Tightening capital measures during expansions may take up to two years in evidencing benefits on growth-at-risk, while the positive impact of borrower-based measures is rapidly observed. This suggests the need of implementing capital measures early enough in the cycle; while borrowerbased measures can be tightened in more advanced stages. Conversely, in downturns the benefits of loosening capital measures are more immediate, while those of borrower-based measures are limited. Overall, this study provides a useful framework to assess the impact of macroprudential policy in terms of GDP growth and to identify the term-structure of specific types of instruments

  • Hedger of last resort: Evidence from Brazilian FX interventions, local credit, and global financial cycles (227 KB) Rodrigo Barbone Gonzalez, Dmitry Khametshin, José-Luis Peydró and Andrea Polo

    We show that local central bank policies can attenuate spillovers from global financial cycles. We analyze global shocks triggered by the US monetary policy and Brazilian interventions in foreign exchange (FX) derivatives. We show that after U.S. Federal Reserve Taper Tantrum, Brazilian banks with larger ex-ante reliance on foreign debt reduced credit supply. However, a large FX intervention program supplying derivatives against FX risks – hedger of last resort – halved the negative effects. We obtain similar results in a larger panel dataset.

  • Keeping track of global trade in real time (198 KB) Jaime Martínez-Martín and Elena Rusticelli


    We build an innovative composite world trade-cycle index by means of a dynamic factor model for short-term forecasts of world trade growth of both goods and (usually neglected) services. Trade indicators are selected using a multidimensional approach, including Bayesian model averaging techniques, dynamic correlations, and Granger non-causality tests in a linear vector autoregression framework. The dynamic factor model is extended to account for mixed frequencies, to deal with asynchronous data publication, and to include hard and survey data along with leading indicators. Nonlinearities are addressed with a Markov switching model. Pseudo-real-time empirical simulations suggest that: (i) the global trade index is a useful tool for tracking and forecasting world trade in real time; (ii) the model is able to infer global trade cycles very precisely and better than several competing alternatives; and (iii) global trade finance conditions seem to lead the trade cycle, a conclusion that is in line with the theoretical literature.

  • International bank lending channel of monetary policy (183 KB) Silvia Albrizio, Sangyup Choi, Davide Furceri, Chansik Yoon

    Since the 90s, the rapid financial integration has stimulated a sharp increase in international bank lending. In this context, should we expect a monetary policy tightening in systemic countries to increase cross-border bank lending or to trigger a sudden reversal of capital flows? Using a panel of nine systemic countries of origin and 46 recipient countries, we find that a tightening of domestic monetary policy decreases international bank lending, due to an increase in funding costs or a rise in risk-aversion.

  • Outsourcing and public expenditure: an aggregate perspective with regional data (163 KB) Mar Delgado-Téllez, Enrique Moral-Benito and Javier J. Pérez

    The generalisation of outsourcing the provision of public goods and services raises the question of whether this is a cost-efficient measure. There is no consensus about the expected impact of an increase in the outsourcing level on public expenditure from the theoretical literature, and there is little empirical evidence. Thus, we exploit a panel of seventeen Spanish regions from 2002 to 2018 in order to estimate the relationship between the level of outsourcing and public spending. Our estimates suggest that for these regional governments an increase in outsourcing has entailed a rise in public spending

  • Taxation and the life cycle of firms (201 KB) Andrés Erosa and Beatriz González

    The aim of this paper is to understand how different forms of taxing capital income affect investment and financial policies over the life cycle of firms. Relative to dividends and capital gains taxation, corporate income taxation slows down growth of firms by reducing after-tax profits available for reinvesting. It also diminishes entry by negatively affecting the value of entrants relative to that of incumbent firms. With these mechanisms in mind, we calibrate our model economy to the US and discuss different revenue-neutral tax reforms that would lead to increases in aggregate output and capital.

  • Measuring the procyclicality of impairment accounting regimes: a comparison between IFRS 9 and US GAAP (251 KB) Alejandro Buesa, Javier Población and Javier Tarancón

    We compare the cyclical behaviour of various credit impairment accounting regimes, namely IAS 39, IFRS 9 and US GAAP. We model the impact of credit impairments on the Profit and Loss (P&L) account under all three regimes. Our results suggest that although IFRS 9 is less procyclical than the previous regulation (IAS 39), it is more procyclical than US GAAP because it merely requests to provision the expected loss of one year under Stage 1 (initial category). Instead, since US GAAP prescribes that lifetime expected losses are fully provisioned at inception, the amount of new loans originated is negatively correlated with realized losses. This leads to relatively higher (lower) provisions during the upswing (downswing) phase of the financial cycle. Nevertheless, the lower procyclicality of US GAAP seems to come at cost of a large increase in provisions.