Occasional Papers

The Occasional Papers series seeks to disseminate the work carried out by the Banco de España within its sphere of competence that is considered to be of general interest for knowledge of the functioning of the Spanish economy and of its international environment.

The opinions and analyses published in the Occasional Papers are the responsibility of the authors and are not necessarily shared by the Banco de España or the Eurosystem.

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  • 14/09/2022
    2219. Estimación del impacto de variaciones en el período de cálculo de la base reguladora sobre la cuantía de las nuevas pensiones de jubilación (707 KB) Alejandro Muñoz-Julve and Roberto Ramos

    Based on a sample of new retirees in 2019, this article estimates the effect which the period considered in calculating the regulatory base has on the initial pension amount. In the analysis the initial pension amount for periods ranging between 15 and 35 years and the result of shortening that period to the most favourable contribution years are calculated. The results show that, within the range indicated, the average initial pension is a monotonically decreasing function of the number of years considered in calculating the regulatory base. Specifically, extending the calculation period from 15 to 25 years would be associated with a fall in the average initial pension of 5.0%, while extending it from 25 to 35 years would entail an additional reduction of 8.2%. Also, simultaneously extending the calculation period to 35 years and discarding the most unfavourable years to determine the regulatory base would help smooth the fall in the average initial pension. At the same time, this would reduce the heterogeneity of pensions among individuals (although the inequality would decline less than if the calculation period were limited to the 35 years preceding retirement). For instance, taking into consideration the 29 most favourable years within the 35 years before retirement would give an average pension similar to that resulting from considering the 25 years preceding retirement. Also, determining the regulatory base in this way would, on average, give rise to an increase in the initial pension benefit amounts of pensions below the median (in comparison with a scenario in which the regulatory base is calculated on the basis of the 25 years preceding retirement) and a fall in the initial benefit amounts of pensions in the fourth quartile of the distribution.

  • 13/09/2022
    2218. Carbon tax sectoral (CATS) model: a sectoral model for energy transition stress test scenarios (4 MB) Pablo Aguilar, Beatriz González and Samuel Hurtado

    This paper presents a general equilibrium sectoral model designed to produce macroeconomic scenarios that incorporate transition risks associated with policies to curb climate change (but not physical risks associated with the long-term costs of climate change). The model is calibrated to the Spanish economy, and can simulate the impact of shocks to the price and coverage of greenhouse gas emission allowances, with particular attention to sectoral asymmetries arising from (i) the energy intensity of each industry, (ii) the source of that energy, and (iii) the interdependencies with other industries. We show that for an increase in the price of emission allowances similar to that observed in recent years (from approximately €25 per tonne of CO2 in 2019 to almost €100 per tonne in 2022) the model predicts a cumulative decline in Spanish GDP after three years of 0.37%. The loss in value added is very heterogeneous across industries, ranging from 4% in the most severely affected industries to virtually no impact in the least affected industries. In terms of the use of the model for stress testing, this heterogeneity points to potential risks for financial stability and the importance of the right diversification for banks to diminish their exposure to transition risks.

  • 09/09/2022
    2217. El gasto público en España desde una perspectiva Europea (1 MB) Mario Alloza, Júlia Brunet, Victor Forte-Campos, Enrique Moral-Benito and Javier J. Pérez

    This document presents a detailed analysis of the structure of general government spending in Spain and its recent evolution in comparison to the rest of the European countries. The weight of the Spanish public spending is similar to that of neighboring countries, although it is in the lower range of a reference group of European countries (EU-15), with levels below the average. Thus, in 2019 the level of public spending stood at 42% of GDP compared to 46% in the EU-15, with a corresponding lower weight of public revenue (39.2% compared to 46% in the EU-15). In terms of the composition by expenditure items, Spain has a relatively high weight compared to other European countries in items such as social benefits (pensions and unemployment) and debt interest payments, but a relatively lower weight in items such as education and public investment. According to the available evidence, a composition of public spending with a lower weight in investment and education is usually associated, in the medium term, with lower rates of potential growth of the economy, and a lower capacity of public redistributive policies to reduce inequality (due to the lesser role of pre-market redistributive policies, which affect the level of skills of economic agents).

  • 05/08/2022
    2216. Schumpeter Meets Goldilocks: the Scarring Effects of Firm Destruction (2 MB) Beatriz González, Enrique Moral-Benito and Isabel Soler

    The COVID-19 shock impacted firms severely all over the world. Governments were swift to implement policy measures to aid these firms, but these are coming to an end in the midst of a highly uncertain macroeconomic environment as a result of the war in Ukraine and the surge in energy prices. In this context, policymakers are worried about the potential increase in firm destruction after support policies are lifted, and what its macroeconomic consequences could be. Using data for Spain, we uncover an inverted U-shaped relationship between firm destruction and total factor productivity (TFP) growth: at low levels of firm exit, Schumpeterian cleansing effects dominate and the effect of firm destruction on TFP is positive, but when exit rates are very high, this effect turns negative. In order to rationalize this finding, we build on Asturias et al. (2017) and develop a model of firm dynamics with exit spillovers calibrated to match the non-linearity found in the data. This reduced-form spillover captures amplification effects from very high destruction rates that might force viable firms to exit, for example, due to disruptions in the production network and a generalised contraction in credit supply. Armed with the calibrated model, we perform counterfactual scenarios depending on the severity of the shock to firm exit. We find that when the shock is mild and firm destruction rates impact are similar to those observed during the Global Financial Crisis (GFC), TFP growth increases, and the recovery is faster. However, when the shock is severe and firm exit is well above that of the GFC, TFP growth decreases, since high efficiency firms are forced out of the market, which makes the recovery much slower. Overall, our results point to the importance of keeping exit rates low to avoid long term scarring effects.

  • 28/07/2022
    2215. La accesibilidad presencial a los servicios bancarios en España: comparación internacional y entre servicios (2 MB) María Alonso, Eduardo Gutiérrez, Enrique Moral-Benito, Diana Posada, Patrocinio Tello-Casas y Carlos Trucharte

    Este trabajo presenta un análisis pormenorizado de la distribución de los puntos de acceso presencial a los servicios bancarios en España, en comparación con otros países europeos y con otros servicios de diversa índole. De acuerdo con los resultados de este ejercicio de diagnóstico, se pueden extraer las siguientes conclusiones principales. En primer lugar, el número de oficinas bancarias y de cajeros automáticos por cada mil habitantes es mayor en España que en otros países de nuestro entorno. Esto se debe, en buena medida, a las diferencias internacionales en cuanto a la distribución de la población en el territorio. En efecto, una vez que se tiene en cuenta la elevada dispersión geográfica de la población en España, la cobertura efectiva de puntos de acceso presencial a los servicios bancarios en nuestro país se situaría en torno a la del promedio de la Unión Económica y Monetaria. En segundo lugar, la población que reside en municipios rurales escasamente poblados del interior peninsular (fundamentalmente, en Castilla y León, Aragón y Castilla-La Mancha) es la que presenta una peor cobertura en términos de puntos de atención presencial a los servicios bancarios, ya sea a través de una oficina bancaria, de un cajero automático o de algún otro medio alternativo. En tercer lugar, en este grupo de municipios la cobertura de puntos de acceso presencial a servicios bancarios es relativamente similar a la de otros servicios de provisión privada —como bares o comercios—, pero inferior a la correspondiente a algunos servicios con un cierto componente de provisión pública —como la atención sanitaria o las farmacias—.

  • 29/06/2022
    2214. Las empresas fintech: panorama, retos e iniciativas (587 KB) Carmen Sánchez and Jara Quintanero

    In addition to generating new business models, applications, products and services with a material effect on financial markets and the institutions that comprise them, the application of technology to finance in areas such as cloud computing, blockchain and big data can improve access to financial services and enhance the sector’s efficiency. Many of these solutions are developed by companies specialising in the use of new technologies in finance (better known as fintech firms) and by large technological corporations (bigtech firms). Yet, this paper focuses only on the former. The number of fintech firms has grown significantly since 2010, often targeting specific market segments, such as payment, credit or wealth management. This circumstance has triggered the transformation of the financial ecosystem in many jurisdictions. For the time being, the scale of the fintech sector is small compared with the size of the entire financial sector. However, both the fact that these players are simultaneously covering several activities in the financial system’s value chain and exhibiting a rapid pace of growth, and globalisation (as fintech firms are found across almost all jurisdictions and bigtech firms have a global presence) call for its continuous monitoring. This is certainly a daunting task owing to the lack of appropriate and harmonised statistical information on fintech. Against this backdrop, this paper reviews several data sources in order to provide an overview of the fintech outlook across different jurisdictions. It then zooms in on those firms operating in Spain and examines some of the initiatives under way to address the challenges for regulators.

  • 27/06/2022
    2213. El cambio climático y la sostenibilidad del crecimiento: iniciativas internacionales y políticas europeas (1 MB) Leonor Dormido, Isabel Garrido, Pilar L´Hotellerie-Fallois and Javier Santillán

    In recent years, the fight against climate change and for sustainable growth has been gaining prominence on the international agenda. Reducing pollutant emissions depends on a sufficiently large number of countries adopting efficient mitigating measures that are in line with international agreements. International cooperation is essential to deliver on the commitments undertaken pursuant to these agreements, implement the energy transition and stop climate change. Both the G-20, some of whose members are among the largest greenhouse gas emitters, and the International Monetary Fund are increasingly taking into account climate issues when performing their functions. The European Union plays an active and leading role in this global commitment and is pursuing increasingly ambitious goals. In compliance with the European Green Deal, the European Union has enshrined its goal of climate neutrality in the European Climate Law and has launched a number of groundbreaking policies to implement it, such as the “Fit for 55” package. The war in Ukraine adds an element of uncertainty to this path, given the importance of Russia as a supplier of fossil fuels to the European Union.

  • 24/06/2022
    2212. El peso del sector público en la economía: resumen de la literatura y aplicación al caso español (471 KB) Carlos Sanz

    This article reviews the academic literature on the determinants of the size of the public sector. First, it analyses classical models based on the median voter theorem, according to which public decisions are determined by the preferences of the “median voter” in terms of income (i.e. the voter who has an income below half of voters and above the other half). Second, it reviews the theories, based on citizens’ preferences, that include the notion of the perception of justice and trust in public institutions. Third, it reviews the literature on the role of the political process, private interests, electoral systems and systems of government. Particular emphasis is placed on the recent studies for Spain that stress citizens’ preferences, the role of trust in institutions, and the system of government.

  • 03/06/2022
    2211. La captación de fondos en los mercados internacionales de capitales en 2021 (952 KB) Laura Álvarez, Alberto Fuertes, Luis Molina and Emilio Muñoz de la Peña

    This paper analyses the main trends in the private sector’s issuance activity in international capital markets during 2021, a year in which, despite positive developments that resulted in volumes above pre-2020 levels, the record 2020 figures were not achieved. Thus, the total issuance volume of debt securities declined due to lower issuance in the non-financial corporate sector, which may have been driven by the large amount of funds raised during 2020, lower funding needs for precautionary reasons in view of the improved health situation and higher funding costs. However, bond issuance by the banking sector and other financial institutions increased; this growth was concentrated in the United States, on expectations of monetary policy tightening in that area and regulatory factors. High-yield bond issuance also increased, benefiting from lower risk aversion. By region, the sharpest declines were in the United States, followed by the United Kingdom and the euro area. Conversely, issuance in the equity markets was strong and surpassed the 2020 figures.

  • 01/06/2022
    2210. Computing the EU´S SURE interest savings using an extended debt sustainability assessment tool (2 MB) Pablo Burriel, Iván Kataryniuk and Javier J. Pérez

    Loans to Member States under the SURE programme were part of the unprecedented European Union (EU) response to the COVID-19 crisis in 2020-2021. Resources were used to finance countries’ public spending on temporary unemployment schemes. The EU raised funds on the capital markets by issuing securities, and channelled them to recipient countries in the form of bilateral loans. The programme was implemented in a period in which countries had full access to capital markets under very favourable financing conditions. Nonetheless, the full envelope of the programme was used up. In this paper we compare government interest payments under the SURE programme with a counterfactual in which governments themselves raised the same amount of funds on the markets. We focus on the cases of Belgium, Spain, Portugal and Italy. We extend a state-of-the-art DSA framework with a rich modelling set-up in which the dynamics of interest payments on loans and securities, maturing debt and new debt issuance, are jointly determined. Two results stand out: (i) under the financial conditions prevailing at the time of the implementation of SURE, interest savings for the four countries analysed are estimated to be significant (between 3% and 12% of the total amount disbursed over the first 10 years), with amounts depending on the current spread between the EU yield curve and the national one and the maturity structure of the national debt; (ii) under counterfactual scenarios of stressed market conditions during the duration of the loans, savings would be even larger. The latter illustrates the key role these instruments may play in episodes of market stress.

  • 27/05/2022
    2209. La financiación empresarial en los mercados de renta fija: la contribución de la política monetaria a mitigar la barrera del tamaño (654 KB) Pana Alves, Sergio Mayordomo and Manuel Ruiz-García

    Access to financing in fixed-income markets enables firms to diversify their sources of financing and reduces their vulnerability, particularly in periods when access to bank credit is restricted. This paper analyses the factors explaining firms’ recourse to capital market financing using the ERICA database, which contains detailed information on the balance sheets of the main non-financial groups listed in euro area countries. The results show that size is the most important determinant of recourse to this source of financing. According to the results of this paper, the introduction of the corporate sector purchase programme by the European Central Bank in 2016 appears to have contributed to improving capital market access for smaller listed firms. Nonetheless, size continues to be a key barrier to capital market access. Implementation of other more structural initiatives, such as the capital markets union, could help to further reduce these barriers to access to external financing.

  • 29/04/2022
    2208. El crecimiento potencial de la economía española tras la pandemia (497 KB) Pilar Cuadrado, Mario Izquierdo, José Manuel Montero, Enrique Moral-Benito and Javier Quintana

    Despite the exogenous nature of the COVID-19 health crisis, its intensity and persistence could have a negative impact on long-term economic growth. This article offers a comprehensive discussion of the various channels through which this crisis could affect the potential growth of economies, as well as some scenarios for the Spanish economy over a medium-term horizon. Although the high degree of uncertainty in the current circumstances makes it advisable to interpret these estimates with caution, the results point to a potential growth rate for the Spanish economy very similar to that estimated before the pandemic, of around 1.3%. However, it should be noted that the economic policies adopted have been and will be critical in determining the long-term effects on the economy’s growth capacity. In particular, European funds can be catalysts for a significant boost to both investment and productivity in the long term. Such a boost would result in higher potential growth of the Spanish economy, especially if accompanied by structural reforms that favour synergies between public and private investment, maximising their impact on productivity. According to the estimates presented in this article, the potential growth of the Spanish economy could be in the vicinity of 2% under a scenario in which a good selection of investment projects financed with European funds is accompanied by growth-enhancing structural reforms.

  • 02/06/2022
    2207. Measuring the equity risk premium with dividend discount models (1 MB) Julio Gálvez

    This paper assesses the estimation of the so-called equity risk premium, i.e. the expected return on equities in excess of the risk-free rate, using the dividend discount model as the organizing framework. I compare the equity risk premium estimates from different dividend discount models in terms of the in-sample and out-of-sample forecasting ability across different time horizons. Using data from the Eurostoxx 50 from 2001-2021, I find that equity risk premium estimates exhibit similar dynamics, and are elevated during periods of high uncertainty, such as the onset of the COVID-19 pandemic. Moreover, I find that the three-stage dividend discount model, which divides earnings growth into an extraordinary, transitional and steady-state phase, performs the best in terms of forecasting ability.

  • 23/03/2022
    2206. Population dynamics during the COVID-19 pandemic (1 MB) Eduardo Gutiérrez, Enrique Moral-Benito and Roberto Ramos

    The year 2020 was marked by net migration dynamics in Spain that resulted in an increase in the rural population at the expense of the urban population, interrupting the secular trend towards greater urbanisation prevailing since the middle of the last century. According to the findings of this paper, the demographic momentum of rural areas was attributable both to higher population inflows from elsewhere in the country and, in particular, to a slowdown in outflows from rural areas. In addition, a regression analysis shows that the demographic dynamics during the rural exodus (1950-1990), the percentage of second homes and accessibility to services, both physical and digital, are explanatory factors when characterising municipal-level population changes during the pandemic. 2020 represents a unique period, marked by strict restrictions on movement and on activity, along with stringent social distancing measures. This setting, along with the modest levels of remote working, raise significant doubts and uncertainty as to the extent to which the slowdown in urbanisation observed in that year will continue over a longer time horizon.

  • 16/03/2022
    2205. Household indebtedness according to the Spanish Survey of Household Finances and the Central Credit Register: a comparative analysis (661 KB) Olympia Bover, Laura Crespo and Sandra García-Uribe

    The aim of this study is to analyse the quality of the information on indebtedness gathered by the Spanish Survey of Household Finances (“EFF” by its Spanish initials). To this end, we match EFF data with the administrative data from the Central Credit Register (“CIR” by its Spanish initials), which every month details all outstanding loans in excess of €6,000 arranged by individuals with financial institutions in Spain. Given the differences between the two sources in terms of the information they gather, we construct and compare various measurements of household indebtedness. In order to minimise the differences associated with the discrepancies in household composition according to the municipal population register and the EFF, we analyse both the total linked sample and a subset of comparable households. Our findings show that, after controlling for the limitations of the link, indebtedness calculated with the EFF and the CIR is similar. 25.8% of households have mortgage debt according to the EFF, versus 29.9% according to the CIR. Within indebted households, the median mortgage debt recorded in the EFF is only 0.5% lower than the figure according to the CIR. Non-mortgage debt differences are bigger, but not substantial. 18% of households have non-mortgage debt according to the EFF, versus 23% according to the CIR, and the median debt is 10% lower in the EFF. Moreover, the detailed information provided by the survey on the characteristics of households and their respective debts makes it possible to identify the age of the reference person and the existence of debts shared with individuals who are not members of the household as being the characteristics that have the most bearing on the discrepancies between the EFF and the CIR. The findings of this analysis will help improve the gathering of information and the protocols for interviewing households for the EFF.

  • 07/03/2022
    2204. Analysis of ESG disclosures in Pillar 3 reports. A text mining approach (863 KB) Ángel Iván Moreno Bernal and Teresa Caminero García

    Disclosure of prudential information on environmental, social and governance (ESG) risks will become mandatory from June, 2022 for large institutions with securities traded on a regulated market of any Member State. This paper tries to assess how prepared European financial institutions are for this requirement and applies text mining techniques to analyse the prudential reports, commonly referred to as Pillar 3 reports, for 2019 and 2020 of most of the significant banks under the ECB direct supervision in order to evaluate the level of awareness of these institutions in relation to the materiality of ESG risks. By applying a simple taxonomy of terms based on lexicons and regular expressions using a tool that we have developed, we are able to identify relevant excerpts with a high level of precision searching for different combinations of concepts within the taxonomy of terms. The results indicate that although there is an increased awareness of the ESG risks, with a significant increase in smaller institutions (those with less tan 30 billion in assets), the level of detail included is generally low and the introduction of the new ESG mandatory disclosures should have a significant impact on the level of disclosures in this area.

  • 02/03/2022
    2203. Designing a price index for the Spanish commercial real estate market (1 MB) Matías Lamas and Sara Romaniega

    This paper proposes a price index for the Spanish commercial real estate (CRE) market and its main segments. No official price indices currently exist for these assets and non-official statistics are thin on the ground and offer limited coverage. The estimated index fills this statistical gap, providing for enhanced monitoring of CRE market developments. The price indicator draws on the methodology used to calculate the Spanish National Statistics Institute’s housing market price indices, but factoring in certain elements specific to the CRE sector. Various alternative indices are also considered, although the indicator proposed is that which strikes the best balance between the different statistical properties analysed here.

  • 17/03/2022
    2202. Analysis of labor flows and consumption in Spain during COVID-19 (1 MB) Piluca Alvargonzález, Marina Gómez, Carmen Martínez-Carrascal, Myroslav Pidkuyko and Ernesto Villanueva

    This article analyzes the link between household consumption and its determinants during the pandemic in Spain. For this purpose, both quantitative and qualitative data on consumption included in the Consumer Survey Expectations (CES) carried out by the European Central Bank are used. First, we construct a consumption index on the basis of its qualitative data on spending trends during the pandemic, and its heterogeneity across population groups points towards both unsatisfied consumption (due to existing restrictions on consumption) and the deterioration in the labor market being drivers of the decline of consumption during the pandemic. Likewise, the results show that, in line with the less stringent measures in place to control the pandemic, the strong negative link between income levels and consumption developments (linked to forced savings) has moderated in 2021 (with data up to August) with respect to the previous year. Then, we estimate what proportion of the recovery in household expenditure during the third quarter of 2020, after the large decline observed in the first semester, can be explained by the observed changes in the distribution of hours worked. First, we combine information on hours, industry, gender and age in the Spanish Labor Force Survey and consumption in the Spanish Survey on Household Finances (EFF) to estimate the potential change in expenditure associated with the change of hours worked for different population groups (age, gender, and education level). Those estimations also inform about the groups of the population whose expenditure has been most affected by the pandemic (low-schooling and individuals below 55 years of age). In a second step, we then compare potential and actual changes in consumption observed in the ECB's Consumer Expectation Survey to gauge quantitative contribution of changes in hours to the evolution of expenditure vs other factors (such as postponed expenditure). We find that changes in hours worked can explain almost half of consumption recovery in the 3rd quarter of 2020.
    Expected consumption trends are also analyzed. Results based on the analysis of qualitative data on expected consumption developments in the CES database indicate that in 2020 consumption perspectives were similar for households with different income levels, even if higher income families accumulated larger forced savings during this period. During 2021, once the phase of larger uncertainty about the economic and sanitary situation was overcome, higher income households also showed better consumption prospects. This suggests that savings accumulated during the pandemic may add greater momentum to the pick-up in consumption once the uncertainty about the epidemiological and economic situation abates. Likewise, individuals that have suffered a recent decline in hours worked (and, particularly, those that have run into unemployment) seem to be also more pessimistic about their labor situation perspectives, affecting their consumption expectations. This suggests that that the consolidation of the recovery of the labor market observed recently is likely to have a key role in explaining future consumption developments.

  • 28/01/2022
    2201. New allocation of Special Drawing Rights (874 KB) Manuel A. Pérez Álvarez

    In August 2021, the International Monetary Fund (IMF) made a new allocation of Special Drawing Rights (SDRs) equivalent to $650 billion. This significant amount has tripled the total existing stock of SDRs. For Spain it involves an increase of 16% in foreign reserves, and an increase in receivables from the IMF, which amount to 22% of the reserves on the balance sheet of the Banco de España, as compared with 10% at present.
    The purpose of this expansion of SDRs is to support a group of countries that are having most difficulty fighting the impact of the COVID-19 pandemic. These countries have a greater need for foreign exchange to obtain basic supplies just when they are shut out of international capital markets. The new allocation is likely to boost SDR transactions given its large amount, the urgent need for funds in some countries and the experience of the 2009 allocation.
    This paper explains the characteristics of the use of SDRs as an effective source of liquidity, concluding that the way in which the issuance of this instrument is made effective is by means of transactions, allocation being the formal prerequisite for their existence. Accordingly, the key to their effectiveness will be the transactions actually carried out to obtain liquidity in international business. A liquidity ratio is proposed for monitoring their use. With regard to the magnitude of the allocation and, given that it is based on the quotas of each IMF member country, the developed countries have received the bulk of the allocation, as opposed to those countries having greater difficulty accessing the markets. Accordingly, measures will have to be taken to promote the passing on of SDRs so that their purpose can be achieved and they effectively supplement the reserves available within the framework of international trade.

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