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.

All documents are available in PDF format PDF File. Opens in a new window

  • 20/12/2021
    2133. A sectoral analysis of the future challenges facing the Spanish economy (643 KB) Alejandro Fernández Cerezo and José Manuel Montero

    This paper studies the relative position of various sectors of activity in the face of the main structural challenges for the Spanish economy. First, as regards the challenge of boosting medium-term growth, we review the sectoral developments on the productivity side, analysing human and technological capital and business dynamics within each sector. Second, the sectors are classified on the basis of their resilience to the different structural transformations currently in the pipeline for the main economies, such as technological and digital transformation, energy transition and population ageing. To this end, the information from a very broad set of sectoral indicators has been summarised in a narrow set of composite indicators in order to classify the productive sectors according to the relative degree of exposure to each of these challenges. Our results show that services relating to professional, scientific and technical activities, information and communication, and financial and insurance activities, as well as the manufacture of machinery, computer, electronics and pharmaceutical products, are well placed in terms of both productivity and resilience. However, in general these sectors have little weight in the Spanish economy. By contrast, accommodation and food service activities, the primary sector and transport services are the most vulnerable in the dimensions analysed.

  • 03/12/2021
    2132. CREWS: a CAMELS-based early warning system of systemic risk in the banking sector (740 KB) Jorge E. Galán

    This document proposes an aggregate early-warning indicator of systemic risk in the banking sector. The indicator is derived from a logistic model based on the variables in the CAMELS rating system, originally developed for the US, and complemented with macroeconomic aggregate variables. The model is applied to the Spanish banking sector using bank-level data for a complete financial cycle, from 1999 to 2021. The performance of the model is assessed not only during the last global financial crisis and the subsequent sovereign crisis, but also during the recent Covid-19 shock. The proposed indicator has a macroprudential orientation, which differs from most of previous studies predicting individual bank defaults. The indicator is found to provide accurate early-warning signals of systemic risk in the banking sector within a two-year horizon. In this context, the indicator provides mid-term signals of systemic risk that complement those derived from macrofinancial indicators and from measures of the materialization of risk.

  • 12/11/2021
    2131. Overview of central banks’ in-house credit assessment systems in the euro area (1 MB) Laura Auria, Markus Bingmer, Carlos Mateo Caicedo Graciano, Clémence Charavel, Sergio Gavilá, Alessandra Iannamorelli, Aviram Levy, Alfredo Maldonado, Florian Resch, Anna Maria Rossi and Stephan Sauer

    The in-house credit assessment systems (ICASs) developed by euro area national central banks (NCBs) are an important source of credit risk assessment within the Eurosystem collateral framework. They allow counterparties to mobilise as collateral the loans (credit claims) granted to non-financial corporations (NFCs). In this way, ICASs increase the usability of non-marketable credit claims that are normally not accepted as collateral in private market repo transactions, especially for small and medium-sized banks that lend primarily to small and medium-sized enterprises (SMEs). This ultimately leads not only to a widened collateral base and an improved transmission mechanism of monetary policy, but also to a lower reliance on external sources of credit risk assessment such as rating agencies. The importance of ICASs is exemplified by the collateral easing measures adopted in April 2020 in response to the coronavirus (COVID-19) crisis. The measures supported the greater use of credit claim collateral and, indirectly, increased the prevalence of ICASs as a source of collateral assessment. This paper analyses in detail the role of ICASs in the context of the Eurosystem’s credit operations, describing the relevant Eurosystem guidelines and requirements in terms of, among other factors, the estimation of default probabilities, the role of statistical models versus expert analysis, input data, validation analysis and performance monitoring. It then presents the main features of each of the ICASs currently accepted by the Eurosystem as credit assessment systems, highlighting similarities and differences.

  • 27/12/2021
    2130. Testimony before the Congress of Deputies Budget Committee on 25 October 2021 and before the Senate Budget Committee on 30 November 2021 in relation to the Draft State Budget for 2022 (2 MB) Pablo Hernández de Cos

    The Governor’s testimony is part of the discussion of the Draft State Budget for 2022. The Budget underpins the fiscal policy considerations ahead of a gradual recovery in the Spanish and global economy, following the deep-seated economic crisis prompted by the COVID-19 pandemic. His testimony before the Congress of Deputies Budget Committee begins with an analysis of developments in the Spanish economy and the macroeconomic outlook. He sets out the latest national and international developments, along with the sources of uncertainty set to influence how economic activity evolves in the coming years. Against this background, he frames his view of the role of economic policies. In connection with the Draft State Budget, he offers his assessment of the attendant macroeconomic forecast, government receipts and spending, the resulting fiscal policy stance and public debt dynamics. He further considers the main challenges for Spanish fiscal policy in the medium and long term, which are structured around two closely linked axes: shoring up the sustainability and improving the quality of public finances. He concludes with some brief thoughts on the reform of the Stability and Growth Pact.
    In his testimony before the Senate Budget Committee, the Governor updates the information on the economic situation according to the latest information available and analyses in greater detail the latest inflation developments, their causes and how long they may last, and their impact on the European Central Bank’s monetary policy.

  • 05/11/2021
    2129. 2021 Survey of Small Enterprises’ Financial Literacy: Main Results (846 KB) Brindusa Anghel, Aitor Lacuesta and Federico Tagliati

    This paper analyses the financial competencies of Spanish enterprises with fewer than 50 employees (small enterprises) based on a survey conducted by the Banco de España between March and May 2021 as part of a project launched by the OECD (International Network on Financial Education, OECD/INFE). The survey includes a series of questions aimed at measuring firms’ financial competencies (financial knowledge, attitudes and behaviour) and the financial instruments held by them, the impact of the COVID-19 crisis on their activity and their level of digitalisation. It is the owners of the firms who should answer these questions insofar as it is they who make financial decisions in relation to their firm.
    The main results of the survey suggest that, in Spain, owners of enterprises with fewer than 20 employees have little financial knowledge compared with those of enterprises with between 20 and 49 employees. The same is true of firms in the accommodation and food service activities, construction and other personal service sectors (a heterogeneous group of sectors which would include firms in education, repairs or laundry services, among others) compared with firms in other sectors. In terms of financial attitudes, owners of firms with more than ten employees have a greater tendency to set long-term financial goals than owners of firms with fewer than ten employees. Some financial behaviours (such as having strategies in place in the event of theft or considering different options for their financial product and service providers) are less widespread among smaller firms, especially those with fewer than five employees. Lastly, the percentage of Spanish small enterprises, regardless of size, whose owners have thought about how to finance their retirement is remarkably low. The use of capital instruments and other more recent types of financing (such as sustainable bonds, business angels or crowdfunding) is marginal in small Spanish enterprises. Likewise, the use of property and, particularly, business interruption insurance is limited among these firms.
    There are no discernible, significant differences in financial knowledge, attitudes and behaviours in terms of the gender of the business owner. Also, in general, the average financial competencies in small enterprises improve with the level of educational attainment only if the owner has specific training in business, economics or finance. Other characteristics positively associated with financial competencies, irrespective of educational attainment, are having ten years of entrepreneurial experience or having an entrepreneur for a parent.
    The impact of the COVID-19 crisis on the level of turnover, profits and debt was quite similar for firms with different degrees of financial competencies. However, the negative impact on employment and liquidity was somewhat lower for the higher quartiles of owners’ financial competencies. Additionally, higher financial knowledge was associated with being more likely to apply for and obtain a new loan or benefit from a public guarantee. Firms with less financial knowledge did make greater use of income transfers and rental moratoria.
    Lastly, there is a positive correlation between financial competencies and a higher level of digitalisation in the firm pre-pandemic. However, there is no such correlation between financial competencies and digital activities following COVID-19.

  • 29/10/2021
    2128. European Central Bank and Banco de España measures against the effects of COVID-19 on the monetary policy collateral framework, and their impact on Spanish counterparties (1 MB) Jorge Escolar and José Ramón Yribarren

    In March and April 2020, the European Central Bank adopted a series of monetary policy measures aimed at providing liquidity support to the financial system and facilitating access to financing for the real economy to mitigate the adverse economic effects of COVID-19. Some of these measures focused on preserving and expanding the universe of assets that counterparties can use as collateral to participate in Eurosystem financing operations. This paper, after a brief summary of the collateral framework for monetary policy operations, studies the measures adopted in this connection by the European Central Bank and the Banco de España and their impact on Spanish counterparties. This study finds that, in overall terms, two measures stand out over the others in terms of the amount of collateral provided: the acceptance of partially government-guaranteed credit claims and the reduction in haircuts. Although all counterparties have been affected by the measures, the extent of the impact has differed widely, determined by the characteristics of the assets used as collateral and their management. Finally, the interaction between the different measures is analysed, since more than one can affect the eligibility and valuation of the same asset.

  • 26/10/2021
    2127. The International Monetary Fund’s view of social equity throughout its 75 years of existence (581 KB) Isabel Garrido

    Significant progress has been made in recent decades in the fight against poverty and the reduction of inequality on a global scale, which this century’s two major crises have threatened to reverse. Given its responsibilities and global scope, the International Monetary Fund has been an influential actor in the policies to tackle inequality and poverty worldwide. The historical account of the transformation of the Fund’s policies over its 75-year history reveals the extent to which each of its internal agents (management, members and staff) has influenced the shifts in its institutional stance with respect to these challenges. The text mining-based analysis of the documents articulating each of these agents’ stances sheds light on the degree of alignment between the institution’s discourse and the historical events.

  • 25/10/2021
    2126. Markets, financial institutions and central banks in the face of climate change: challenges and opportunities (2 MB) Clara I. González and Soledad Núñez

    Climate change and the transition to a low-carbon economy involve the financial system in two ways. First, because it channels the funds needed to make the large investments to comply with the Paris Agreement. Recent years have seen headway, albeit insufficient, in the development of new products, of which green bonds are the most advanced green financing instrument. Second, because of the financial risks associated with climate change and the transition to a low-carbon economy, which affect financial institutions’ balance sheets and are, moreover, systemic. This means that financial institutions have to assess these risks and their exposure to both of them, although it is not an easy task. There are still obstacles and challenges to overcome, such as the lack of a complete taxonomy that comprises what is “green” and what is not green, the lack of information on and knowledge of appropriate methodologies, and the long and uncertain time horizon of these risks, which calls for rolling out new skills and integrating these risks in the whole of the organisation, as well as taking a forward-looking approach. Lastly, central banks’ responsibilities regarding bank supervision, financial stability, asset management and monetary policy also make it necessary for them to analyse the potential systemic implications they may have for the economy and the financial system as a whole in order to incorporate climate-change issues into their supervisory and macro-prudential practices, into the portfolio management of their own portfolios, and, within their mandates, in their monetary policy framework. The progress made in recent years by financial markets, financial institutions and central banks has been significant although there is still a way to go.

  • 30/09/2021
    2125. How do central banks identify risks? A survey of indicators (1 MB) Banco de España Strategic Plan 2024 Risk identification for the financial and macroeconomic stability

    For central banks, it is crucial to develop and maintain risk identification frameworks that allow them to detect in good time and address potential threats to financial stability with the most appropriate policy tools. This paper reviews the main indicators developed for this purpose by the Banco de España and by other central banks and prudential authorities. In this way, this stocktaking exercise contributes to improving the transparency and effective communication of the financial stability-related tasks carried out at the Banco de España. Some of the indicators are used in regular Banco de España surveillance activities, whereas others pertain to specific research activities. We classify our set of measures into two broad categories depending on the risk monitored: standard or systemic risks. Given the multidimensional nature of systemic risk, its identification goes beyond the sum of the standard risks explored in this paper (namely credit, macroeconomic, market, and liquidity and bank risks). This survey also classifies indicators by the type of institutional segment that triggers risks; namely, sovereigns, households, non-financial corporations, banks, non-bank financial sector, residential real estate and the financial markets. This work shows how the measures developed and regularly used at the Banco de España allow potential vulnerabilities to be comprehensively monitored. Nevertheless, maintaining an adequate risk-identification framework requires continuous adaptation to new theoretical developments and econometric tools, and, more importantly, to emerging challenges. In this respect, there is a current drive to develop new indicators to assess potential risks arising from climate change and those linked to the risk of system-wide cyber incidents. It is expected that the monitoring needs related to these risks will increase in the future.

  • 21/10/2021
    2124. (De-)Globalisation of trade and regionalisation: a survey of the facts and arguments (706 KB) Iván Kataryniuk, Javier Pérez and Francesca Viani

    The COVID-19 pandemic initially caused some international trade distortions, most of which were temporary, since international goods trade flows recovered their pre-pandemic levels by the end of 2020. Against this background, geopolitical factors are gaining traction in shaping cross-border trade, as many countries adopted initiatives geared to influencing the relocation of their international firms’ activity and the reorganisation of global value chains. These recent measures, though, can be seen as part of a larger-scale pre-pandemic process that partly called into question the WTO rules-based multilateral framework. Another process under way prior to the outbreak of the pandemic was the slowdown in international trade in goods. All these elements have spurred an active debate on the direction international trade might take and have called into question the future of globalisation. In this paper we provide a survey of the main arguments put forward in this literature and the key stylised facts needed to frame it.

  • 06/09/2021
    2123. The role of derivatives in market strains during the COVID-19 crisis (1.014 KB) Carlos González Pedraz and Adrian van Rixtel

    Since the onset of the pandemic, the equity market has experienced bouts of high volatility, with private investors’ use of derivatives for speculative purposes being cited as a relevant factor in some cases. This paper analyses two specific episodes: the revaluation of GameStop stock, and the swift rise and subsequent collapse of Archegos Capital. In both instances, the leverage provided by derivatives generated strains in the functioning of illiquid market segments in the form of trading feedback loops.

  • 07/09/2021
    2122. Access to services in rural Spain (1 MB) Mario Alloza, Víctor González-Díez, Enrique Moral-Benito and Patrocinio Tello-Casas

    This paper explores the differences in accessibility to services between rural and urban areas in EU countries. According to our analysis, rural areas in Spain have worse accessibility to services than their European counterparts, while the differences are not significant in the case of urban areas. The availability of information at the municipal level in Spain means a deficit in the accessibility to services of rural as opposed to urban municipalities may be documented within each region. There are also some idiosyncrasies in the remoteness and fiscal structures of rural municipalities that might partly explain this deficit.

  • 30/08/2021
    2121. The reform of the European Union’s fiscal governance framework in a new macroeconomic environment (770 KB) Mario Alloza, Javier Andrés, Pablo Burriel, Iván Kataryniuk, Javier J. Pérez and Juan Luis Vega

    The main proposals for the reform of the European Union’s fiscal policy framework affect three blocks of issues: (i) simplifying the rules to make them more transparent and flexible; (ii) incorporating new supranational risk-sharing instruments into the Economic and Monetary Union, in particular to facilitate the absorption of severe shocks; and (iii) the fiscal aspects necessarily being accompanied by reforms at the national (structural reforms) and supranational (e.g. pressing forward with the capital markets union) levels. Irrespective of their political feasibility, these proposals do not easily fit the current macroeconomic environment, which is far removed from that of the 1990s: structural trends, such as digitalisation, globalisation, the climate transition and population ageing, affecting the natural rates of interest and potential growth are emerging or taking hold. Also, after the Great Moderation, we have entered a period of severe global shocks. In this paper we argue that this setting calls for a paradigm shift in how the fiscal policy framework is designed, as opposed to the incremental reform approach of recent decades. This should include improved governance of fiscal rules, which should be simpler, more functional and more credible than the current ones, but it should also go a step further and incorpórate supranational risk-sharing components enabling the smooth operation of the monetary and fiscal policy mix, from a wider euro area perspective. We provide quantitative elements to illustrate several challenges with a bearing on any reform process in the current setting: (i) medium-term debt anchors should be adapted to the medium and long-term interest rate and potential growth expectations; (ii) economies may remain subject to very severe shocks, meaning that fiscal space must be recovered in the medium term; and (iii) realistic mechanisms for absorbing existing fiscal imbalances must be implemented.

  • 10/08/2021
    2120. Recent developments in Spanish retail electricity prices: the role played by the cost of CO2 emission allowances and higher gas prices (663 KB) Matías Pacce, Isabel Sánchez and Marta Suárez-Varela

    Between December 2020 and June 2021, wholesale electricity market prices almost doubled in Spain. According to our estimates, a substantial portion of the observed increase – around 20% – would be due to the rise in CO2 prices in the European ETS, which directly impacts the cost of generating electricity through fossil fuel technologies. Nevertheless, most of the increase – approximately half – would be attributable to the rise in natural gas prices, one of the inputs in combined cycle plants. Developments in wholesale electricity prices in other European markets have been similar to those in Spain. However, there are substantial differences regarding the pass-through to retail prices. In particular, the increase in the wholesale price of electricity would account for around one-third of the rise in the Harmonised Index of Consumer Prices (HICP) in Spain between December 2020 and June 2021, while its contribution to overall inflation in the main economies of the euro area has been significantly lower. Disparities in retail pricing schemes could be behind the observed differences.

  • 24/08/2021
    2119. Impact of the COVID-19 crisis on Spanish firms’ financial vulnerability (2 MB) Roberto Blanco, Sergio Mayordomo, Álvaro Menéndez and Maristela Mulino

    This paper analyses the impact of the COVID-19 crisis on the financial vulnerability of the Spanish corporate sector. The simulations conducted show that the crisis significantly increased firms’ liquidity needs in 2020, although the measures adopted by national and international authorities eased access to credit under favourable conditions, which substantially mitigated the short-term liquidity risks. However, the sharp fall in profitability levels, coupled with debt growth, appears to have resulted in a marked increase in the proportion of vulnerable firms (i.e. those with negative equity or high debt levels), which would be more pronounced among SMEs and the sectors hardest hit by the pandemic. The projections for the period 2021-2023 indicate a gradual decline in these percentages, in keeping with the expected recovery in activity. The results also suggest that, as a result of the crisis, the proportion of firms at risk of becoming non-viable on account of persistent losses through to 2023 would rise by between 2 pp and 3 pp, while the proportion of those that will remain viable but struggle to repay their debts out of their expected future earnings (overindebted firms) would rise by between 3 pp and 4.7 pp. In addition, the simulations show that the unsustainable debt of firms that have become overindebted but remain viable would stand between €9 billion and €18.6 billion, depending on the scenario considered, with the bulk of this amount accounted for by SMEs.

  • 31/08/2021
    2118. Fiscal policy measures adopted since the second wave of the health crisis: the euro area, the United States and the United Kingdom (394 KB) Daniel Alonso, Alejandro Buesa, Carlos Moreno, Susana Párraga and Francesca Viani

    The persistence of the health crisis made it necessary for the main advanced economies to approve fresh fiscal measures or extend the terms of those that expired. This paper summarises the main actions taken since autumn 2020 in the main euro area economies (Germany, France, Italy and Spain), the United States and the United Kingdom, supplementing a previous paper (Cuadro-Sáez et al. (2020)) that focused on the measures approved in the first half of 2020. Also, the actions taken within the State aid temporary framework, adopted by the European Commission to provide direct support to the most affected firms and to limit trade and competition distortions in the internal market, are detailed. This set of actions has helped to mitigate the risks associated with an early withdrawal of fiscal stimulus. Notable among the new measures adopted is the additional support for firms in European countries, the direct assistance to households in the United States and the new employment support provisions in the United Kingdom.

  • 08/07/2021
    2117. Incentive compatible relationship between the ERM II and close cooperation in the Banking Union: the cases of Bulgaria and Croatia (639 KB) María J. Nieto and Dalvinder Singh

    The goal of expanding participation in the European Banking Union was to allow the “outs” to enter into close cooperation, but it did not include the simultaneous joining of the Exchange Rate Mechanism (ERM II). Focusing on the cases of Bulgaria and Croatia, this paper attempts to respond to various questions. What is the rationale behind the double requirement of having simultaneously to apply to become a member of the ERM II and to prepare to become a member of the Banking Union via the rule-based “close-cooperation” coordination mechanism between the EU non-euro-area national competent authorities (NCAs) and the European Central Bank (ECB)? Does the integration of close-cooperation countries’ banking systems with the euro-area banking systems support the decision to join the ERM II and “opting in” to the Single Supervisory Mechanism (SSM)? What are the advantages of preparing to become a full member of the euro area and the SSM? It is evident from the research undertaken in this paper that there are clear benefits of close cooperation for these member states whose domestic currencies are already linked to the euro, in view of the dominant position eurozone banks have in their respective domestic markets. It is more difficult for a national central bank or NCA to exercise discretion in implementing ECB decisions once it is committed to the path leading to full European Monetary Union (EMU) membership. Hence the commitment to join the EMU minimises the authority risk for the ECB as well as for the Single Resolution Board, as safeguards become non-significant and termination is not an issue. The uncertainty about the functioning and durability of the close-cooperation arrangement is largely removed.

  • 07/07/2021
    2116. Monetary policy strategy and inflation in Japan (2 MB) Fructuoso Borrallo Egea and Pedro del Río López

    Faced with a very prolonged period of low inflation, the Bank of Japan has been modifying its monetary policy strategy over the last two decades, pioneering the use of non-standard measures: it reduced policy interest rates to zero and, more recently, to negative levels, and has implemented several asset purchase programmes, forward guidance and, in September 2016, a yield curve control policy. Despite all these efforts, Japan has continued to experience persistently low inflation, with rates well below the central bank’s target in recent decades. This document analyses the changes in the Bank of Japan’s strategy in its struggle against low inflation, focusing in particular on the reasons that led it to adopt the interest rate control policy, describes how this policy works and its main features, and assesses the results obtained. This new strategy has allowed the Bank of Japan to control the yield curve more effectively and sustainably, reducing the volume of asset purchases and mitigating the potential adverse financial stability effects. However, empirical analysis shows that it has still not succeeded in modifying the adaptive and persistent nature of the process of formation of prices and inflation expectations in Japan.

  • 06/07/2021
    2115. The uneven impact of the health crisis on the euro area economies in 2020 (808 KB) Ángel Luis Gómez and Ana del Río

    The economic impact of the COVID-19 pandemic has been uneven across euro area
    countries. Among the factors explaining this are the intensity of the health crisis in each
    territory and the severity and duration of the containment measures applied to limit the
    spread of the virus, as well as the structural differences between the economies, and, in
    particular, their productive specialisation. The empirical analysis presented in this paper
    indicates that the variation of the economic impact of the pandemic across euro area
    countries is largely explained by the relative importance of the most vulnerable service
    industries – those involving greater face-to-face social interaction – and the capacity to
    implement teleworking.

  • 30/06/2021
    2114. A BVAR toolkit to assess macrofinancial risks in Brazil and Mexico (954 KB) Erik Andres-Escayola, Juan Carlos Berganza, Rodolfo Campos and Luis Molina

    This paper describes the set of Bayesian vector autoregression (BVAR) models that are being used at Banco de España to project GDP growth rates and to simulate macrofinancial risk scenarios for Brazil and Mexico. The toolkit consists of large benchmark models to produce baseline projections and various smaller satellite models to conduct risk scenarios. We showcase the use of this modelling framework with tailored empirical applications. Given the material importance of Brazil and Mexico to the Spanish economy and banking system, this toolkit contributes to the monitoring of Spain’s international risk exposure.

  • 08/06/2021
    2113. Los efectos del salario mínimo interprofesional en el empleo: nueva evidencia para España (1.017 KB) Cristina Barceló, Mario Izquierdo, Aitor Lacuesta, Sergio Puente, Ana Regil and Ernesto Villanueva

    This paper uses different data and approaches to analyse the impact on employment
    of the increase in the national minimum wage in 2019. It turns out that, following the increase, the employment of low-wage workers grew more slowly. Alternative exercises are carried out focusing on the impact on the workers targeted by the reform. These suggest a larger adverse impact on the job losses of elder workers and a sharper reduction in hours worked and in job creation for younger workers. Finally, using accommodation and food service activities data, the article addresses the difficulties of unequivocally identifying a control group comparable to workers whose wages are at the national minimum level, meaning that the estimated impacts should be interpreted with caution.

  • 22/04/2021
    2112. El interés por la innovación financiera en España. Un análisis con Google Trends (1 MB) José Manuel Carbó and Esther Diez García

    This paper examines the differences in interest in financial innovation-related concepts in Spain. We conduct our analysis using Google Trends. This tool enables the intensity of search for a specific term in the Google search engine to be analysed. While the tool does not show searches in absolute terms, it is useful for understanding the relative differences between terms and regions. The results suggest there are differences between Spain’s regions, although these vary depending on the category of financial innovation concerned. The difference is much greater in terms relating to regulation and new technologies applied to sustainable financing, while it is virtually non-existent in the cryptocurrencies and payment means categories. Among the factors that may explain these results, we identify income and age as possible determinants of inter-regional differences. These results may prove useful with a view to developing financial education programmes and to better directing efforts towards those regulatory initiatives in the digital area where the disparity in interest and knowledge may be greater.

  • 08/04/2021
    2111. A GPS navigator to monitor risks in emerging economies: the vulnerability dashboard (663 KB) Irma Alonso and Luis Molina

    This paper presents a simple, transparent and model-free framework for monitoring the build-up of vulnerabilities in emerging economies that may affect financial stability in Spain through financial, foreign direct investment or trade linkages, or via global turbulences. The vulnerability dashboards proposed are based on risk percentiles for a set of 34 key indicators according to their historical and cross-section frequency distributions. The framework covers financial market variables, macroeconomic fundamentals –which are grouped into real, fiscal, banking and external variables– and institutional quality and political indicators. This methodology is a valuable complement to other existing tools such as the Basel credit-to-GDP gap and vulnerability indices.

  • 07/04/2021
    2110. High-Yield bond markets during the COVID-19 crisis: the role of monetary policy (535 KB) Dmitry Khametshin

    This article documents the difference in corporate bond issuance between the euro area (EA) and the United States (US) in 2020, especially in the high-yield (HY) segment, and discusses the role that the monetary policy measures undertaken by the US Federal Reserve (Fed) and the ECB in response to the Covid-19 crisis may have played in explaining such difference. We document that the issuance of HY bonds since February 2020 has been lower by historical standards in the EA than in the US. The Fed’s measures aimed at the HY segment, mainly the purchase of HY bond exchange traded funds (ETFs), could have reduced credit spreads and improved market liquidity, which in turn could have stimulated debt issuance. Alternatively, HY issuers in the EA may have faced better bank funding conditions due to the ECB’s targeted longer term refinancing operations (TLTRO) and to other measures by national fiscal authorities, leading such issuers to substitute bank credit for bond finance. The article discusses these possibilities and argues that they all may have played a role to a certain extent.

  • 18/03/2021
    2109. The relationship betweem pandemic containment measures, mobility and economic activity (742 KB) Corinna Ghirelli, María Gil, Samuel Hurtado and Alberto Urtasun

    This paper first constructs a regional-scale indicator that seeks to gauge the volume of measures implemented at each point in time to contain the pandemic. Using textual analysis techniques, we analyse the information in press news. At the start of the pandemic, measures were taken in a centralised fashion; but from June, regional differences began to be seen and increased in the final stretch of the year.
    Second, using linear estimates, with monthly data and a level of regional disaggregation, the paper documents how most of the reduction in mobility observed in Spain has been due to the restrictions imposed. However, there has been a perceptible change in this relationship over recent months. In the early stages of the pandemic, the reduction in mobility was found to be greater than would be inferred by the restrictions approved. That is to say, at the outset there was apparently some voluntary reduction in mobility. Yet following lockdown-easing, the behaviour of mobility has fitted more closely with what might be attributed to the containment measures in force.
    Finally, the findings in the paper suggest that most of the decline in economic activity since the start of the crisis can be explained by the reductions observed in mobility. The analysis considers only the short-term effects on activity, which is very useful for preparing the projections on GDP behaviour in the current quarter. Conversely, the methodological approach pursued does not allow for evaluation of the effect of the pandemic containment measures on activity over longer time horizons. In particular, the adverse impact on the economy’s output that occurs concurrently as a result of the restrictions may be countered in the medium term by an effect of the opposite sign, to the extent that the restrictions imposed today may serve to prevent other more forceful ones in the future.

  • 17/03/2021
    2108. Real-time analysis of the revisions to the structural position of public finances (3 MB) Pablo Burriel, Víctor González-Díez, Jorge Martínez-Pagés and Enrique Moral-Benito

    Estimating the role of the business cycle on the General Government budget balance plays a key role on the real-time analysis of fiscal policy, especially under the Stability and Growth Pact framework. This paper studies, for a group of EU countries and the United Kingdom, the revisions in the structural balance estimated by the European Commission between its first publication and the most recent figures. The results suggest that revisions were negative (i.e. the budget balance measured ex-post is, on average, less favourable than assessed in real time) and significant for the period prior to 2008, but relatively smaller for later years. Overall, revisions are procyclical but negative on average. Furthermore, data revisions (on public expenditure and revenues as well as GDP growth) are as important as errors in estimating the unobservable potential GDP. According to these findings, the structural efforts required by the EU framework were in general insufficient during the boom up to 2008, since they were based on too optimistic estimates of the structural balances. However, there is no evidence of similar real-time errors in the assessment of fiscal positions during the crisis and the posterior recovery.

  • 26/02/2021
    2107. Dating and synchronisation of regional business cycles in Spain (5 MB) Eduardo Byrés, María-Dolores Gadea and Ana Gómez-Loscos

    The analysis of the regional business cycles in Spain highlights a high degree of similarity in the developments of most regions, but also shows idiosyncratic behaviour that mainly affects the duration and intensity of recessions. Such idiosyncratic behaviour would advise complementing national policies with specific policies aimed at certain territories. This paper adopts two complementary approaches in order to comprehensively date and analyse regional business cycles: the first uses an annual aggregate indicator such as GDP, for which a long series is available; the second focuses on a set of specific monthly indicators for a more recent period and provides a more accurate characterisation of the reference cycle.

  • 05/02/2021
    2106. The Spanish pension system: an update in the wake of the pandemic. Banco de España contribution to the Committee on the Monitoring and Assessment of the Toledo Pact Agreements. 2 September 2020 (720 KB) Pablo Hernández de Cos

    In 2017 the Banco de España published an Occasional Paper (DO 1701) describing the institutional framework of the pension system, setting out the main medium-term challenges and analysing some reform alternatives. In this paper the Governor updates the foregoing analysis for the Committee on the Monitoring and Assessment of the Toledo Pact Agreements on the basis of the latest figures and regulatory developments. He considers alternatives for reforming the pension system based on their impact on its financial sustainability and overall public finances; on employment, productivity and the economy’s potential growth; and on the system’s sufficiency and inter- and intra-generational equity.

  • 05/02/2021
    2105. The independence of economic authorities and supervisors. The case of the Banco de España. Testimony by the Governor of the Banco de España before the Audit Committee on Democratic Quality / Congress of Deputies, 22 December 2020 (389 KB) Pablo Hernández de Cos

    In his testimony, the Governor’s analysis of the impartiality and autonomy of independent economic authorities contributes to the Committee’s review of the “measures needed to strengthen the impartiality and independence of independent authorities and regulatory agencies”. He first reviews the arguments warranting the independence of economic authorities and supervisors. He then goes on to address the features that conform an institution’s formal independence, detailing their specific form in the case of the Banco de España. Next, he reflects on the status of independence as a necessary, but not sufficient, condition for the proper performance by independent agencies of their functions. He then highlights possible measures for strengthening the independence of the Banco de España, and identifies potential improvements to the financial supervision model in Spain. Lastly, he refers to the Bank’s control mechanisms and transparency standards, and certain aspects of its governance.

  • 05/02/2021
    2104. Draft state budget for 2021. Testimony before the Parliamentary Budget Committee, 4 November 2020 (954 KB) Pablo Hernández de Cos

    In discussing the first Draft State Budget to address the economic and social impact of the COVID-19 pandemic, the Governor begins with an analysis of the economy’s recent behaviour and how it may evolve in the coming quarters, drawing on the Banco de España’s projections. Against this background, he assesses the Government’s macroeconomic forecast underpinning the Draft State Budget. He proceeds to calibrate the Budget’s main proposals in terms of the fiscal policy stance, the composition and appropriateness of public revenue and expenditure, and the risks to meeting the budget deficit target. Lastly, he sets out what he considers to be the key challenges for Spanish fiscal policy in the medium term.

  • 02/02/2021
    2103. Cyclical patterns of the Spanish economy in Europe (974 KB) Luis J. Álvarez, M.ª Dolores Gadea and Ana Gómez Loscos

    The main aim of this paper is to provide a set of stylised facts on the regularities of cyclical patterns in Spain compared with those of the major European countries and to analyse the synchronisation of the main real variables of these economies, which have close trading and financial relationships. A sectoral approach is used to take into account the heterogeneous behaviour of the different supply and demand components.

  • 28/01/2021
    2102. Taxation challenges of population ageing: comparative evidence from the European Union, the United States and Japan (684 KB) Fructuoso Borrallo, Susana Párraga-Rodríguez and Javier J. Pérez

    Using microdata from the European Union, the United States and Japan, we show that the elderly bear lower effective tax rates than the young. This difference is explained by the income gap and the different generational consumption baskets. However, tax reforms enacted in recent decades have led to an increase in the relative contribution of the elderly to public finances.

  • 21/01/2021
    2101. Una taxonomía de actividades sostenibles para Europa (556 KB) Luna Azahara Romo González

    The EU Taxonomy for sustainable activities was created with the goal of becoming a crosssectional law for all current and future EU regulations on sustainable finance. The initial
    proposal for an EU Taxonomy was in 2018, and the final regulation, containing its basic
    principles and foundations, was released in June 2020. In this article I describe the main
    characteristics of the taxonomy: how it works, its influence on the future EU Green Bond
    Standard and its foreseeable future development. I also reflect on the importance of the
    EU Taxonomy for Central Banks from the standpoint of their investments, the relevance
    of the Taxonomy for the EU and sustainable finance, and the benefits it entails and the
    challenges it poses if companies and investors are to use it. Ultimately, a successful
    implementation of the Taxonomy will be key to Europe achieving its ambitious climate
    and environmental objectives and to future generations enjoying a more sustainable and
    habitable world.

Contact Us

Publications Unit

Related Information

Publications Search