A short-term forecasting model for the Spanish economy: GDP and its demand components

Series: Occasional Papers. 1801.

Author: Ana Arencibia Pareja, Ana Gómez Loscos, Mercedes de Luis López and Gabriel Pérez Quirós.

Published in: Economía. Volume 43, Issue 85, January 2020, Pages 1-30

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A short-term forecasting model for the Spanish economy: GDP and its demand components (1 MB)

Abstract

This document describes the key aspects of the extended and revised version of Spain-STING (Spain, Short-Term INdicator of Growth), which is a tool used by the Banco de España for the short-term forecasting of the Spanish economy’s GDP and its demand components. Drawing on a broad set of indicators, several dynamic factor models are estimated. These models allow the forecasting of GDP, private consumption, public expenditure, investment in capital goods, construction investment, exports and imports in a consistent way. We assess the predictive power of the GDP and its demand components for the period 2005-2017. With regard to the GDP forecast, we find a slight improvement on the previous version of Spain-STING. As for the demand components, we show that our proposal is better than other possible time series models.