This paper analyses the informational content of financial prices in Spain, mainly from the viewpoint of a central bank. In particular, we examine the informational content of domestic yields and yield spreads, foreign-domestic spreads, credit quality spreads, stock prices and exchange rates on...

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims...

Should rational agents take into consideration government policy announcements? A skilled agent (an econometrician) could set up a model to combine the following two pieces of information in order to anticipate the future course of fiscal policy in real-time: (i) the ex-ante path of policy as...

This document presents a multivariate transfer function model for two components of CPI, the processed food and non-energy industrial goods, where the component of consumption goods of industrial price index (i.e. wholesale prices) is used as a leading indicator. We find that inflation rates of...

This paper presents a Bayesian vector autoregression model for the Spanish economy to aid in policy making. Forecasts of this model can be used as a useful input in constructing a macroeconomic scenario. The model is also useful in monetary programming.

This paper proposes the use of dynamic factor models as an alternative to the VAR-based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed...