Business cycle estimation with high-pass and band-pass local polynomial regression

Incluye bibliografíaLos filtros construidos a partir de métodos de regresión polinómica local (LPR) han sido utilizados en la literatura para estimar el ciclo económico. En este trabajo se proporciona una interpretación en el dominio de frecuencias del filtro de contraste obtenido como la diferencia entre una serie y su componente LPR de largo plazo y se demuestra que actúa como un filtro de paso alto, de modo que proporciona una estimación con ruido del ciclo económico. Alternativamente, se proponen métodos de regresión polinómica local de pasabanda con el objetivo de aislar el componente cíclico. Los resultados se comparan con filtros estándar de paso alto y pasabanda. Los procedimientos se ilustran usando la serie del PIB de Estados UnidosFilters constructed on the basis of standard local polynomial regression (LPR) methods have been used in the literature to estimate the business cycle. We provide a frequency domain interpretation of the contrast filter obtained by the difference between a series and its long-run LPR component and show that it operates as a kind of high-pass filter, meaning it provides a noisy estimate of the cycle. We alternatively propose band-pass local polynomial regression methods aimed at isolating the cyclical component. Results are compared to standard high-pass and band-pass filters. Procedures are illustrated using the US GDP serie

Data outliers and Bayesian VARs in the euro area

Este trabajo propone un método para ajustar los datos atípicos en modelos vectoriales autorregresivos estimados con técnicas bayesianas (BVAR) que supone reescalar por magnitudes diferentes la varianza de los errores de la forma reducida. Se utiliza este método para documentar varios hechos sobre el efecto de los valores atípicos en la estimación y la previsión fuera de muestra utilizando datos macroeconómicos de la zona del euro. En primer lugar, la pandemia de COVID-19 provocó grandes oscilaciones en los datos macroeconómicos que distorsionan los resultados de estimación de los modelos BVAR. En segundo lugar, estas oscilaciones pueden abordarse reescalando la varianza de las perturbaciones. En tercer lugar, si se tienen en cuenta los valores atípicos antes de 2020, se obtienen ligeras mejoras en las previsiones puntuales de los BVAR para algunas variables y horizontes. Sin embargo, el rendimiento de las previsiones de las densidades se deteriora considerablemente. Por lo tanto, recomendamos tener en cuenta los valores atípicos solo en las fechas preestablecidas en torno al inicio de la pandemia de COVID-19.We propose a method to adjust for data outliers in Bayesian Vector Autoregressions (BVARs), which allows for different outlier magnitudes across variables and rescales the reduced form error terms. We use the method to document several facts about the effect of outliers on estimation and out-of-sample forecasting results using euro area macroeconomic data. First, the COVID-19 pandemic led to large swings in macroeconomic data that distort the BVAR estimation results. Second, these swings can be addressed by rescaling the shocks’ variance. Third, taking into account outliers before 2020 leads to mild improvements in the point forecasts of BVARs for some variables and horizons. However, the density forecast performance considerably deteriorates. Therefore, we recommend taking into account outliers only on pre-specified dates around the onset of the COVID-19 pandemic

Reference variables for analysing inflation in Spain

Artículo de revistaThis note analyses the main reasons why the Directorate General Economics, Statistics and Research of the Banco de España has recently adopted the Harmonised Index of Consumer Prices (HICP) and its associated measure of core inflation (the HICP excluding energy and food) as its reference variables for analysing inflation in Spain, instead of its previous practice of focusing on the consumer price index (CPI) and the CPI excluding unprocessed food and energy. The advantages in terms of communication and consistency with the other euro area countries and the European Central Bank (ECB) make it advisable to base the regular analysis of price developments on the harmonised measures. In any case, the CPI will continue to be analysed regularly, given its more extensive regional coverage and longer time serie

The cyclical behaviour of residential investment : some stylised facts

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Composite indicators of inflationary pressures

Artículo de revistaThis article analyses a broad set of relevant variables for monitoring inflationary pressures in the Spanish economy. On the basis of these variables, composite indicators are calculated that proxy inflation expectations, the degree of slack in the economy and other inflation pressures, domestic and external alike. On the information analysed, the recent period of low inflation in the Spanish economy is estimated to have come about in a setting in which domestic factors particularly eased, with a notable reduction in inflation expectation

BVAR models in the context of cointegration : a Monte Carlo experiment

The kind of prior typically employed in Bayesian vector autoregression (BVAR) analysis has aroused widespread suspicion about the ability of these models to capture long-run patterns. This paper specifies a bivariate cointegrated stochastic process and conducts a Monte|Carlo experiment to assess the small sample performance of two classical and two Bayesian estimation methods commonly applied to VAR models. In addition, a proposal to introduce a new dimension to the prior information in order to allow for explicit account of long-run restrictions is suggested and evaluated in the light of the experiment. The results of the experiment show that: the Minnesota -type prior with hyperparameter search performs well, suggesting that the prevalent suspicion about the inability of this prior to capture long-run patterns is not well-groundedthe fine-tunning of the prior is crucialand adding long-run restrictions to the prior does not provide improvements in the case analyzed.(jag)(fbg)(jha

Variation in the cyclical sensitivity of Spanish inflation : an initial approximation

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