Model based measures of contemporaneous economic growth

In short term economic reports the use of different growth rate measures is misleading. This paper studies the question of using an unique measure -underlying growth-, which should be smoothed and in phase with the monthly increments of the corresponding variable. All possible solutions require the use of forecasts at the end of the sample. The paper proposes the use of models to obtain forecasts¡ then the contemporaneous underlying growth is a model based measure. An evaluation of the effects of the last innovations in the underlying growth can be obtained by comparing its last estimation with previous one. An example of its application, based on inflation analysis, is presented

Using high-frequency data and time series models to improve yield management

We show the potential contribution of time series models (TSM) to the analysis of high frequency (less than monthly) time series of economic activity. The evolution of the series is induced by stable patterns of behavior of economic agents; but these patterns are so complex that simple smoothing techniques or subjective forecasting can not consider all underlying factors and TSM are needed if a full efficient analysis is to be carried out. The main ideas are illustrated with an apllication to Spanish daily electricity consumption

Forecasting from one day to one week ahead for the Spanish system operator

This paper discusses the building process and models used by Red Eléctrica de España (REE), the Spanish system operator, in short-term electricity load forecasting. REE's forecasting system consists of one daily model and 24 hourly models with a common structure. There are two types of forecasts of special interest to REE, several days ahead predictions for daily data and one day ahead hourly forecasts. Accordingly, forecast accuracy is assessed in terms of their errors. For doing so we analyze historical, real time forecasting errors for daily and hourly data for the year 2006, and report forecasting performance by day of the week, time of the year and type of day. Other aspects of the prediction problem, like the influence of the errors in predicting temperature on forecasting the load several days ahead, or the need for an adequate treatment of special days, are also investigated

Threshold modelling of nonlinear dynamic relationships: an application to a daily series of economic activiity

This paper develops a methodology to model non-linear dynamic relationships. The non-linear functions are approached by the inclusion of threshold variables in an iterative forward search process which allows for different lenghts of the response functions to impulses at different intervals of the explanatory variables. The paper includes an application of these methods to the forecasting of the daily consumption of electricity as a function of temperature in Spain

Un nuevo indicador semanal y mensual de actividad basado en el consumo de energía eléctrica

La falta de información mensual o trimestral sobre el PIB obliga a utilizar una serie de indicadores parciales para el seguimiento a corto plazo de la actividad. De entre ellos destaca el consumo de energía eléctrica; sin embargo, la evolución de esta magnitud aparece muy distorsionada por las condiciones metereológicas y de calendario. En este trabajo se propone utilizar la información contenida en un modelo de predicción diaria del consumo eléctrico para estimar una serie diaria depurada de la demanda diferencial debida a estos factores; por agregación de dicha serie diaria corregida se obtienen indicadores más fiables de actividad semanal y mensual

Análisis cuantitativo de los precios de la vivienda: principales resultados e implicaciones sobre el funcionamiento del mercado de la vivienda en España

El objetivo de este trabajo es caracterizar el funcionamiento de la vivienda en España de forma indirecta a partir de la evolución de los precios, y en especial obtener alguna evidencia sobre la existencia de segmentación de largo plazo, determinar las relaciones de corto plazo entre pares de tasas de crecimiento y evaluar la influencia real del empleo de ponderaciones variables para formar precios agregados

Modelización del efecto temperatura en el consumo de electricidad: un ejercicio de búsqueda de especificación en relaciones dinámicas no lineales

En este trabajo se presenta un procedimiento para la búsqueda de especificación en relaciones dinámicas no lineales que presentan ciertas características; a pesar de su sencillez, permite explotar de forma sistemática la información de los datos acerca de ambos aspectos de la relación, el dinámico y el de forma funcional. A continuación, el procedimiento se aplica para modelizar la relación entre temperatura y consumo de electricidad utilizando datos diarios.Publicad

Using high-frequency data and time series models to Improve yield management

High-frequency (less than monthly) time series data provide valuable information for designing the adequate yield policy of the organisation. However, it is not easy to extract this information from raw data; although the evolution of the series is usually induced by stable patterns of behaviour of the economic agents, these patterns are so complex that simple smoothing techniques or subjective forecasting cannot consider all underlying factors. In this paper, we discuss time series models as a tool for carrying out a full and efficient analysis. The main ideas are illustrated with an application to Spanish daily electricity consumption.This paper is based upon work supported by the Spanish DGICYT, projects PB93-0236 (both authors) and PB93-0653 (Cancelo).Publicad

Forecasting daily demand for electricity with multiple-input nonlinear transfer function models: a case study

A model for forecasting the daily demand for electricity energy in Spain is presented. The trend and the weekly seasonality are modelled by using past values of the series; a complex intervention analysis is carried out to capture the effects of changes in the working conditions; and meteorological variables enter in the model with transfer functions, which allow nonlinear, dynamic, season-and type-ofday- dependent responses, as well as exhaustion effects and an implicit assessment of the increase on the stock of appliances

Cyclical synchronization in the EMU along the financial crisis: An interpretation of the conflicting signals

[Abstract] We analyze how cyclical synchronization in the EMU evolved since the onset of the current financial crisis. The standard measures of cyclical correlation suggest that while the cycle of the euro area became more aligned with the cycles of other developed economies, the EMU itself apparently entered into a phase of cyclical divergence. We show that as a matter of fact the bulk of the member states remained closely aligned, and the seeming decline in synchronization is due to a few countries decoupling from the euro area. Next we present empirical evidence that the foundations that explain the evolution of the national cycles against the EMU aggregate through the crisis were already latent in 2007. Greece and Ireland deviate from the general pattern, the former because of its loose fiscal policy all along the period 2000-2007, and the latter due to the flexibility of its labor marke