Spain in the Euro: A general equilibrium Analysis

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(1)SPAIN IN THE EURO: A GENERAL EQUILIBRIUM ANALYSIS. Javier Andrés, Samuel Hurtado, Eva Ortega and Carlos Thomas. Documentos de Trabajo N.º 0927. 2009.

(2) SPAIN IN THE EURO: A GENERAL EQUILIBRIUM ANALYSIS.

(3) SPAIN IN THE EURO: A GENERAL EQUILIBRIUM ANALYSIS(*). Javier Andrés(**) UNIVERSIDAD DE VALENCIA. Samuel Hurtado(***), Eva Ortega(****) and Carlos Thomas(*****) BANCO DE ESPAÑA. (*) We would like to thank Ángel Estrada, Juan Francisco Jimeno, Nooman Rebei and Alberto Urtasun for their help and very useful suggestions, and to Jesús Vázquez and participants of the conference "Estimation and Empirical Validation of Structural Dynamic Stochastic Models for the Spanish Economy" celebrated at Banco de España on March 13, 2009. Javier Andrés acknowledges financial support by CICYT grant ECO2008-04669. This paper represents the views of the authors and should not be reported as representing the views of the Banco de España or the Eurosystem. (**) [email protected]. (***) [email protected]. (****) [email protected]. (*****) [email protected].. Documentos de Trabajo. N.º 0927 2009.

(4) The Working Paper Series seeks to disseminate original research in economics and finance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem.. The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es.. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. © BANCO DE ESPAÑA, Madrid, 2009 ISSN: 0213-2710 (print) ISSN: 1579-8666 (on line) Depósito legal: M. 53139-2009. Unidad de Publicaciones, Banco de España.

(5) Abstract. This paper analyzes the determinants of Spain’s macroeconomic kuctuations since the inception of the euro in 1999, with a special attention to observed growth and inkation differentials with respect to the rest of the European Monetary Union (EMU). For that purpose we estimate the Banco de España DSGE model of the Spanish economy and the rest of the Eurosystem (BEMOD). We jnd that observed differentials are the result of a combination of asymmetric country-specijc shocks (in particular, demand and productivity shocks for growth and cost-push shocks for inkation) as well as asymmetric economic structure (especially lower nominal wage and price rigidities in Spain). Finally, we jnd that EMU membership has had a non-negligible effect on observed differentials. Keywords: DSGE model, monetary union, growth and inkation differentials, Bayesian inference JEL classiðcation: C11, C51, E17..

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(116) &$0-" ),0(."-".,+*.". /+ ,+.&/&1" *+)&*( &*/"-"./ -/" .%+ '. 0,5. EMU - nominal interest rate. 0. EMU - private consumption f. -0,2. 0,4. EMU - private productive investment. 0. -0,4. 0,3. 2. -2. -0,6 0,2. -4. -0,8. 0,1. -1. -6. 0. -1,2. -8. 0. Spain - total exports. 0. -0,2. -0,2. -0,4. -0,4. -0,6. -1,2. -1. -1,4. -1,2. -1,6. -1,4. Spain - tradable production. 0. 0 -0,5. -1. -10 -15. Spain - non-tradable production. 1. Spain - total employment. 0,5 0. -1. -0,5. -1,5. -1,5. -2. Spain - private productive investment. -5. -0,8. -1. 5 0. -0,6. -0,8. 1. Spain - private consumption. -1. -3 -4. -2. -5. -2,5. -2 -2,5 -3. <:HE8

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