Alberto Urtasun

Bio: Alberto Urtasun is an academic researcher from Bank of Spain. The author has contributed to research in topics: Recession & Latin Americans. The author has an hindex of 16, co-authored 50 publications receiving 666 citations.

Measuring economic and economic policy uncertainty and their macroeconomic effects: the case of Spain

Abstract: We provide additional evidence on the relationship between uncertainty and economic activity. For this purpose, we gather and construct a wide range of proxy indicators of economic and economic policy uncertainty from Spain. We distinguish between the relative merits of different types of measures based on (i) the volatility of financial markets; (ii) economic analysts’ disagreement; and (iii) economic policy uncertainty. We show that the first and the third block of measures are the most relevant to grasp the negative effects of unexpected changes in uncertainty on aggregate economic developments, as measured by real GDP. In addition, we find that economic policy uncertainty and financial uncertainty shocks produce visible negative effects on private consumption. The negative responses on capital goods investments are initially bigger in magnitude but vanish more quickly.

Price-cost mark-ups in the Spanish economy: a microeconomic perspective

Abstract: Este documento analiza la evolucion dinamica de los margenes precio-coste utilizando microdatos de empresas y prestando una atencion particular al periodo de crisis (2008-2011). Con este fin, se emplea el modelo econometrico desarrollado por Klette (1999) para estimar los margenes precio-coste marginal a partir de una muestra muy amplia y representativa de sociedades no financieras espanolas para el periodo 1995-2011, tanto a nivel agregado como por ramas de actividad y por tamanos de empresa. Los resultados de las estimaciones revelan un patron creciente de los margenes precio-coste bastante generalizado a partir de 2008, tanto por sector como por tamano de empresa, tras una etapa previa de relativa estabilidad. Ademas, con el objetivo de interpretar dicho patron creciente, se han estimado unas regresiones sencillas, que relacionan el cambio entre 2007 y 2011 en los margenes empresariales en el ambito del sector a dos digitos con algunos determinantes sugeridos por la bibliografia economica, con un enfasis especial en los derivados del poder de mercado y de las tensiones financieras. Los resultados de este ejercicio de estimacion muestran que existe una relacion positiva y estadisticamente significativa entre la tasa de variacion de los margenes estimados y las medidas que aproximan el poder de mercado y el grado de presion financiera en cada rama de actividad.

Can news help measure economic sentiment? An application in COVID-19 times

Abstract: We construct a new newspaper-based sentiment indicator for Spain that allows us to monitor Spanish economic activity in real-time. As opposed to the traditional survey-based confidence indicators that are released at the end of the month, our indicator can be constructed on a daily basis and updated in real-time. We compare our proposed index with the popular Economic Sentiment Indicator of the European Commission, and we show that ours performs significantly better in nowcasting the Spanish GDP. In addition, our indicator proves to be helpful in order to predict the current COVID-19 recession from an earlier date. All in all, our indicator performs similarly to or even outperforms other soft indicators, with the advantage of being updated daily. Thus, it provides a valuable option when measuring the confidence in the economy.

Update and Re-Estimation of the Quarterly Model of Banco De España (MTBE)

Abstract: The Quarterly Model of Banco de Espana (MTBE, Modelo Trimestral del Banco de Espana) is a large-scale macro-econometric model used for medium term macroeconomic forecasting of the Spanish economy, as well as for evaluating the staff projections and performing scenario simulations. The model is specified as a large set of error correction mechanism equations, and, especially in the short run, is mostly demand driven. This paper presents an update of the model, estimated with data from 1995-2012. In this new version, private productive investment and employment react more to output, capturing the higher sensitivity of these variables observed during the crisis, and prices and wages react less both to each other and to the evolution of real variables. Credit is now an endogenous variable in the model and it also helps explain the behaviour of the main demand components. As a result of all these changes, simulations now generally display a somewhat stronger demand channel and show nominal effects that are both smaller and with less inertia. The updated model describes an economy that is more reactive to financial shocks other than changes in interest rates, where wage moderation can generate growth and employment if it is followed by price moderation and where fiscal consolidation reduces public deficit and has negative but moderate effects on GDP.

Inflation Dynamics During the Financial Crisis

Abstract: Using confidential product-level price data underlying the U.S. Producer Price Index (PPI), this paper analyzes the effect of changes in firms’ financial conditions on their price-setting behavior during the ”Great Recession” that surrounds the financial crisis. The evidence indicates that during the height of the crisis in late 2008, firms with “weak” balance sheets increased prices significantly relative to industry averages, whereas firms with “strong” balance sheets lowered prices, a response consistent with an adverse demand shock. These stark differences in price-setting behavior are consistent with the notion that financial frictions may significantly influence the response of aggregate inflation to macroeconomic shocks. We explore the implications of these empirical findings within a general equilibrium framework that allows for customer markets and departures from the frictionless financial markets. In the model, firms have an incentive to set a low price to invest in market share, though when financial distortions are severe, firms forgo these investment opportunities and maintain high prices in an effort to preserve their balance-sheet capacity. Consistent with our empirical findings, the model with financial distortions—relative to the baseline model without such distortions—implies a substantial attenuation of price dynamics in response to contractionary demand shocks.

What fiscal policy is most effective? A meta-regression analysis

Abstract: I apply a meta-regression analysis to a unique data set of 104 studies on multiplier effects to derive stylized facts and quantify the differing effectiveness of the composition of fiscal impulses, adjusted for study design characteristics. Public spending multipliers are close to 1 and about 0.3 to 0.4 units larger than tax and transfer multipliers. Public investment multipliers are even larger than those of spending in general by approximately 0.5 unit. Multipliers vary with study design, whose influence should be laid open when drawing policy conclusions. The analysis provides guidance concerning influential factors, their significance, and magnitude.

Measuring the Interaction Between Manufacturing and Services

Abstract: This paper examines the interaction between services and manufacturing using several types of data and shows that the distinction between manufacturing and services is blurring. Services make important contributions to production, mainly through their direct contribution to total output and final demand, but to some degree also through their indirect contribution via other industries. However, services are more independent from other industries than the manufacturing sector. Most inputs that are necessary to produce services are derived from the services sector itself. Moreover, their role as providers of intermediate inputs to other industries is not yet as strong as that of the manufacturing sector. The paper also shows that a growing share of workers in the manufacturing sector is engaged in services-related occupations. Using a broad definition of service-related workers, up to 50% of manufacturing workers are in such occupations. Using firm-level data the paper finds that, despite anecdotal evidence on a growing share of services turnover within the manufacturing sector, manufacturing enterprises in most countries are not very diversified in their constituting establishment, i.e. they do not have many establishments engaged in services production. Canada is a notable exception in this respect. In other countries, it is likely that diversification primarily occurs at the level of the enterprise group. On the other hand, data on products suggest that manufacturing firms and establishments appear to derive a growing share of turnover from services, notably in countries such as Finland and Sweden. Mesure de l'interaction entre les industries manufacturieres et les services Cette etude examine l’interaction qui existe entre les services et les industries manufacturieres, en s’appuyant sur differents types de donnees. Elle montre que la distinction entre les industries manufacturieres et les services tend a s’estomper. Les services apportent d’importantes contributions a la production, principalement sous forme d’apports directs a la production totale et a la demande finale, mais aussi, dans une certaine mesure, a travers leur contribution indirecte. Toutefois, les services sont plus independants des autres industries que ne l’est le secteur manufacturier. La plus grande partie des intrants necessaires a la production des services procede du secteur des services lui-meme. De plus, la place des services dans la fourniture d’intrants intermediaires a d’autres secteurs n’est pas encore aussi importante que celle de l’industrie manufacturiere. Ce travail revele en outre qu’une proportion croissante des travailleurs du secteur manufacturier est employee a des fonctions liees aux services. Si l’on utilise une definition large des fonctions liees aux services, jusqu’a 50 % des travailleurs du secteur manufacturier relevent de telles fonctions. En s’appuyant sur des donnees micro-economiques, ce document montre que, malgre des elements epars qui sembleraient indiquer qu’une part croissante du chiffre d’affaires du secteur manufacturier correspond a des activites de services, dans la plupart des pays, les entreprises manufacturieres restent assez peu diversifiees, ce qui signifie qu’elles ne comptent pas beaucoup d’etablissements produisant des services. Le Canada constitue une exception notable a cet egard. Dans d’autres pays, il semble plutot que la diversification s’opere essentiellement au niveau du groupe. Enfin, les donnees sur les produits suggerent que les entreprises et les etablissements du secteur manufacturier realisent une part plus importante de leur chiffre d’affaires grâce aux services, notamment dans des pays comme la Finlande et la Suede.