HOUSEHOLD BORROWING
AND CONSUMPTION
IN SPAIN: A VECM APPROACH
Carmen Martínez-Carrascal
Ana del Río
Documentos de Trabajo
N.º 0421
2004
HOUSEHOLD BORROWING AND CONSUMPTION IN SPAIN: A VECM APPROACH
HOUSEHOLD BORROWING AND CONSUMPTION IN SPAIN: A VECM
APPROACH
Carmen Martínez-Carrascal (*)
Ana del Río (**)
BANCO DE ESPAÑA
(*) Banco de España, Servicio de Estudios, Alcalá, 48, 28014 Madrid, Spain. Tel.: +34 91 338 5723. E-mail:
[email protected].
(**) Banco de España, Servicio de Estudios, Alcalá, 48, 28014 Madrid, Spain. Tel.: +34 91 338 5277. E-mail:
[email protected].
Documentos de Trabajo. N.º 0421
2004
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
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Reproduction for educational and non-commercial purposes is permitted provided that the source is
acknowledged.
© BANCO DE ESPAÑA, Madrid, 2004
ISSN: 0213-2710 (print)
ISSN: 1579-8666 (on line)
Depósito legal: M-53116-2004
Imprenta del Banco de España
Abstract
This paper aims at analysing the impact of household borrowing on consumption. These
variables are modelled jointly in a Vector Error Correction Model (VECM) where labour
income, wealth variables and nominal interest rates are also included. The main estimation
result is that deviations of borrowing from its long-run trend have a significant impact on
consumption: when lending is above (below) its long-run level, future consumption contracts
(expands). This evidence is also, found in a simpler model in which consumption is not
modelled explicitly. In addition, when consumption departs from its long-run level, it seems to
be an indicator of changes in future labour income.
JEL Classification: E20, E21, E51
Key words: Household debt, consumption, error correction
Acknowledgements: This paper has benefited from previous work by Fernando Nieto and
Teresa Sastre, whom we would like to thank for their suggestions. We are also particularly
grateful to Juan Ayuso, Roberto Blanco, Angel Estrada, Fernando Restoy and an anonymous
referee for their helpful comments. We also thank participants in the seminar held at the
Banco de España. The views expressed are those of the authors and should not be attributed
to the Banco de España.
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,9/ 4> @>@,77D >@;;:>0/ ?: ,/5@>? ;,>>4A07D ?: .:9>@80= /0.4>4:9> :B0A0= ?30 08;4=4
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?3,? 8,D ;:49? ?: ?30 ;=0>09.0 :1 74<@4/4?D .:9>?=,49?> ,9/ 309.0 ?: , =:70 -D 709/492
49 /0?0=849492 .:9>@8;?4:9
4<@4/4?D .:9>?=,49?> =0>?=4.? .:9>@8;?4:9 -D .@==09? =0
>:@=.0> ,9/ ,> 0,?:9 >?=0>>0> ?30D 49/@.0 -03,A4:@= >4847,= ?: ?3,? ,>>:.4,?0/
B4?3 , ;=0.,@?4:9,=D 8:?4A0 1:= >,A492 ;0:;70 B477 ,..@8@7,?0 ,>>0?> 49 .,>0 ?30D
900/ , 7:,9 ?30D .,99:? :-?,49 !:=0:A0= =02,=/70>> :1 B30?30= 3:@>03:7/> ,=0 .=0/4?
.:9>?=,490/ := 9:? ?30 .=0/4? .3,9907 ?30:=D ,7>: ;=:A4/0> , 1=,80B:=6 ?: 0C;7,49 3:B
48;0=10.?4:9> 49 ?30 .=0/4? 8,=60? 70,/ .=0/4? >@;;7D .:9/4?4:9> ?: ,K0.? .:9>@8;?4:9
'3:.6> ?: ?30 0C?0=9,7 F9,9.0 ;=084@8 $ B477 ,K0.? -:?3 ?30 ;=4.0 ?3,? -:==:B0=>
1,.0 B309 ,>6492 1:= 0C?0=9,7 1@9/> ,9/ ?30=01:=0 -:==:B0=>H .:9>@8;?4:9 /0.4>4:9>
0-? ;=:A4/0> =0>:@=.0> 1:= F9,9.492 3:@>03:7/ 0C;09/4?@=0 ,9/ ;0=84?> .:9
>@8;?4:9 >8::?3492 :B0A0= , 3423 70A07 :1 3:@>03:7/ /0-? =0.09?7D :->0=A0/ 49
>:80 49/@>?=4,74>0/ .:@9?=40> 8423? ,7>: 09?,47 =4>6> 34230= 70A07 :1 /0-? 2090=,77D
48;740> , 34230= /0-?>0=A4.0 -@=/09 ,9/ =0>?=4.?> ?30 ,-474?D :1 3:@>03:7/> ?: 2,49 ,..0>>
?: ,//4?4:9,7 0C?0=9,7 1@9/> (3@> , 3423 70A07 :1 /0-? =,4>0> 3:@>03:7/>H A@790=,-474?D
=0/@.492 ?304= ,-474?D ?: ,/5@>? B309 1,.492 ,9 @90C;0.?0/ >3:.6 ?: ?304= 49.:80 ?304=
,>>0?> := 49?0=0>? =,?0> (3@> @90C;0.?0/ >3:.6> 8423? .:9>?=,49 3:@>03:7/ >;09/492
/0.4>4:9> !:=0:A0= ,> ,==:77 ,9/ @99 ,=2@0 , =,;4/ 49.=0,>0 49 /0-? 8423?
,7>: =,4>0 .:9>@80= >09>4?4A4?D ?: 7,-:@= 49.:80 @9.0=?,49?D ? 4> ,7>: 48;:=?,9? ?:
>?=0>> ?3,? 3:@>03:7/ 0C?0=9,7 1@9/> ,=0 2=,9?0/ -D F9,9.4,7 49?0=80/4,=40> 8,497D
-,96> ,9/ ?30=01:=0 ?30 >?=092?3 :1 ?30 3:@>03:7/ F9,9.4,7 ;:>4?4:9 ,7>: ,K0.?> ?30
>?,-474?D :1 ?30 F9,9.4,7 >D>?08
(30=0 4> 9:? 3:B0A0= [email protected] 0A4/09.0 :1 B3,? ;:?09?4,7 48;,.? , =07,?4A07D 7,=20
70A07 :1 49/0-?0/90>> .,9 3,A0 :9 .:9>@8;?4:9 ,7?3:@23 ?30 0C;0=409.0 :1 >:80 .:@9
..:=/492 ?: ?30 ;=0.,@?4:9,=D /08,9/ 1:= >,A492> ;0:;70 ,..@8@7,?0 ,>>0?> ?3,? ,.? ,> , -@K0=
>?:.6 ;=:?0.?492 .:9>@8;?4:9 ,2,49>? 902,?4A0 >3:.6> ?: 49.:80
(30 $ =0G0.?> ?30 .:>? :1 0C?0=9,7 F9,9.0 /@0 ?: .=0/4? 8,=60? 48;0=10.?4:9> .:>?7D 8:94?:=492
.:9?=,.? 091:=.0809? 491:=8,?4:9,7 ,>D880?=40> ,9/ 4> @>@,77D ;=:C40/ -D ?30 B0/20 -0?B009
-:==:B492 ,9/ 709/492 49?0=0>? =,?0> ..:=/492 ?: ?30 -,96 709/492 .3,9907 , .:9?=,.?4:9 :1 8:90?,=D
;:74.D /=,49> /0;:>4?> 1=:8 ?30 -,96492 >D>?08 =0/@.492 ?30 >@;;7D :1 7:,9> ,9/ =,4>492 ?30 $
..:=/492 ?: ?30 -,7,9.0 >300? .3,9907 ?30 $ /0;09/> 49A0=>07D :9 ?30 -:==:B0=>H .=0/4?B:=?3490>>
BANCO DE ESPAÑA
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DOCUMENTO DE TRABAJO N.º 0421
?=40> 4> 477@>?=,?4A0 := 49>?,9.0 /@=492 ?30 > ?30 7::>09492 :1 74<@4/4?D .:9>?=,49?>
49 ?30 )94?0/ '?,?0> 70/ ?: , -@47/@; :1 /0-? ?3,? >008> ?: 3,A0 .:9?=4-@?0/ ?: ?30
B0,690>> :1 .:9>@8;?4:9 /@=492 ,9/ ,1?0= ?30 =0.0>>4:9 !:=0 =0.09?7D -:==:B
492 8423? 3,A0 ,7>: ;7,D0/ , =:70 49 8,.=:0.:9:84. /0A07:;809?> 49 ?30 "0?30=7,9/>
:= $:=?@2,7 :9>@8;?4:9 2=:B?3 /@=492 ?30 7,>? 0C;,9>4:9,=D ;3,>0 B,> >@;;:=?0/
-D , >?=:92 2=:B?3 :1 -:==:B492 49 ?30>0 ?B: .:@9?=40> 0>;0.4,77D 49 ?30 "0?30=7,9/>
?3=:@23 ?30 0C?09>4A0 @>0 :1 8:=?2,20 0<@4?D B4?3/=,B,7 :B0A0= ?30 3423 70A07 ?3,?
/0-? 3,> =0,.30/ 8423? ,7>: 3,A0 ;7,D0/ , =:70 49 ?30 ;=:?=,.?0/ 0.:9:84. >7:B/:B9
:1 ?30>0 ?B: 0.:9:840> >49.0 (3@> 3:@>03:7/ -:==:B492 .:@7/ 3,A0 48;:=?,9?
8,.=:0.:9:84. 48;74.,?4:9> -D /07,D492 ,9/ 7484?492 ?30 >.:;0 :1 0C;,9>4:9,=D ;3,>0>
:= /00;09492 =0.0>>4:9>
(30>0 ;:?09?4,7 8,.=:0.:9:84. .:9>0<@09.0> :1 -:==:B492 3,A0 =0.09?7D ,?
?=,.?0/ [email protected] ,??09?4:9 49 ?30 .,>0 :1 ';,94>3 3:@>03:7/> (30 49/0-?0/90>> :1 ';,94>3
3:@>03:7/> 3,> 8:=0 ?3,9 /:@-70/ 49 =0.09? D0,=> +3470 49 ?30 :A0=,77 ,8:@9?
:B0/ B,> ,=:@9/ ;0= .09? :1 ,99@,7 49.:80 -D ?30 09/ :1 4? >?::/ ,? :A0=
;0= .09? (34> 70A07 4> >7423?7D ,-:A0 ?30 ,A0=,20 49 ?30 0@=: ,=0, -@? -07:B ?30
49/0-?0/90>> :1 1:= 49>?,9.0 =4?4>3 ,9/ )' 1,84740> >00 (,-70 (30 =4>0 49 3:@>03:7/ /0-? 49 ';,49 49 =0.09? D0,=> 4> @>@,77D =02,=/0/ ,> , ;=:.0>>
:1 , >?=@.?@=,7 9,?@=0 (30 74-0=,74>,?4:9 :1 ?30 ';,94>3 F9,9.4,7 >D>?08 ?30 48;=:A0
809? 49 49.:80 0C;0.?,?4:9> ?30 /D9,84>8 :1 ?30 7,-:@= 8,=60? ,9/ ;,=?4.@7,=7D ?30
2=0,?0= 8,.=:0.:9:84. >?,-474?D ,9/ 7:B0= F9,9.492 .:>?> /0=4A0/ 1=:8 ;,=?4.4;,?4:9
49 ?30 @=:;0,9 !:90?,=D )94:9 7,=207D 0C;7,49 ?30 49.=0,>492 49/0-?0/90>> :1 ?34>
>0.?:= >00 1:= 0C,8;70 /07 &N: 1:= 8:=0 /0?,47> :B0A0= ?30 .@==09? 70A07 :1
70A0=,20 3,> ;=:-,-7D 49.=0,>0/ ?30 0C;:>@=0 :1 ?30 >0.?:= ?: >3:.6> ?: A,=4,-70> ?3,?
,K0.? 4?> ,-474?D ?: =0;,D /0-?
(34> ;,;0= ,48> ,? 477@>?=,?492 ?30 48;,.? ?3,? ,9 0C.0>>4A0 70A07 :1 49/0-?0/90>>
.,9 3,A0 :9 3:@>03:7/ .:9>@8;?4:9 @>492 ';,94>3 ,22=02,?0 /,?, 9 ;,=?4.@7,= B0
0>?48,?0 , *0.?:= ==:= :==0.?4:9 !:/07 *! B30=0 .:9>@8;?4:9 ,9/ -:==:B492
,=0 8:/0770/ 5:49?7D ,9/ ?0>? B30?30= .:9>@8;?4:9 =0,.?> B309 3:@>03:7/ -:==:B492
/0;,=?> 1=:8 4?> 7:92=@9 /0?0=849,9?> $=0A4:@> 08;4=4.,7 0A4/09.0 :1 -:==:B492 /0?0=
849,9?> 49 ';,49 3,> @>@,77D 1:.@>0/ :9 , >492700<@,?4:9 ,;;=:,.3 B30=0 ?34> ?D;0 :1
..:=/492 ?: 0 "0/0=7,9/>.30 ,96 0>?48,?4:9> ?30 48;,.? :1 8:=?2,20 0<@4?D B4?3/=,B,7 :9
0.:9:84. 2=:B?3 B,> 49 -:?3 ,9/ ,9/ 4? 8,/0 , 902,?4A0 .:9?=4-@?4:9 :1 49 >00 1:= 0C,8;70 0 "0/0=7,9/>.30 ,96 BANCO DE ESPAÑA
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DOCUMENTO DE TRABAJO N.º 0421
0A4/09.0 .,99:? -0 ?0>?0/ >00 1:= 49>?,9.0 !,9=4<@0 ,9/ 'L0E /07 &N: := "40?: #@= ,;;=:,.3 4> ?: >:80 0C?09? 49 7490 B4?3 ?3,? :1 3=D>?,7 ,9/
!4E09 B3: 8:/07 >48@7?,90:@>7D .:9>@8;?4:9 @9>0.@=0/ /0-? ,9/ 8:90D 1:=
=4?4>3 3:@>03:7/> @? ,> B477 -0 >009 7,?0= B0 :-?,49 =,?30= /4K0=09? .:9.7@>4:9>
(30 ;,;0= 4> :=2,94>0/ ,> 1:77:B> '0.?4:9 =0A40B> >:80 08;4=4.,7 0A4/09.0
=02,=/492 ?30 =07,?4:9>34; -0?B009 .=0/4? ,9/ .:9>@8;?4:9 '0.?4:9 /0>.=4-0> ?30
0.:9:80?=4. 80?3:/:7:2D '0.?4:9 >3:B> ?30 8,49 0>?48,?4:9 =0>@7?> 9 '0.?4:9 ,9 ,7?0=9,?4A0 0>;0.4F.,?4:9 4> 0>?48,?0/ ,> , =:-@>?90>> 0C0=.4>0 49,77D '0.?4:9 .:9.7@/0>
#$ ! !!"
> 4? 3,> -009 0C;7,490/ 49 ?30 49?=:/@.?4:9 .=0/4? 8,=60? /0A07:;809?> .,9 -0 48;:=
?,9? 49 0C;7,49492 3:@>03:7/ .:9>@8;?4:9 9 ;,=?4.@7,= 2=0,?0= .=0/4? ,A,47,-474?D .,9
70,/ ?: ,9 49.=0,>0 49 0C?0=9,7 =0>:@=.0> ,9/ 309.0 49 .:9>@8;?4:9 >49.0 0C;09/4?@=0
/0.4>4:9> ,=0 9:? ,7B,D> ?,609 @9/0= ?30 ,>>@8;?4:9> :1 ?30 ;0=8,909? 49.:80 ?30
:=D ? ?30 >,80 ?480 0C.0>>4A0 49/0-?0/90>> .,9 70,/ ?: , 34230= /0-?>0=A4.0 -@=/09
B4?3 , ;:>>4-70 902,?4A0 48;,.? :9 .:9>@8;?4:9 :B0A0= ?30=0 4> 9:? [email protected] 08;4=4
.,7 0A4/09.0 :9 ?30 =070A,9.0 :1 .=0/4? =07,?0/ A,=4,-70> 49 0C;7,49492 .:9>@8;?4:9 ,9
0>;0.4,77D /4J.@7? ?,>6 B4?3 ,22=02,?0 /,?,
':80 ;,;0=> >?@/D ?30 0K0.? :1 .=0/4? 8,=60? .:9/4?4:9> :9 .:9>@8;?4:9 49.7@/
492 , ;=:CD A,=4,-70 :1 ?30 0C?0=9,7 F9,9.0 ;=084@8 A,=4,-70 $ 49 , .:9>@8;?4:9
1@9.?4:9 := 0C,8;70 /0 :9/? ,9,7D>0/ ?30 48;,.? :1 ?30 B0/20 -0?B009 ?30
8:=?2,20 ,9/ >,A492> /0;:>4? 49?0=0>? =,?0 :9 ?:?,7 ;=4A,?0 .:9>@8;?4:9 ,9/ 1:@9/ 0A
4/09.0 :1 , >4294F.,9? 0K0.? 49 0=8,9D ?,7D ,9/ ?30 "0?30=7,9/> -@? 9:? 49 =,9.0
?30 )94?0/ 492/:8 := 0724@8 9 ?30 >,80 7490 492 1:@9/ ?3,? ?30 B0/20
-0?B009 -:==:B492 ,9/ 709/492 49?0=0>? =,?0> B,> >?,?4>?4.,77D >4294F.,9? 49 =4?4>3 .:9
>@8;?4:9
#?30= 08;4=4.,7 0A4/09.0 3,> 1:.@>0/ :9 .=0/4? ,22=02,?0> := 0C,8;70 9?E:@7,?:>
1:@9/ ?3,? ?30 /0-?49.:80 =,?4: .,9 48;=:A0 ,22=02,?0 .:9>@8;?4:9 1:=0.,>?>
1:= ?30 )94?0/ '?,?0> 9 ;,=?4.@7,= 30 1:@9/ ,9 @9/0=;=0/4.?4:9 :1 .:9>@8;?4:9 2=:B?3
,1?0= ;0=4:/> :1 =4>492 .:9>@80= /0-? ?: 49.:80 =,?4: 9 , >4847,= A049 ,..30??, ,9/
0=7,.3 =0;:=?0/ , >4294F.,9? 48;,.? :1 .=0/4? ,22=02,?0> :9 .:9>@8;?4:9 49 ?30
)94?0/ '?,?0> ,9,/, )94?0/ 492/:8 ,;,9 ,9/ =,9.0 ';0.4F.,77D ?30 0C;0.?0/
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DOCUMENTO DE TRABAJO N.º 0421
2=:B?3 :1 49.:80 ,9/ 8:=?2,20 ,9/ .:9>@80= .=0/4? B,> .:==07,?0/ B4?3 .:9>@8;?4:9
:1 9:9/@=,-70 2::/> ,9/ >0=A4.0> 49 ?30>0 .:@9?=40> (30D ,7>: 1:@9/ ?3,? ?30 0C.0>>
>09>4?4A4?D :1 .:9>@8;?4:9 ?: 49.:80 4> >8,77 ,9/ :1?09 49>4294F.,9? B309 .=0/4? 4>
49.7@/0/ "0A0=?3070>> 49 ?304= 1=,80B:=6 4? 4> /4J.@7? ?: /4>.0=9 B30?30= ?30 ;:>4?4A0
.:==07,?4:9 -0?B009 .:9>@8;?4:9 ,9/ ,22=02,?0 .=0/4? >?08> 1=:8 -:==:B492 :1 @9.:9
>?=,490/ 3:@>03:7/> 49 ,/A,9.0 :1 0C;0.?0/ 49.:80 49.=0,>0> =,?30= ?3,9 1=:8 >341?>
49 .=0/4? ,A,47,-474?D 9:?30= >?@/D ?3,? =07,?0> ?30 0C.0>> >09>4?4A4?D :1 .:9>@8;?4:9
?: 49.:80 B4?3 709/492 ,A,47,-474?D 4> ?3,? :1 ,;0774 ,9/ $,2,9: )>492 /,?,
1=:8 =00.0 ,;,9 ?,7D ';,49 'B0/09 ?30 )94?0/ 492/:8 ,9/ ?30 )94?0/ '?,?0>
?30D >3:B0/ ?3,? ?30 0C.0>> :1 >09>4?4A4?D 4> 34230= 49 .:@9?=40> B4?3 7:B0= -:==:B492
B30=0 .,;4?,7 8,=60? 48;0=10.?4:9> 8423? -0 8:=0 48;:=?,9? 1 ?34> 4> ?30 .,>0 .=0/4?
.:9>?=,49?> 8423? ,K0.? .:9>@8;?4:9 ?3=:@23 .3,920> 49 ?30 .=0/4? ,A,47,-474?D 7>:
@/A492>:9 ,9,7D>0/ ?30 48;74.,?4:9> 1:= ?30 0C.0>> >09>4?4A4?D :1 .3,920> 49 ?30
1=,.?4:9 :1 49.:80 ?3,? .,9 -0 -:==:B0/ -D 3:@>03:7/> 4K0=09?7D 1=:8 :?30= >?@/40>
>30 .:9>4/0=0/ , =,9/:8 49>?0,/ :1 FC0/ A,=4,?4:9 49 ?30 .=0/4? .047492> , 60D 10,?@=0
49 :=/0= ?: 0C;7,49 30= F9/492 .:9>@8;?4:9 2=:B?3 4> .:==07,?0/ 9:? 5@>? B4?3 ;=0
/4.?,-70 49.:80 2=:B?3 -@? ,7>: B4?3 ;=0/4.?,-70 .:9>@80= .=0/4? 2=:B?3 49 ?30 )94?0/
'?,?0>
=,D?:9 ,9/ &041>.3904/0= 1:77:B0/ , <@4?0 /4K0=09? ,;;=:,.3 (30D
,9,7D>0/ ?30 491:=8,?4:9,7 .:9?09? :1 F9,9.4,7 49/4.,?:=> 1:= @90C;7,490/ 8:A0809?>
49 =0,7 ,.?4A4?D 1:= ?30 )94?0/ '?,?0> ,> 80,>@=0/ -D ?30 =0>4/@,7> :1 .:9>@8;?4:9 ,9/
49A0>?809? 0<@,?4:9> (30D 1:@9/ ?3,? ?30>0 49/4.,?:=> .:9?,49 74??70 := 9: ,//4?4:9,7
491:=8,?4:9 1:= ;=0/4.?492 ?30 .:9>@8;?4:9 :1 9:9/@=,-70> B3470 >:80 :1 ?308 ?@=90/
:@? ?: -0 >?,?4>?4.,77D >4294F.,9? 1:= 3:@>03:7/ 49A0>?809? /0.4>4:9> /@=,-70 .:9>@8;
?4:9 ,9/ =0>4/09?4,7 49A0>?809?
49,77D 3=D>?,7 ,9/ !4E09 @>0/ 8:90D ,9/ @9>0.@=0/ -:==:B492 ?: 0C
;7,49 ?30 .:9>@8;?4:9 :1 =4?4>3 3:@>03:7/> (30D 0>?48,?0 , .:9/4?4:9,7 *! 1:=
.:9>@80= 0C;09/4?@=0 8:90D -,7,9.0> ,9/ @9>0.@=0/ 709/492 B4?3 0C:209:@> 0C;7,9,
?:=D A,=4,-70> >@.3 ,> 7,-:@= 49.:80 ?:?,7 90? B0,7?3 49?0=0>? =,?0 >;=0,/> .:9>@80=
.:9F/09.0 ,9/ @908;7:D809? (30D ,>>@80/ ?3=00 7:92=@9 0<@474-=4@8 =07,?4:9>34;>
B30=0 .:9>@8;?4:9 4> /0?0=8490/ -D ?30 70A07 :1 .=0/4? ,9/ 8:90D (30 =0>@7?> >3:B0/
?3,? 49 ?30 7:92 =@9 .:9>@8;?4:9 4> 902,?4A07D =07,?0/ ?: @9>0.@=0/ /0-? ,9/ 49 ?30 >3:=?
=@9 /0A4,?4:9> :1 .:9>@8;?4:9 1=:8 4?> 7:92=@9 0<@474-=4@8 ,K0.? 709/492 ;:>4?4A07D
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DOCUMENTO DE TRABAJO N.º 0421
! !&
> 809?4:90/ 49 ?30 49?=:/@.?4:9 B0 5:49?7D 8:/07 .:9>@8;?4:9 ,9/ -:==:B492 @>492
, *! ,;;=:,.3 (30 0>?48,?4:9 4> .,==40/ :@? 49 ?B: >?0;> ,> 0C;7,490/ 1:= 0C
,8;70 49 ::=946 ,9/ 09/=D 9 ?30 F=>? >?0; ?30 7:92?0=8 .:49?02=,?492
=07,?4:9>34;> ,=0 0>?48,?0/ '0.:9/7D , =0/@.0/ 1:=8 8:/07 ?3,? @>0> ,> 4/09?4?40>
?30>0 7:92=@9 =07,?4:9>34;> 4> 0>?48,?0/
0? >@;;:>0 ?30 1:77:B492 :=/0= @9.:9/4?4:9,7 *0.?:= @?:&02=0>>4:9 @*&
B30=0 4> , /4809>4:9,7 A0.?:= :1 >0,>:9,77D ,/5@>?0/ A,=4,-70> B4?3 !
=,92492 1=:8 ?: 4> , A0.?:= :1 .:9>?,9?> ,9/ 4> , /4809>4:9,7 =,9/:8 A0.?:=
:1 >0=4,77D @9.:==07,?0/ 0==:=> B4?3 A,=4,9.0.:A,=4,9.0 8,?=4C 1 ?30=0 ,=0
.:49?02=,?4:9 =07,?4:9>34;> ?30 *& 8:/07 .,9 ,7?0=9,?4A07D -0
B=4??09 ,> , *!
B4?3 41 +30=0 4> ?30 F=>?/4K0=09.0
:;0=,?:= 4> ,9 4/09?4?D 8,?=4C ,=0 ?30 >3:=?=@9 /D9,84. 8,?=4.0>
,9/ ,9/ ,=0 ,9/ 1@77 =,96 8,?=4.0> :1 7:,/492 1,.?:=> ,9/ 7:92=@9
.:0J.409?> =0>;0.?4A07D B4?3
-0492 ?30 .:49?02=,?4:9 =,96 (30 A0.?:= :1 .:9>?,9?>
4> 701? @9=0>?=4.?0/ ?: ,77:B 1:= /0?0=8494>?4. ?480 ?=09/> 49 ?30 70A07> :1 ?30 /,?,
(30 9@8-0= :1 .:49?02=,?4:9 =07,?4:9>34;> 4> /0?0=8490/ -D ?30 :3,9>09 8,C
48@8 7460743::/-,>0/ 80?3:/ >00 1:= 0C,8;70 :3,9>09 (30 9@77 3D;:?30>4>
4> ?3,? ?30 .:49?02=,?4:9 =,96 4> ,? 8:>?
9/ ?B: ,7?0=9,?4A0 8,C48@8 ?0>? >?,?4>?4.> .,9 -0 @>0/ 9 ?30 # ?0>? >?,?4>?4. ?30
77 .:8;@?,?4:9> 49 ?34> ;,;0= ,=0 ;0=1:=80/ @>492 $.4A0 (3,? 4> ?: >,D ?30=0 ,=0 04209A,7@0> :1 ?30 ><@,=0 8,?=4C ?3,? ,=0 9:9E0=: 1 4> 1@77 =,96
?309 A,=4,-70> ,=0 >?,?4:9,=D ,9/ 41 ?30 =,96 4> E0=: ?309 4> >?,?4:9,=D := ,77
7490,= .:8-49,?4:9> :1 ,=0 BANCO DE ESPAÑA
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DOCUMENTO DE TRABAJO N.º 0421
,7?0=9,?4A0 3D;:?30>4> 4> ,? 8:>?
.:49?02=,?492 =07,?4:9> (30 ,7?0=9,?4A0 3D;:?3
0>4> 49 ?30 ?=,.0 ?0>? >?,?4>?4. 4> 1@77 =,96 .:49?02=,?492
=07,?4:9>
#9.0 ?30 9@8-0= :1 .:49?02=,?492 =07,?4:9>34;> 4> /0?0=8490/ 4/09?4F.,?4:9 =0
>?=4.?4:9> ,=0 900/0/ ?: 09>@=0 @94<@090>> :1 A0.?:=> ,9/ (30>0 =0>?=4.?4:9> >3:@7/
-0 /0=4A0/ 1=:8 0.:9:84. ?30:=D /09?4F.,?4:9 4> ,.340A0/ B309 ?30 9@8-0= :1 =0>?=4.
?4:9> < 4> 7,=20= ?3,9 := 0<@,7 ?:
(3@> 49 ?30 .:9?0C? :1 , >49270 .:49?02=,?4:9
=07,?4:9>34; ?30 >?,9/,=/4>,?4:9 .:9/4?4:9 4> 09:@23
1 >:80 A,=4,-70> .,9 -0 .:9>4/0=0/ ,> 0C:209:@> ?30 /4809>4:9 :1 ?30 >D>?08
.,9 -0 =0/@.0/ ? 4> 48;:=?,9? ?: 9:?0 ?3,? 0C:20904?D 4> , =07,?4A0 .:9.0;? ?3,? 8@>?
-0 /0F90/ 49 =07,?4:9 ?: ;,=,80?0=> :1 49?0=0>? >00 1:= 0C,8;70 =4.>>:9 0? ,7 9A,74/ 0C:20904?D ,>>@8;?4:9> 70,/ ?: 490J.409? := 49.:9>4>?09? 0>?48,?0>
1 ?30 A0.?:= 4> ;,=?4?4:90/ 49?: 09/:209:@> A,=4,-70> $ ,9/ .:9/4
?4:9492 A,=4,-70> % $ % 8:/07 4> 0<@4A,709? ?: ?30 .:9/4?4:9,7 8:/07 1:=
$ ,9/ ?30 8,=249,7 8:/07 1:= % $ % B30=0 ,9/ % 1 A,=4,-70> 49 % ,=0 B0,67D 0C:209:@> 1:= ?30 7:92=@9 ;,=,80?0=> ?309 ?30
/4809>4:9 :1 ?30 >D>?08 .,9 -0 =0/@.0/ ?: ?30 .:9/4?4:9,7 8:/07 B4?3 9: 7:>> :1 491:=8,
?4:9 1:= ?30 0>?48,?4:9 :1 (30 90.0>>,=D ,9/ >@J.409? .:9/4?4:9 1:= B0,6 0C:20904?D
:1 % 4> ?3,? ?30 7:,/492 1,.?:=> :1 ?30 7:92=@9 =07,?4:9>34; ,=0 E0=: 49 ?30 8,=
249,7 8:/07 >00 :3,9>09 )=-,49 := :>B456 := 0C,8;70
49 ?30 .:9?0C? :1 , >49270.:49?02=,?4:9 =07,?4:9>34; ?30 *! .:@7/ -0 =0/@.0/ ?: ,
>492700<@,?4:9 ! 1:= 0>?48,?492 ?30 7:92=@9 .:0J.409?> :97D 41 B0,6 0C:20904?D 4>
;=0A4:@>7D ?0>?0/
(30 8:/07 4> ?309 0>?48,?0/ 49.7@/492 7:92=@9 =07,?4:9>34;> ,> 4/09?4?40> 4=>?
/4K0=09.0 :1 A,=4,-70> ,=0 =02=0>>0/ :9 ?304= 7,2> ,9/ ?30 .:49?02=,?492 =07,?4:9>34;>
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DOCUMENTO DE TRABAJO N.º 0421
(34> >D>?08 :1 0<@,?4:9> 4> , =0/@.0/ 1:=8 8:/07 )>492 ,//4?4:9,7 4/09?41D492 =0>?=4.
?4:9> ,9 >?=@.?@=,7 8:/07 '! .:@7/ ,7>: -0 0>?48,?0/ -@? ?34> 4> :@? :1 ?30 >.:;0
:1 ?34> ;,;0=
'! !! "!
9 :=/0= ?: 5:49?7D 8:/07 .:9>@8;?4:9 ,9/ .=0/4? B0 .:9>4/0= ?30 1:77:B492 A,=4,-70>
=0,7 3:@>03:7/ -:==:B492 =0,7 3:@>03:7/ .:9>@8;?4:9 =0,7 3:@>03:7/ 3:@>492
B0,7?3 " =0,7 90? F9,9.4,7 B0,7?3 " =0,7 7,-:@= 49.:80 $ ,9/ 9:849,7
49?0=0>? =,?0>
(30 ;=4A,?0 .:9>@8;?4:9 /0G,?:= 4> @>0/ ?: ?=,9>1:=8 A,=4,-70>
49?: =0,7 ?0=8> (30 /,?, ,=0 <@,=?0=7D ,9/ .:A0= ?30 ;0=4:/ % ?: % 77
A,=4,-70> ,=0 >0,>:9,77D ,/5@>?0/ @>492 ?30 ('+ (=,8:'0,?> ;=:2=,8 ,9/ 0C;=0>>0/
49 7:2 1:=8 0C.0;? 49?0=0>? =,?0> 42@=0> ,9/ >3:B ?30 70A07 2=:B?3 ,9/ F=>?
/4K0=09.0> :1 ?30>0 A,=4,-70>
:@>03:7/ /0-? 4> ,>>@80/ ?: -0 /0?0=8490/ -D .:9>@8;?4:9 B34.3 ;=:C40> ;0=
8,909? 49.:80 -D 3:@>492 B0,7?3 B34.3 =0G0.?> ?30 =:70 :1 3:80 A,7@0 ,> .:77,?0=,7 1:=
8:=?2,20 .=0/4? ,9/ -D ?30 .:>? :1 F9,9.492 > ;=0A4:@>7D 1:=8@7,?0/ 49 !,=?N90E
$,2M> ,9/ !,E, ,9/ "40?: ?30 7,??0= 4> ;=:C40/ -D 9:849,7 49?0=0>? =,?0>
(30 8,49 =0,>:9 1:= @>492 9:849,7 49>?0,/ :1 =0,7 49?0=0>? =,?0> 4> ?3,? ,> 477@>?=,?0/
+0 .:9>4/0= -,96 7:,9> 49.7@/492 >0.@=4?4>,?4:9 ":849,7 A,7@0> ,=0 1=:8 <@,=?0=7D >0=40> :1 ?30
';,94>3 F9,9.4,7 ,..:@9?> B34.3 2: -,.6 ?: % (34> A,=4,-70 4> 0C?09/0/ -,.6B,=/> ?: %
@>492 ,> >@;;70809?,=D 491:=8,?4:9 ?30 2=:B?3 :1 -,96 7:,9> ?: ?30 ;=4A,?0 >0.?:=
+0 @>0 ,22=02,?0 ;=4A,?0 .:9>@8;?4:9 ':@=.0 "
(34> ?480 >0=40> 4> ,A,47,-70 1=:8 % $=0A4:@> A,7@0> ,=0 0>?48,?0/ (30 :=4249,7 ?480 >0=40>
4> ,/5@>?0/ 1:= 1:@= :@?740=> @>492 ('+ (=,8:'0,?> ?3=00 ,//4?4A0 :@?740=> 49 % % ,9/
% =0>;0.?4A07D ,9/ , ?=,9>4?:=D .3,920 >?,=?492 49 %
(34> ?480 >0=40> 4> ,A,47,-70 1=:8 % := ;=0A4:@> <@,=?0=> 4? 3,> -009 0C?09/0/ -,.6B,=/> ":849,7 49?0=0>? =,?0> ,=0 , B0423?0/ ,A0=,20 :1 3:@>492 ,9/ .:9>@8;?4:9 49?0=0>? =,?0> @>492
:@?>?,9/492 3:@>492 ,9/ .:9>@80= -,96 7:,9> ,> B0423?>
":?0 3:B0A0= ?3,? :->0=A0/ 3:@>03:7/ -:==:B492 4> ,7>: ?30 =0>@7? :1 :?30= 1,.?:=> ?3,? 4? 4> /4J.@7?
?: 49.7@/0 49 ?34> 08;4=4.,7 ,9,7D>4> '@;;7D 1,.?:=> ,=0 60D /0?0=849,9?> :1 .=0/4? 8,=60? /0A07:;809?>
(30D 8,D /0;09/ :9 ?30 ,??4?@/0 ?:B,=/> =4>6 :1 F9,9.4,7 09?4?40> B34.3 8,D A,=D :A0= ?30 -@>490>>
.D.70 := B4?3 ?30 /02=00 :1 .:8;0?4?4:9 49 ?30 8,=60? 9 ?34> =0>;0.? ?30 >?=@.?@=,7 .3,920 49 ?30
';,94>3 F9,9.4,7 >D>?08 ,> , =0>@7? :1 4?> ;=:2=0>>4A0 /0A07:;809? ,9/ 74-0=,74>,?4:9 ,9/ ?30 49.=0,>0
49 .:8;0?4?4:9 8423? 3,A0 ;7,D0/ , 9:? 49>4294F.,9? =:70 9 ,//4?4:9 B309 ,22=02,?0 /,?, ,=0 @>0/
/08:2=,;34. >341?> .:@7/ ,7>: -0 48;:=?,9? 41 ?30=0 ,=0 .3,920> 49 ?30 ;=:;:=?4:9 :1 ;:;@7,?4:9 2=:@;>
B4?3 , /4K0=09? ;=:;09>4?D ?: -:==:B
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DOCUMENTO DE TRABAJO N.º 0421
49 ?30 990C .=0/4? >@;;7D .:9/4?4:9> ,=0 ?4;4.,77D =07,?0/ ?: 9:849,7 =,?30= ?3,9 =0,7
49?0=0>? =,?0> 9 ?34> =02,=/ , =0/@.?4:9 49 9:849,7 49?0=0>? =,?0> B4?3 .:9>?,9? =0,7
=,?0> B477 9:=8,77D 49.=0,>0 ?30 >@;;7D :1 .=0/4? ,9/ ?30=01:=0 .:@7/ 3,A0 ,9 48;,.?
:9 .:9>@8;?4:9 (34> ,>;0.? 4> A0=D 48;:=?,9? 1:= ?30 ';,94>3 0C;0=409.0 B30=0 ?30
/4>49G,?4:9,=D ;=:.0>> 3,> ,77:B0/ 3:@>03:7/> ?: 49.=0,>0 ?304= 49/0-?0/90>> .,;,.4?D
-:?3 ?3=:@23 , =0/@.?4:9 49 ?30 49?4?4,7 /0-? -@=/09 ,9/ ?30 7092?309492 :1 =0;,D809?
?0=8> ? 4> ,7>: 48;:=?,9? ?: 9:?0 ?3,? ?34> /4>49G,?4:9,=D ;=:.0>> 0C;0=409.0/ -D ?30
';,94>3 0.:9:8D /@=492 ?30 >,8;70 ;0=4:/ 49?=:/@.0> >0=4:@> /4J.@7?40> 1:= 0>?48,?492
=0,7 49?0=0>? =,?0> 9 ?30 .,>0 :1 .:9>@8;?4:9 B0 ,/:;? , >48;70 >;0.4F.,?4:9 B30=0 ?:?,7 .:9>@8;
?4:9 4> /0?0=8490/ 49 ?30 7:92 =@9 -D .@==09? 7,-:@= 49.:80 3:@>492 B0,7?3 =0,7
90? F9,9.4,7 B0,7?3 ,9/ 3:@>03:7/ -:==:B492 @==09? 7,-:@= 49.:80 =0G0.?> 3@8,9
.,;4?,7 B3470 9:93@8,9 B0,7?3 4> ;=:C40/ -D ?30 >?:.6 :1 =0>4/09?4,7 ;=:;0=?D ,9/ =0,7
90? F9,9.4,7 B0,7?3 > 3:@>492 ,9/ F9,9.4,7 B0,7?3 .,9 -0 09/:209:@>7D /0?0=8490/
?30D ,=0 49.7@/0/ 49 , 7,220/ 1:=8
9 :=/0= ?: /0?0=8490 ?30 :=/0= :1 49?02=,?4:9 ?B: /4K0=09? @94? =::? ?0>?> ,=0
@>0/ @2809?0/ 4.60D@770= ,9/ $34774;>$0==:9 $$ ?0>?> >00 (,-70 9
?30 ?0>? ?30 7,2 7092?3 4> >070.?0/ >@.3 ?3,? ?30 =0>4/@,7> :1 ?30 =02=0>>4:9
/: 9:? >3:B , >4294F.,9? ,@?:.:==07,?4:9 (30 9@77 3D;:?30>4> :1 , @94? =::? 1:= ?30
A,=4,-70> 49 70A07> .,99:? 2090=,77D -0 =050.?0/ := ?30 F=>? /4K0=09.0> ?30 9@77 3D;:?3
9 ,9D .,>0 B0 3,A0 ,7>: 0>?48,?0/ ,7?0=9,?4A0 >;0.4F.,?4:9> ?3,? @>0 /4K0=09? /0F94?4:9> :1 =0,7
49>?0,/ :1 9:849,7 49?0=0>? =,?0> ,9/ ?30 08;4=4.,7 =0>@7?> B30=0 9:? ,..0;?,-70 :49?02=,?4:9 ?0>?>
>3:B0/ ,9 0C.0>>4A0 9@8-0= :1 .:49?02=,?4:9 =07,?4:9>34;> ,9/ 41 ?B: .:49?02=,?492 =07,?4:9>34;> B0=0
48;:>0/ 49 >;4?0 :1 ?30>0 ?0>? =0>@7?> ?30 .:0J.409?> ?3,? ,=0 1:@9/ 1:= >:80 A,=4,-70> B0=0 /4J.@7? ?:
49?0=;=0? ;=:-,-7D /@0 ?: ?34> /4J.@7?D 49 0>?48,?492 =0,7 49?0=0>? =,?0> 08;4=4.,77D !:=0:A0= ,> B477
-0 >009 49 '0.?4:9 ?30 8,49 F9/492> :1 ?34> ;,;0= /: 9:? /0;09/ :9 ?30 7:92=@9 >;0.4F.4,?4:9 ?3,?
3,> -009 @>0/ ?: 8:/07 ?30 .:9>@8;?4:9
$0=8,909? 9.:80 D;:?30>4> ,;;740> ?: 9:9/@=,-70 .:9>@8;?4:9 ,9/ >0=A4.0> ;7@> ?30 G:B :1
>0=A4.0> 1=:8 ?30 >?:.6 :1 /@=,-70 2::/> :B0A0= 4? 4> /4J.@7? ?: ,;;=:C48,?0 ?34> ,22=02,?0 ,9/ 8,9D
08;4=4.,7 >?@/40> @>0 ?:?,7 ;=4A,?0 .:9>@8;?4:9 ':80 ,@?3:=> ,>>0=? ?3,? 9:9/@=,-70 .:9>@8;?4:9 4>
?30:=0?4.,77D 8:=0 ,;;=:;=4,?0 41 ?30 >3,=0 :1 /@=,-70 2::/> 49 ?:?,7 .:9>@8;?4:9 3,> -009 =07,?4A07D
>?,-70 49 =0,7 ?0=8> ? 4> ,7>: >:80?480> ,=2@0/ ?3,? ?30 0>?48,?4:9 :1 9:9/@=,-70 .:9>@8;?4:9
=0<@4=0> ?30 =07,?4A0 ;=4.0 :1 9:9/@=,-70> B4?3 =0>;0.? ?: /@=,-70> ,> ,9 ,//4?4:9,7 A,=4,-70 B3470 ?30
?:?,7 .:9>@80= 0C;09/4?@=0 /0G,?:= 4> 08;7:D0/ >00 1:= 0C,8;70 0=9L9/0E:=@20/: 0? ,7 (30 0A4/09.0 1:= ';,49 >@220>?> ?3,? ?30 =07,?4A0 ;=4.0> :1 /@=,-70 ,9/ 9:9/@=,-70 .:9>@8;?4:9 ,=0 9:?
>?,?4>?4.,77D >4294F.,9? 49 .:9>@8;?4:9 1@9.?4:9> >00 >?=,/, ,9/ @4>L9 +0 /: 9:? 49.7@/0
?34> A,=4,-70 >: ,> ?: 600; ?30 0>?48,?4:9 ;=:-708 8:=0 ?=,.?,-70
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DOCUMENTO DE TRABAJO N.º 0421
0>4> 4> 0,>47D =050.?0/ 49 ?30 .,>0 :1 .:9>@8;?4:9 9:849,7 49?0=0>? =,?0> 90? F9,9.4,7
B0,7?3 ,9/ 7,-:@= 49.:80 := 3:@>03:7/ -:==:B492 ,9/ 3:@>492 B0,7?3 , 34230= :=/0=
:1 49?02=,?4:9 .,99:? -0 =@70/ :@? :B0A0= ,> 4? 4> .:9.0;?@,77D /4J.@7? ?: 49?0=;=0?
9:9>?,?4:9,=4?D :1 <@,=?0=7D 2=:B?3 =,?0> ,77 A,=4,-70> ,=0 ?=0,?0/ ,> 49?02=,?0/ :1 :=/0=
:90
4A09 ?3,? ,>>@8;?4:9 0<@,?4:9 4> 0>?48,?0/ 49 :=/0= ?: /0?0=8490 ?30 9@8
-0= :1 .:49?02=,?492 =07,?4:9>34;> 9 ;,=?4.@7,= B0 0>?48,?0 , 1:@=:=/0= @*& >;0.4
F0/ 49 70A07> B4?3 ?30 .:9>?,9? @9=0>?=4.?0/ ..:=/492 ?: ?30 ! ?0>? >?,?4>?4. B4?3
>8,77 >,8;70 .:==0.?4:9 B0 .,9 ,>>@80 ?B: .:49?02=,?492 =07,?4:9>34;> >00 (,-70 7>: ?30 .:49?02=,?4:9 ?0>?> .:==0>;:9/492 ?: , .:9/4?4:9,7 8:/07 49 B34.3 3:@>492
,9/ F9,9.4,7 B0,7?3 3,A0 -009 .:9>4/0=0/ ,> B0,67D 0C:209:@> >00 7:B0= ;,907 :1
?30 ?,-70 ;:49? ?: ?30 0C4>?09.0 :1 ?B: .:49?02=,?492 =07,?4:9>34;> > .,9 -0 >009
?30 0>?48,?0/ 8:/07 4> .:92=@09? B4?3 ?30 /,?, 49 ?30 >09>0 ?3,? B0 /: 9:? F9/ >0=4,7
.:==07,?4:9 ,9/ 9:99:=8,74?D 49 ?30 =0>4/@,7> (30 4/09?4F.,?4:9 :1 ?30 /4K0=09? .:49?02=,?492 =07,?4:9> 4> 8,/0 48;:>492 =0
>?=4.?4:9> :9 ?30 8,?=4C +0 48;:>0 ?30 9:=8,74>,?4:9 =0>?=4.?4:9> 1:= .:9>@8;?4:9
,9/ -:==:B492 ,9/ E0=: .:0J.409?> 1:= 49?0=0>? =,?0> 49 ?30 .:9>@8;?4:9 0<@,?4:9 ,9/
1:= 7,-:@= 49.:80 ,9/ F9,9.4,7 B0,7?3 49 ?30 -:==:B492 0<@,?4:9 49 ,..:=/,9.0 B4?3
?30 =0,>:9492 24A09 ,-:A0 > >3:B9 49 (,-70 49?0=0>? =,?0> /: 9:? ;,=?4.4;,?0 49 ?30
,/5@>?809? ?: ?30 7:92=@9 0<@474-=4, 09.0 B0 .,9 ;=:.00/ 0>?48,?492 , .:9/4?4:9,7
>D>?08 B4?3 , 7:B0= 9@8-0= :1 ;,=,80?0=> 49 B34.3 ?34> A,=4,-70 4> ,7>: .:9>4/0=0/
B0,67D 0C:209:@> ?:20?30= B4?3 3:@>492 ,9/ F9,9.4,7 B0,7?3 49,7 0>?48,?4:9 4> ;=0
>09?0/ 49 (,-70 B30=0 9:9>4294F.,9? 7:,/492 1,.?:=> 3,A0 ,7>: -009 =0>?=4.?0/ ?:
E0=: C:20904?D ?0>?> ,=0 ;=0>09?0/ 49 (,-70 ,9/ >3:B ?3,? ?34> 3D;:?30>4> .,9 -0
,..0;?0/ ,? .:9A09?4:9,7 >4294F.,9.0 70A07>
> .,9 -0 >009 ?30 .:0J.409?> 3,A0 ?30 0C;0.?0/ >429> 49 -:?3 ?30 .:9>@8;?4:9
,9/ -:==:B492 0<@,?4:9> 9 ?30 1:=80= .:9>@8;?4:9 4> ;:>4?4A07D =07,?0/ ?: 49.:80 ,9/
=4?4.,7 A,7@0> ,=0 ;=:A4/0/ 49 #>?0=B,7/ 09@8 (30 49.7@>4:9 :1 ?30>0 ?B: A,=4,-70> ,> B0,67D 0C:209:@> 4> -,>0/ :9 ?30 1,.? ?3,? ?30D ,=0 49.7@/0/
49 7,220/ 1:=8 49 ?30 >;0.4F.,?4:9 (34> ,>>@8;?4:9 B477 -0 ?0>?0/ 7,?0=
(34> >D>?08 49.7@/0> 1:@= 7,2> 1:= 3:@>492 B0,7?3 ,9/ ?3=00 7,2> 1:= 90? F9,9.4,7 B0,7?3
(30>0 3,A0 -009 ?30 .=4?0=4, 1:= >070.?492 ?30 7,2 7092?3 49 ?30 *& 8:/07 7?0=9,?4A0 >070.?4:9
.=4?0=4, := .:@7/ ,7>: -0 08;7:D0/ (30 7,2 7092?3 >070.?4:9 4> 48;:=?,9? >49.0 4? .,9 ,K0.?
?30 /4809>4:9 :1 ?30 .:49?02=,?492 >;,.0 :A0=F??492 48;740> , 7:>> :1 ;:B0= B3470 @9/0=F??492 70,/> ?:
;:?09?4,7 >;@=4:@> .:49?02=,?4:9 >00 1:= 0C,8;70 :>B456 ,9/ =,9>0> 9D 0K0.? :1 49?0=0>? =,?0> :9 .:9>@8;?4:9 4> ?309 .,;?@=0/ ?3=:@23 4?> 48;,.? :9 -:==:B492
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DOCUMENTO DE TRABAJO N.º 0421
,7>: ?: 709/492 B4?3 , .:0J.409? :1 ,9/ =0>;0.?4A07D ,9/ ,7>: ?: -:?3 ?D;0>
:1 B0,7?3 9 ?30 -:==:B492 0<@,?4:9 -:==:B492 4> ;:>4?4A07D =07,?0/ ?: .:9>@8;?4:9
,9/ 3:@>492 B0,7?3 ,9/ 902,?4A07D =07,?0/ ?: 9:849,7 49?0=0>? =,?0> (,-70 >3:B>
?30 =0>@7? :1 >@->?4?@?492 ,9/ 0C;=0>>492 ?30 .:9>@8;?4:9 ,9/ -:==:B492 ,> , 1@9.?4:9
:1 49.:80 3:@>492 B0,7?3 90? F9,9.4,7 B0,7?3 ,9/ 49?0=0>? =,?0> > .,9 -0 >009 ?30
=07,?4A0 48;:=?,9.0 :1 .@==09? 49.:80 49 ?30 .:9>@8;?4:9 0<@,?4:9> >008> ?: -0 34230=
?3,9 49 ?30 .=0/4? 0<@,?4:9 ,9/ ?30 :;;:>4?0 4> 1:@9/ 1:= 3:@>492 B0,7?3 ,9/ 49?0=0>?
=,?0>
460B4>0 49 ?30 7,??0= 0<@,?4:9 ?30 =:70 :1 3:@>492 B0,73 4> 7,=20= ?3,9 ?3,? :1
F9,9.4,7 B0,7?3 >:80?3492 ?3,? =0G0.?> ?30 1,.? ?3,? F9,9.4,7 ,>>0?> .,99:? 2090=,77D
-0 @>0/ -D 49/4A4/@,7> ,> .:77,?0=,7 1:= -:==:B492 9 ?30 .:9>@8;?4:9 0<@,?4:9 ?30
=0>;:9>0 :1 ?34> A,=4,-70 ?: -:?3 ?D;0> :1 B0,7?3 4> 9:? >?,?4>?4.,77D /4K0=09?
(30 A,7@0 :1 ?30 0>?48,?0/ 7:,/492 1,.?:=> 49 (,-70 /0?0=8490 ?30 /D9,84.>
:1 ,/5@>?809? ?:B,=/> ?30 7:92=@9 0<@474-=4@8 9 ;,=?4.@7,= B309 -:==:B492 /0;,=?>
1=:8 4?> 7:92?0=8 ?=09/ ?30 ,/5@>?809? ?:B,=/> 0<@474-=4@8 48;740> 9:? :97D , .3,920
49 -:==:B492 -@? ,7>: , .3,920 49 .:9>@8;?4:9 !:=0 >;0.4F.,77D B309 709/492 4> ,-:A0
-07:B 4?> 7:92=@9 70A07 =0>?:=492 0<@474-=4, 4> ,.340A0/ A4, =0/@.?4:9> 49.=0,>0> 49
709/492 -@? 4> ,7>: ,..:8;,940/ -D , .:9?=,.?4:9 0C;,9>4:9 49 ?30 70A07 :1 .:9>@8;
?4:9 B4?3 , =07,?4A07D 7,=20 07,>?4.4?D (30>0 8:A0809?> 48;7D , >7:B >;00/ :1
.:==0.?4:9 ;0= ?0=8 >: ?3,? /4>0<@474-=4@8 .,9 =0>@7? 49 , 7092?3D .:9?=,.?4A0
0K0.? :9 .:9>@8;?4:9 9 ?30 .,>0 :1 .:9>@8;?4:9 ;:>4?4A0 902,?4A0 /0A4,?4:9> :1
.:9>@8;?4:9 1=:8 4?> 7:92=@9 70A07 ,=0 .:==0.?0/ 9:? :97D A4, =0/@.?4:9> 49.=0,>0> 49
?34> A,=4,-70 -@? ,7>: ?3=:@23 49.=0,>0> =0/@.?4:9> 49 1@?@=0 7,-:@= 49.:80 (30=01:=0
B309 .:9>@8;?4:9 /0;,=?> 1=:8 4?> 7:92=@9 70A07 4? >008> ?: -0 ,9 49/4.,?:= :1 .3,920>
49 1@?@=0 49.:80 (30 7,??0= =0>@7? 4> .:9>4>?09? B4?3 ?30 0A4/09.0 >3:B9 49 ',>?=0 ,9/
0=9L9/0E 42@=0 /4>;7,D> ?30 0>?48,?0/ 7:92=@9 =07,?4:9>34;> ,9/ 0==:= .:==0.?4:9 ?0=8>
=0>.,70/ ?: ,A0=,20 E0=: :A0= ?30 >,8;70 ;0=4:/ > .,9 -0 >009 ?30=0 B,> , 7,=20
49.=0,>0 49 -:==:B492 49 ?30 >0.:9/ 3,71 :1 ?30 0423?40> ,9/ ?30 9490?40> ? 4> =07,?0/ 49
?30 F=>? .,>0 B4?3 >@;;7D>4/0 1,.?:=> /0=4A0/ 1=:8 =02@7,?:=D .3,920> 49 ?30 -,96492
>0.?:= > =02,=/> ?30 9490?40> ?34> 48;:=?,9? 49.=0,>0 =0G0.?> , .:9A0=209.0 :1 .=0/4?
+0 F9/ , 7:B ?=,?4: 1:= ?34> A,=4,-70 24A09 ?30 7,=20 >?,9/,=/ /0A4,?4:9 ,>>:.4,?0/ B4?3 ?30
0>?48,?4:9 :1 ?34> .:0J.409? (34> >008> ?: -0 =07,?0/ ?: , 8@7?4.:77490,=4?D ;=:-708 41 ?30 3:@>492
B0,7?3 .:0J.409? 4> =0>?=4.?0/ ?: ?309 ?30 ?=,?4: ?3,? 4> :-?,490/ 1:= .:9>@8;?4:9 49.=0,>0> ?: ,> 0C;7,490/ 49 (,-70 (30 ;A,7@0 1:= ?30 :A0=4/09?41D492 =0>?=4.?4:9> B309 ?34> =0>?=4.?4:9 4> ,//0/ 4> BANCO DE ESPAÑA
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DOCUMENTO DE TRABAJO N.º 0421
?:B,=/> , 34230= 0<@474-=4@8 70A07 9 ?30 ?30 F=>? 10B D0,=> :1 ?30 ;=0>09? /0.,/0
-:==:B492 >008> ?: -0 ,-:A0 4?> 7:92=@9 /0?0=849,9?> ,7?3:@23 [email protected] 70>> >: ?3,9 1:=
49>?,9.0 ,? ?30 -02499492 :1 ?30 9490?40>
(,-70 >3:B> ?30 1@77 0>?48,?4:9 :1 ?30 *! B309 49.7@/492 ?30 0>?48,?0/
7:92=@9 =07,?4:9>34; ,9/ ,>>@8492 ?3,? 49?0=0>? =,?0> F9,9.4,7 ,9/ 3:@>492 B0,7?3 ,=0
,7>: 0C:209:@> 1:= ?30 0>?48,?4:9 :1 >3:=??0=8 ;,=,80?0=> ?30 7:B0= ;,907 :1 (,-70 >3:B> ?3,? 0C:20904?D ,>>@8;?4:9> 1:= >3:=?=@9 /D9,84.> .,9 -0 ,..0;?0/ ,..:=/492
?: ?30 .:==0>;:9/492 ?0>?> &0>4/@,7> 2=,;3> ;=0>09?0/ 49 42@=0 >@220>? ?3,? =0,7
7:,9> ?: 3:@>03:7/> ,9/ .:9>@8;?4:9 ,=0 =0,>:9,-7D B077 0C;7,490/ 9 >;4?0 :1 ?30
>8,77 >,8;70 :90>?0; ,30,/ =0>4/@,7> ,9/ 3:B ?0>?> ,=0 ;=0>09?0/ 49 42@=0> ,9/
,9/ 4? 8,D -0 ?3,? ,? >:80 ;:49? ?30>0 ?0>?> 8,D >@220>? , ;:?09?4,7 9:9.:9>?,9.D
:1 ;,=,80?0=> B34.3 4> /4J.@7? ?: ,>>0>> 24A09 ?30 7092?3 :1 ?30 >,8;70
> 809?4:90/ 49 ?30 49?=:/@.?4:9 :@= ,;;=:,.3 4> =0,>:9,-7D 49 7490 B4?3 ?3,?
:1 3=D>?,7 ,9/ !4E09 ,7?3:@23 4? 4> 9:? >?=4.?7D .:8;,=,-70 +0 1:.@> :9 ?:?,7
.:9>@8;?4:9 ,9/ .=0/4? 49>?0,/ :1 @9>0.@=0/ .=0/4? ,9/ B0 /: 9:? 49.7@/0 /08,9/
1:= 8:90D #@= =0>@7?> ,=0 ,7>: /4K0=09? 1=:8 ?304=> 4=>? ?30D 0>?48,?0 , 902,?4A0
7:92=@9 0K0.? :1 ?30 70A07 :1 .:9>@80= -:==:B492 :9 .:9>@8;?4:9 .,;?@=492 ?30 0K0.?
:1 ?30 /0-?>0=A4.0 -@=/09 :9 /4>;:>,-70 49.:80 (34> 902,?4A0 >429 4> ?30 .:9A09?4:9,7
:90 48;74.4? 49 ?304= 90? B0,7?3 A,=4,-70 ,9/ B:@7/ 48;7D ?3,? ?30 .:9>@80= .=0/4? =,?0
>;=0,/ :A0= ?30 -,>0 49?0=0>? =,?0 3,> , ;:>4?4A0 0K0.? :9 .:9>@8;?4:9 9 ,//4?4:9
?304= 09/:209:@> A,=4,-70 40 @9>0.@=0/ 709/492 0C.7@/0> 8:=?2,20 0<@4?D B4?3/=,B,7
B34.3 3,> -009 ,9 48;:=?,9? >:@=.0 :1 F9,9.492 .:9>@8;?4:9 49 ?30 )94?0/ 492/:8
'0.:9/7D 3=D>?,7 ,9/ !4E09 /: 9:? F9/ ?3,? ,9 0C.0>> :1 .=0/4? 70,/> ?:
,/5@>?809?> 49 .:9>@8;?4:9 :B0A0= ?30D F9/ ?3,? B309 .:9>@8;?4:9 4> ,-:A0 4?>
7:92=@9 ?=09/ -:==:B492 49.=0,>0> ?: >@>?,49 >;09/492 ,-:A0 4?> 7:92=@9 /0?0=849,9?>
" !
! "! .=4?4.,7 ;:49? 49 ?30 8:/07 0>?48,?0/ 49 ?30 ;=0A4:@> >0.?4:9 .:@7/ -0 ?30 ;,=?4.@7,=
>;0.4F.,?4:9 :1 ?30 .:9>@8;?4:9 0<@,?4:9 (: ?0>? ?30 >09>4?4A4?D :1 :@= =0>@7?> ?:
.3,920> 49 ?30 >;0.4F.,?4:9 :1 ?30 .:9>@8;?4:9 8:/07 49 ?34> >0.?4:9 B0 ;=0>09? ,
>48;70= 8:/07 ?: .:9?=,>? ?: B3,? 0C?09? /4>0<@474-=4@8 49 ?30 -:==:B492 70A07 3,> ,
>4294F.,9? 48;,.? :9 .:9>@8;?4:9 70A07> B4?3 9: 0C;74.4? 8:/07 1:= .:9>@8;?4:9 49 ?30
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DOCUMENTO DE TRABAJO N.º 0421
7:92 =@9 (3@> B0 /=:; 7,-:@= 49.:80 1=:8 :@= ,9,7D>4> ,9/ 8:/07 -:==:B492 ,> ,
1@9.?4:9 :1 .:9>@8;?4:9 3:@>492 B0,7?3 ,9/ 49?0=0>? =,?0> ,9/ ;=:.00/ 49 , >4847,=
B,D ,> B0 /4/ 49 ?30 ;=0A4:@> >0.?4:9
> .,9 -0 >009 49 (,-70 B0 F9/ :90 .:49?02=,?4:9 =07,?4:9>34; ,8:92 ?30
A,=4,-70> .:9>4/0=0/ +0 ?309 0>?48,?0 , =0>?=4.?0/ *! B4?3 :90 .:49?02=,?4:9 =0
7,?4:9>34; ,9/ =0>?=4.? ?: E0=: ?3:>0 .:0J.409?> ?3,? ,=0 >?,?4>?4.,77D 49>4294F.,9? (30
=0>@7?> >3:B9 49 ?30 ?,-70 49/4.,?0 ?3,? 49 ?34> ,7?0=9,?4A0 ,;;=:,.3 B30=0 ?30
7:92=@9 -03,A4:@= :1 .:9>@8;?4:9 4> 9:? 8:/0770/ 0C;74.4?7D B0 >?477 F9/ ?3,? ?30
/4>0<@474-=4@8 49 ?30 .=0/4? 8,=60? 3,> , >4294F.,9? 0K0.? :9 .:9>@8;?4:9
460B4>0
?30 0>?48,?0/ .:0J.409?> 49 ?30 .:49?02=,?492 =07,?4:9 1:= -:==:B492 ,=0 A0=D >4847,= ?:
?3:>0 :-?,490/ 49 ?30 8:/07 B4?3 ?B: .:49?02=,?492 =07,?4:9>34;> >3:B9 49 ?30 ;=0A4:@>
>0.?4:9 ,9/ ,7>: ?30 7:,/492 1,.?:=> 1:= -:==:B492 ,9/ .:9>@8;?4:9 (30=01:=0 ?30
=0>@7?> ;=0>09?0/ 49 >0.?4:9 /: 9:? >008 ?: /0;09/ :9 ?30 08;4=4.,7 ,;;=:,.3 @>0/ ?:
8:/07 .:9>@8;?4:9
(34> >48;70= 8:/07 4> ?: >:80 0C?09? .:8;,=,-70 ?: ?3,? :1 ,7E, 0? ,7 (30D 1:.@> :9 ?30 ;=4A,?0 >0.?:= ,> , B3:70 ,9/ ,7>: 0>?48,?0 , *! ,>>@8492 :90
.:49?02=,?4:9 =07,?4:9>34; -0?B009 7:,9> 49?0=0>? =,?0> ,9/ 2=:>> /:80>?4. ;=:/@.? 49
?30 0@=: ,=0, 9 .:9?=,>? ?: :@= =0>@7?> ?30D F9/ ?3,? 48-,7,9.0> 49 ?30 70A07 :1 709/492
B4?3 =0>;0.? ?: 4?> 7:92=@9 70A07 ,=0 ;,=?4,77D .:==0.?0/ A4, 49?0=0>? =,?0 .3,920> B3470
?30 >.,70 A,=4,-70 2=:>> /:80>?4. ;=:/@.? 4> 1:@9/ ?: -0 B0,67D 0C:209:@>
" (30 49/0-?0/90>> :1 ';,94>3 3:@>03:7/> 3,> =4>09 >3,=;7D 49 =0.09? D0,=> (30 49.=0,>0
49 ';,94>3 3:@>03:7/ /0-? /@=492 ?30 7,>? 10B D0,=> 4> ,? 70,>? ;,=?4,77D , ;=:.0>> :1 ,
>?=@.?@=,7 9,?@=0 (30 74-0=,74>,?4:9 :1 ?30 ';,94>3 F9,9.4,7 >D>?08 ?30 48;=:A0809? 49
49.:80 0C;0.?,?4:9> ?30 /D9,84>8 :1 ?30 7,-:@= 8,=60? ,9/ ;,=?4.@7,=7D ?30 2=0,?0=
8,.=:0.:9:84. >?,-474?D ,9/ 7:B0= F9,9.492 .:>?> /0=4A0/ 1=:8 ;,=?4.4;,?4:9 49 ?30
@=:;0,9 !:90?,=D )94:9 7,=207D 0C;7,49 ?30 49.=0,>492 49/0-?0/90>> :1 ?34> >0.?:=
9 ?34> >;0.4F.,?4:9 B0 /: 9:? 49.7@/0 F9,9.4,7 B0,7?3 >49.0 ,> 809?4:90/ 49 ?30 ;=0A4:@> >0.?4:9
B0 .:9>4/0= ?3,? ?30 48;,.? :1 ?34> A,=4,-70 :9 -:==:B492 4> .,;?@=0/ ?3=:@23 .:9>@8;?4:9 B34.3
;=:C40> ;0=8,909? 49.:80
(30 .:8;70?0 ,9,7D>4> :1 ?34> *! 4> 9:? >3:B9 1:= =0,>:9> :1 >;,.0 (30 =0>@7?> ,=0 ,A,47,-70
1=:8 ?30 ,@?3:=> @;:9 =0<@0>?
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DOCUMENTO DE TRABAJO N.º 0421
(34> >3,=; =4>0 3,> 80=4?0/ [email protected] ,??09?4:9 -0.,@>0 :1 4?> 48;:=?,9? 8,.=:0.:
9:84. ,9/ F9,9.4,7 48;74.,?4:9> 9 ;,=?4.@7,= ?30 49.=0,>0 49 /0-? 3,> 307;0/ ?: >@>
?,49 ?30 2=:B?3 :1 .:9>@8;?4:9 ,9/ =0>4/09?4,7 49A0>?809? ,9/ ;=:-,-7D ?30 =0>47409.0
:1 ?30 ';,94>3 0.:9:8D ?: ?30 27:-,7 0.:9:84. >7:B/:B9 49 =0.09? D0,=> :B0A0=
?30=0 ,=0 >:80 =4>6> 41 ?30 70A07 :1 49/0-?0/90>> ;=:A0> ?: -0 0C.0>>4A0 >49.0 4? .:@7/
/07,D ,9/ 7484? ?30 >.:;0 :1 0C;,9>4:9,=D ;3,>0> := /00;09 =0.0>>4:9> (34> ;,;0= ;=:
A4/0> >:80 0A4/09.0 :9 ?34> +0 8:/07 .:9>@8;?4:9 ,9/ -:==:B492 5:49?7D 49 , *!
B30=0 7,-:@= 49.:80 3:@>492 ,9/ F9,9.4,7 B0,7?3 ,9/ 9:849,7 49?0=0>? =,?0> ,=0 ,7>:
49.7@/0/ (30 =0>@7?> >3:B ?3,? -:?3 .:9>@8;?4:9 ,9/ 709/492 ,=0 ;:>4?4A07D =07,?0/
?: -:?3 ?D;0> :1 B0,7?3 ,9/ 7,-:@= 49.:80 49 ?30 7:92 =@9 ,9/ 902,?4A07D =07,?0/ ?:
49?0=0>? =,?0> (30 48;,.? :1 49?0=0>? =,?0> :9 .:9>@8;?4:9 ,=0 8,497D .,;?@=0/ 49/4
=0.?7D ?3=:@23 -:==:B492 49 ?30 .:9>@8;?4:9 7:92=@9 =07,?4:9>34; !:=0 48;:=?,9?7D
:@= =0>@7?> 0A4/09.0 ?3,? B309 709/492 4> ,-:A0 -07:B 4?> 7:92=@9 70A07 =0>?:=492
?30 0<@474-=4@8 4> ,.340A0/ A4, =0/@.?4:9> 49.=0,>0> 49 709/492 ,9/ ,..:8;,940/ -D
, .:9?=,.?4:9 0C;,9>4:9 49 ?30 70A07 :1 .:9>@8;?4:9 !:=0:A0= ?30 >7:B90>> :1 ?30
/4>0<@474-=4@8 .:==0.?4:9 48;740> ?3,? ?30 902,?4A0 48;,.? :1 0C.0>>4A0 49/0-?0/90>> :9
.:9>@8;?4:9 .,9 -0 7092?3D (34> =0>@7? 3:7/> 0A09 41 B0 .:9>4/0= , >48;70= 8:/07 B4?3
, >49270 .:49?02=,?4:9 =07,?4:9>34; -0?B009 -:==:B492 .:9>@8;?4:9 3:@>492 B0,7?3 ,9/
49?0=0>? =,?0> '4847,=7D :@= =0>@7?> >@;;:=? ?30 08;4=4.,7 0A4/09.0 1:@9/ 49 ',>?=0 ,9/
0=9L9/0E B309 .:9>@8;?4:9 /0;,=?> 1=:8 4?> 7:92=@9 70A07 4? >008> ?: -0 ,9
49/4.,?:= :1 .3,920> 49 1@?@=0 7,-:@= 49.:80
..:=/492 ?: :@= 8:/07 ?30 >3,=; 49.=0,>0 49 ';,94>3 3:@>03:7/ -:==:B492 4>
.:8;,?4-70 ?: , 7,=20 0C?09? B4?3 .3,920> 49 4?> 7:92=@9 1@9/,809?,7> -@? 49 ?30 7,>?
10B D0,=> ?34> =4>0 8,D 3,A0 70/ ?: , -:==:B492 70A07 34230= ?3,9 ?3,? /0?0=8490/ -D
?30>0 7:92=@9 1@9/,809?,7> B34.3 .:@7/ 902,?4A07D ,K0.? ?30 70A07> :1 .:9>@8;?4:9
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21
DOCUMENTO DE TRABAJO N.º 0421
9?E:@7,?:> :9>@80= .=0/4? ,9/ .:9>@8;?4:9 1:=0.,>? */"-*/&+*(
+0-*( +# +-" ./&*$ I
,..30??, $ ,9/ 0=7,.3 ' :9>@8;?4:9 ,9/ .=0/4? .:9>?=,49?> 49?0=9,?4:9,7
0A4/09.0 +0-*( +# +*"/-4 +*+)& . I
0=9,960 ' ,9/ &:?08-0=2 0/> -+" +*+)& . **0( !( $=0>> ,8-=4/20
:>B456 $ ,9/ =,9>0> $ D9,84. ';0.4F.,?4:9 ,9/ :49?02=,?4:9 3#+-!
0(("/&* +# +*+)& . *! //&./& . I
:>B456 $ J.409? 4910=09.0 :9 .:49?02=,?4:9 ;,=,80?0=> 49 >?=@.?@=,7 0==:=
.:==0.?4:9 8:/07> +0-*( +# +*+)"/-& . I
=,D?:9 ,9/ &041>.3904/0= 49,9.4,7 .:9/4?4:9> ,9/ =0,7 ,.?4A4?D <@,9?4
1D492 ?30 [email protected] :1 49?0=0>? =,?0> B0,7?3 ,9/ .=0/4?.3,9907 1,.?:=> :9 .:9>@8;?4:9
,9/ 49A0>?809? 8480: 0/0=,7 &0>0=A0 :,=/
,7E, ,=?90= ,9/ ':@>, !:/077492 ?30 /08,9/ 1:= 7:,9> ?: ?30
;=4A,?0 >0.?:= 49 ?30 0@=: ,=0, ,,(&"! +*+)& . I
,==:77 ,9/ @99 + )908;7:D809? C;0.?,?4:9> @8;492 '>
(=4220=> ,9/ :@>03:7/ ,7,9.0 '300?> 9 0=9,960 ,9/ &:?08-0=2 ;;
I
3=D>?,7 ,9/ !4E09 $ :9>@8;?4:9 8:90D ,9/ 709/492 , 5:49? 8:/07
1:= ?30 ) 3:@>03:7/ >0.?:= +:=6492 $,;0= ,96 :1 927,9/ (30 :@=9,7 :1
!:90D =0/4? ,9/ ,96492 1:=?3.:8492
/0 :9/? =0/4? 3,9907> 9/ :9>@8;?4:9 49 @=:;0 8;4=4.,7 0A4/09.0
+:=6492 $,;0= ,96 1:= 9?0=9,?4:9,7 '0??70809?>
0,?:9 ',A492 ,9/ 74<@4/4?D .:9>?=,49?> +*+)"/-& ;; I
/07 &N: 7 09/0@/,8409?: /0 7:> 3:2,=0> 0>;,O:70> +:=6492 $,;0= ,9.: /0 >;,O,
::=946 ,9/ 09/=D 0/> +!"((&*$ !4*)& .4./"). 0.&*$
&)( #+- &*!+2. 9?0=9,?4:9,7 (3:8>:9 @>490>> $=0>>
BANCO DE ESPAÑA
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DOCUMENTO DE TRABAJO N.º 0421
=4.>>:9 " & 09/=D ,9/ !4E:9 C:20904?D .:49?02=,?4:9 ,9/
0.:9:84. ;:74.D ,9,7D>4> +0-*( +# 0.&*".. *! +*+)& //&./& . I
>?=,/, ,9/ @4>L9 7 2,>?: /0 7,> 1,8474,> 09 >;,O, >?@/4:>
.:9P84.:> ,9.: /0 >;,O,
0=9L9/0E:=@20/: $=4.0 ' ,9/ 7,.60 (30 /D9,84.> :1 .:9>@80=
0C;0/4?@=0 ?30 ) .:9>@8;?4:9 ! =0/@C +:=6492 $,;0= ,96 :1 927,9/
,;0774 ( ,9/ $,2,9: ! :9>@8;?4:9 ,9/ .,;4?,7 8,=60? 48;0=10.?4:9> ,9
49?0=9,?4:9,7 .:8;,=4>:9 %" )"-& * +*+)& "1&"2 I
:3,9>09 ' :49?02=,?4:9 49 ;,=?4,7 >D>?08> ,9/ ?30 0J.409.D :1 >49270
0<@,?4:9 ,9,7D>4> +0-*( +# +*+)"/-& . I
:3,9>09 ' &'"(&%++!."! &*#"-"* " &* +&*/"$-/"! 1" /+- 0/+-"$-"..&1"
)+!"(. #C1:=/ )94A0=>4?D $=0>>
492 ! 8;0=10.?4:9> ,9/ ?30 .:9>@8;?4:9 1@9.?4:9 *! +0-*( +#
+*+)& . I
@/A492>:9 ' :9>@8;?4:9 ,9/ .=0/4? , 8:/07 :1 ?480A,=D492 74<@4/4?D
.:9>?=,49?> %" +*+)& +0-*( I
!,9=4<@0 ! ,9/ 'L0E )9 ,9L74>4> /0>,2=02,/: /0 7, /08,9/, /0
,.?4A:> 7N<@4/:> D /0 7, /08,9/, /0 .=M/4?: /0 7,> 1,8474,> D /0 7,> 08;=0>,> 9:
F9,9.40=,> :70?N9 .:9P84.: 090=: ,9.: /0 >;,O,
!,=?N90E$,2M> ,9/ !,E, 9L74>4> /07 ;=0.4: /0 7, A4A409/, 09 >;,O,
+:=6492 $,;0= ,9.: /0 >;,O,
"40?: 0?0=849,9?0> /07 .=0.48409?: /07 .=M/4?: , 7:> 3:2,=0> 09 >;,O,
:70?N9 .:9P84.: ,-=47 ,9.: /0 >;,O,
#>?0=B,7/ 09@8 ! 9:?0 B4?3 <@,9?470> :1 ?30 ,>D8;?:?4. /4>?=4-@?4:9 :1
?30 ! .:49?02=,?4:9 =,96 ?0>? >?,?4>?4.> 3#+-! 0(("/&* +# +*+)& . *! //&./& .
I
',>?=0 ( ,9/ 0=9L9/0E )9 8:/07: 08;N=4.: /0 7,> /0.4>4:90> /0 2,>?:
/0 7,> 1,8474,> 0>;,O:7,> !480: ,9.: /0 >;,O,
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DOCUMENTO DE TRABAJO N.º 0421
)=-,49 #9 B0,6 0C:20904?D 49 0==:= .:==0.?4:9 8:/07> 3#+-! 0(("/&* +#
+*+)& . *! //&./& . I
BANCO DE ESPAÑA
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DOCUMENTO DE TRABAJO N.º 0421
Figure 1. Household borrowing and some explanatory factors: 1984.I - 2003.IV
Consumption
Labour income (real)
Labour income (adjusted,real)
Household borrowing (rhs)
13.0
13.0
12.8
12.8
12.6
12.6
12.4
12.4
11.2
12.2
12.2
11.1
12.0
12.0
11.0
11.8
11.8
11.6
11.6
11.4
11.4
11.2
11.2
11.0
11.0
11.5
11.4
11.3
10.9
10.8
10.7
84
86
88
90
92
94
96
98
00
02
04
Household borrowing
Housing wealth (rhs)
Net financial wealth (rhs)
14.5
14.0
13.5
13.0
12.5
12.0
84
86
88
90
92
94
96
98
00
02
04
Annual growth rates
Annual growth rates
16
Household borrowing
14
Consumption (rhs)
6
Housing wealth
Housing wealth (adj)
Household borrowing (rhs)
20
5
16
14
15
12
12
4
10
3
10
6
2
5
4
1
8
10
8
2
6
4
0
2
0
0
-1
-2
-5
-4
-2
-10
-6
-3
-15
84
86
88
90
92
94
96
98
00
02
0
-2
-4
-6
04
84
16
16
18
14
14
16
12
12
10
10
8
8
6
6
3
4
4
1
2
2
Real interest rate (def. cons)
Nominal interest rate
Household borrowing growth (rhs)
%
20
86
88
90
92
94
96
98
00
02
04
Annual growth rates
14
12
10
8
6
9
7
5
-1
0
0
4
-2
-2
Household borrowing
2
-4
-4
Labour income (rhs)
-6
-6
0
84
BANCO DE ESPAÑA
15.0
25
86
88
90
92
94
96
DOCUMENTO DE TRABAJO N.º 0421
98
00
02
04
-3
-5
84
86
88
90
92
94
96
98
00
02
04
Figure 2. First differences of explanatory variables
0.07
Borrowing
Consumption
0.04
0.06
0.05
0.03
0.04
0.02
0.03
0.01
0.02
0.01
0.00
0.00
-0.01
-0.01
-0.02
-0.02
-0.03
-0.03
84
86
88
0.08
90
92
94
96
98
00
02
04
Housing wealth (real)
86
88
90
92
94
96
98
00
02
04
0.12
Net financial wealth (real)
Housing wealth adjusted (real)
0.06
84
0.10
0.08
0.04
0.06
0.02
0.04
0.00
0.02
0.00
-0.02
-0.02
-0.04
-0.04
-0.06
-0.06
-0.08
-0.08
84
86
88
90
92
94
96
98
00
02
04
84
86
88
90
92
94
96
98
00
02
04
02
04
Labour income (adjusted,real)
2.00
Labour income (real)
0.04
Nominal interest
rateinterest rate
Nominal
1.50
0.03
1.00
0.02
0.50
0.01
0.00
0.00
-0.50
-0.01
-1.00
-0.02
-1.50
-0.03
84
86
88
90
92
94
96
98
00
02
04
-2.00
84
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DOCUMENTO DE TRABAJO N.º 0421
86
88
90
92
94
96
98
00
Figure 3. Estimated long-run relationships and error correction terms
estimated long-run consumption
consumption
11.3
estimated long-run household debt
household debt
12.5
11.2
12
11.1
11
11.5
10.9
10.8
1985
0.2
1990
1995
2000
2005
1985
1990
1995
2000
2005
Error correction term: consumption
Error correction term: household debt
0.03
0.02
0.1
0.01
0.00
0.0
-0.01
-0.02
-0.1
-0.03
-0.04
-0.2
84
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86
27
88
90
92
94
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DOCUMENTO DE TRABAJO N.º 0421
98
00
02
04
84
86
88
90
92
94
96
98
00
02
04
Figure 4. fitted variables and residuals
differenced consumption
Fitted
.02
residuals consumption
2
.01
0
0
-.01
1985
1990
1995
-2
2005 1985
2000
1990
1995
.05
2000
2005
residuals debt
2
0
0
differenced debt
1985
1990
1995
Fitted
2000
differenced income
2005
Fitted
1985
1990
1995
2000
2005
residuals income
2
.02
0
0
-2
1985
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1990
DOCUMENTO DE TRABAJO N.º 0421
1995
2000
2005
1985
1990
1995
2000
2005
Figure 5. One-step ahead residuals
debt
consumption
.02
.02
.01
0
0
-.01
-.02
-.02
1995
2000
2005
1995
2000
2005
income
interest rates
.01
.025
0
0
-.025
-.01
1995
2000
2005
1995
2000
2005
Figure 6. One-step Chow test
5%
1
consumption
5%
debt
1
.5
.5
1995
1
5%
2000
5%
2000
2005
2000
2005
1up CHOWs
.5
1995
29
5%
2000
2005
2000
2005
income
.5
1995
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1995
1
.5
1
2005
interest rates
DOCUMENTO DE TRABAJO N.º 0421
1995
Table 1. Household indebtedness in Spain
1990
1995
2000
2003
Total liabilities
(%gdi)
62.7
61.5
85.9
102.2
Total loans (a)
(%gdi)
45.8
46.1
72.2
92.3
Long-term loans (%gdi)
Debt-burden
(%gdi)
41.5
…
41.6
10.6
67.2
12.9
87.2
13.0
61.9 (c)
17.3 (c)
20.8 (c)
63.9
17.6
18.5
67.7
13.7
18.6
0.0
0.7
34.9
3.0
49.5
6.7
61.7
…
82.7
105.0
68.4
89.2
94.6
80.8
96.9
104.0
84.6
110.1
126.3
Bank loans by purpose (% bank loans) (b)
Housing
Consumption
Other
Securitisations
(% total loans)
Variable interest rates (% loans (d))
International comparison (debt-income ratios)
Euro Area (e)
US
UK
(a) Including securitisations.
(b) Excluding securitisations.
(c) Corresponds to 1997.
(d) As percentage of bank loans to Other Resident Sectors (include households and non-financial corporations).
(e) Estimation, only nine countries.
Source: Banco de España, Federal Reserve Board, ONS
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DOCUMENTO DE TRABAJO N.º 0421
Table 2. Unit root tests
Level
lags
ADF
t
Real consumption
Household borrowing
Nominal interest rate
Labour income
Housing wealth
Net financial wealth
c
c
c
c
c
3
3
3
2
3
3
3
-0.15
0.99
0.00
3.56
1.66
-0.83
-1.76
PP
0.59
1.97
0.04
3.82
3.91
0.87
-0.94
First difference
lags ADF
PP
t
c
2 -1.78* -4.35***
3
-1.1
-1.80*
3 -4.69*** -5.25***
3 -3.58* -9.38***
2 -1.14
-2.37**
2 -1.96
-3.46**
2 -3.50*** -7.94***
Order of
integration
1
1/2
1
1
1/2
1
Note: The null hypothesis is the presence of a unit root and ***, **, * denotes rejection of the null hypothesis at 1%, 5%
and 10% significance level respectively based on critical values by MacKinnon (1991). ADF denotes Augmented
Dickey Fuller test (with lags up to and including the highest lag statistically significant at least at the 5% level), PP is
for the Phillips Perron test. If a constant is included it is denoted with 'c'.
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DOCUMENTO DE TRABAJO N.º 0421
Table 3. Johansen tests for cointegration
Unrestricted model
Ho:
l-max test
rank=r
statistic
r=0
48.23**
r”1
38.03*
r”2
33.52**
r”3
20.09
r”4
11.49
r”5
0.4699
Diagnostic tests
small
sample
correction
33.76
26.62
23.47
14.07
8.04
0.329
LM test
Single equation tests
0.371 [0.8664]
ct
0.805 [0.5516]
lt
1.962 [0.1006]
it
1.284 [0.2858]
yt
fwt
3.832 [0.0051]
1.261 [0.2953]
hwt
System
1.128 [0.2368]
95%
critical
values
39.4
33.5
27.1
21
14.1
3.8
trace test
statistic
151.8**
103.6**
65.57**
32.05*
11.96
0.4699
Normality test
0.721
3.231
4.082
1.822
0.542
1.792
9.547
[0.6974]
[0.1988]
[0.1299]
[0.4021]
[0.7628]
[0.4083]
[0.6557]
small
sample
correction
106.3**
72.52*
45.9
22.44
8.369
0.329
95%
critical
values
94.2
68.5
47.2
29.7
15.4
3.8
Arch Test
0.982
0.181
0.431
0.491
0.752
0.892
[0.4264]
[0.9469]
[0.7856]
[0.7421]
[0.5614]
[0.4760]
Heterocedasticity
0.076
0.114
0.130
0.214
0.180
0.196
1020.300
[1.0000]
[1.0000]
[1.0000]
[0.9992]
[0.9998]
[0.9996]
[0.3866]
Restricted model
Variables entered restricted: financial and housing wealth
Ho:
l-max test
rank=r
statistic
r=0
46.38**
r”1
35.69**
r”2
13.19
r”3
2.642
Diagnostic tests
small
sample
correction
37.11**
28.55**
10.55
2.114
LM test
Single equation tests
0.466 [0.7993]
ct
0.812 [0.5468]
lt
it
2.286 [0.0604]
1.941 [0.1045]
yt
System
0.974 [0.5450]
95%
critical
values
27.1
21
14.1
3.8
trace test
statistic
97.91**
51.53**
15.83*
2.642
Normality test
0.489
2.695
4.561
3.843
9.574
[0.7831]
[0.2598]
[0.1022]
[0.1464]
[0.2962]
small
sample
correction
78.33**
41.22**
12.67
2.114
95%
critical
values
47.2
29.7
15.4
3.8
Arch Test
0.863
0.049
0.368
0.512
[0.4932]
[0.9953]
[0.8301]
[0.7275]
Heterocedasticity
0.276
0.377
0.506
0.587
0.309
[0.9994]
[0.9931]
[0.9578]
[0.9117]
[1.0000]
Note: The VAR model includes four lags of endogenous variables specified in levels. The
constant term is unrestricted. * (**) denotes existence of cointegration at 5% (1%) significance
level. In the diagnostic tests, p-values are in brackets. The LM test is the Godfrey test for
autocorrelation. For normalitiy the Doornik and Hansen test is used. Arch test is for
autoregressive conditional heteroscedasticity test. The heterocedasticity test is a White test for
individual equations and the Doornik and Hendry test for the whole system. See Doornik and
Hendry (1998) for more details.
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DOCUMENTO DE TRABAJO N.º 0421
Table 4. Restricted cointegrating vectors
Long-run coefficient (*)
E
ct
lt
yt
fwt-1
hwt-1
it
1
-0.11
0.02
-0.54
0.07
-0.05
0.01
-0.04
0.01
0
1
0
0
-0.42
0.15
4.65
0.74
std errors
E2
std errors
-0.63 (*)
0.48
Loading factors
Disequilibrium in
Vector 1
consumption
D
'ct
std errors
Vector 2
borrowing
D
std errors
-0.33
0.13
-0.08
0.02
'lt
0.29
0.20
-0.12
0.03
'it
-0.13
0.09
-0.01
0.01
'yt
0.80
0.21
0.02
0.03
(*) Net financial wealth is restricted to zero in the borrowing equation.
The p-value for this restriction is 0.74. If housing wealth coefficient is
restricted to 0.4 in the long-run equation for borrowing the parameter for
consumption does not vary significantly (0.69) and the t-statistic raises
to 5.58.
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DOCUMENTO DE TRABAJO N.º 0421
Table 5. Over-identified conditional system
Long-run coefficients
E
ct
lt
yt
fwt-1
hwt-1
it
1
-0.11
-0.55
-0.05
-0.04
0
0.02
0.08
0.02
0.02
1
0
0
-0.42
0.15
std errors
E2
std errors
-0.66
0.47
Loading factors
Disequilibrium in
Vector 1
consumption
D
Vector 2
borrowing
std errors
D
-0.40
0.13
-0.09
0.02
'lt
_
_
-0.14
0.03
'yt
0.71
0.20
_
_
Overidentifying restrictions test
LR-test, rank=2: Chi^2(3) = 2.68 [0.44]
Table 6. Exogeneity tests
Weak exogeneity for long-run parameters
Variables in marginal model: hw, nfw, i
Regressor Distribution:
ECM_ct-1 F(3,57) =0.38381 [0.7651]
ECM_lt-1 F(3,57) =0.52930 [0.6640]
ECM_ct-1, EF(6,114) =0.39955 [0.8780]
Weak exogeneity for short-run parameters
BANCO DE ESPAÑA
34
std errors
'ct
[hw
F( 3, 54) =
[fw
F( 3, 54) = 0.085091 [0.9679]
[i
F( 3, 54) = 0.22031 [0.8819]
DOCUMENTO DE TRABAJO N.º 0421
1.1399 [0.3413]
4.49
0.73
Table 7. Over-identified cointegrating vectors
as function of interest rates, labour income and wealth variables
Long-run coefficients
ct
E
E2
lt
yt
-0.60
1
-0.39
1
fwt-1
hwt-1
it
-0.05
-0.09
0.54
-0.04
-0.48
4.84
Table 8. Second step VECM
'ct
'lt
'yt
coeff
t-value
coeff
t-value
coeff
'ct-1
-0.04
-0.32
-0.46
-2.38
-0.12
-0.65
'lt-1
0.02
0.36
0.24
2.40
-0.16
-1.60
'lt-2
-0.14
-2.19
0.16
1.53
0.21
2.03
'yt-1
0.03
0.45
0.09
0.80
0.18
1.61
'yt-2
0.00
-0.43
-0.09
0.33
-0.06
-3.80
-5.72
2.12
0.18
0.20
-0.10
-0.13
1.65
1.14
-4.41
-0.55
0.01
0.55
0.02
-0.04
0.07
3.14
0.76
-0.16
'it-2
0.28
1.55
0.51
1.82
-0.41
-1.46
'it-3
0.35
2.11
0.04
0.14
0.25
0.97
'hwt-1
0.13
2.31
0.19
2.26
-0.05
-0.57
'hwt-3
constant
0.24
1.01
3.78
3.65
0.15
-0.58
1.49
-1.34
0.02
-1.36
0.18
-3.15
t-value
variable
ECM_ct-1
ECM_lt-1
'it-1
Std. Dev. Residuals
Sum sq.residuals
0.0055
0.0020
0.0085
0.0048
0.0085
0.0047
Diagnostic tests
Equation
consumption
borrowing
income
System
BANCO DE ESPAÑA
35
M Autocorrelation
0.632
0.846
0.729
0.850
[0.6757]
[0.5224]
[0.6042]
[0.7319]
DOCUMENTO DE TRABAJO N.º 0421
Normality test
0.226 [0.8930]
1.429 [0.4894]
1.826 [0.4013]
3.710 [0.7159]
Arch 4
1.559 [0.1975]
0.139 [0.9671]
0.194 [0.9408]
Heterocedasticity
0.601
0.641
0.790
0.706
[0.9070]
[0.8760]
[0.7273]
[0.9878]
Table 9. VECM with one cointegration relationship for household debt
Johansen test for cointegration
small
95%
small
critical trace test sample
Ho: l-max test sample
rank=r statistic correction values statistic correction
r=0
37.8**
30.24*
27.1 63.32**
50.66*
r”1
19.19
15.35
21
25.52
20.42
r”2
4.845
3.876
14.1
6.337
5.07
r”3
1.493
1.194
3.8
1.493
1.194
95%
critical
values
47.2
29.7
15.4
3.8
Long-run coefficients
Model 1
E
lt
1
std errors
it
4.28
0.75
ct
-0.72
0.50
hwt-1
-0.41
0.16
Loading factors
'lt
D
std errors
-0.12
0.02
'it
0
'ct
-0.07
'hwt-1
0.02
0
Overidentifying restrictions test
LR-test, rank=2: Chi^2(2) = 0.72792 [0.6949]
Diagnostic tests
LM test
Single equation tests
ct 0.88002 [0.5003]
lt 1.5413 [0.1913]
it 0.36668 [0.8693]
wt-1 1.4763 [0.2116]
System
1.1537 [0.2224]
BANCO DE ESPAÑA
36
DOCUMENTO DE TRABAJO N.º 0421
Normality test
2.1391
4.0345
1.5913
5.2775
11.59
[0.3432]
[0.1330]
[0.4513]
[0.0714]
[0.1704]
Arch Test
0.06635
0.44243
2.1282
0.38216
[0.9917]
[0.7774]
[0.0896]
[0.8204]
Heterocedasticity
0.52543
0.77057
0.35582
0.38885
0.56343
[0.9617]
[0.7652]
[0.9975]
[0.9950]
[1.0000]
!
% ! ! ! "& #90 :1 ?30 60D .=4?0=4, -,96> ,;;7D 1:= /0?0=849492 ?30 >@;;7D :1 .=0/4? 1:= ,9
49/4A4/@,7 4> ?30 494?4,7 /0-? -@=/09 49?0=0>? ;,D809? ;7@> =0;,D809? :1 ;=49.4;,7 ,>
, ;0=.09?,20 :1 .@==09? 49.:80 =,?30= ?3,9 0C;0.?0/ 49.:80 (34> .=4?0=4:9 80,9>
,> 477@>?=,?0/ -07:B ?3,? ?30 >@;;7D :1 .=0/4? ,9/ ?30=01:=0 ?30 =0>:@=.0> ,A,47,-70 1:=
.:9>@8;?4:9 /0;09/> ,8:92 :?30= A,=4,-70> :9 ?30 70A07 :1 ?30 9:849,7 =,?30= ?3,9
=0,7 49?0=0>? =,?0>
(: 477@>?=,?0 ?34> 70? @> .:9>4/0= ,9 49/4A4/@,7 B3: /08,9/> , 7:,9 :1 ?480>
.@==09? 49.:80 A,47,-70 .=0/4? 49>?=@809?> .:9>4>? :1 D0,= 7:,9> B30=0 ?30 =048
-@=>0809? 4> 8,/0 ?3=:@23 .:9>?,9? 9:849,7 ;,D809?> 49.7@/492 49?0=0>? ;,D809?>
:= >48;74.4?D B0 ,>>@80 ?3,? 49.:80 49.=0,>0> B4?3 49G,?4:9 49.:80 4> .:9>?,9? 49 =0,7
?0=8> +0 .:9>4/0= ?B: /4K0=09? >.09,=4:> 1:= .:9>?,9? 49G,?4:9 3423 ,9/ 7:B
9 -:?3 .,>0> =0,7 49?0=0>? =,?0 4> >0? ?: (30=01:=0 9:849,7 49?0=0>? =,?0> ,=0
=0>;0.?4A07D ,9/ 0? @> ,7>: ,>>@80 ?3,? -,96> ,=0 =07@.?,9? ?: >,?4>1D /08,9/
1:= 7:,9> 41 ?30 494?4,7 /0-? -@=/09 4> ,-:A0 ;0= .09? :1 .@==09? 49.:80 42@=0 >3:B> ?30 /0-?>0=A4.0 -@=/09 1:= ?34> ;,=?4.@7,= .,>0 > .,9 -0 >009 49 ?30 @;;0=
;,907 49 >;4?0 :1 ?30 1,.? ?3,? =0,7 .:>? 4> ?30 >,80 49 -:?3 >0.09,=4:> ?30 /4>?=4-@?4:9
:1 =0,7 ;,D809?> /@=492 ?30 7:,9 7410 4> =,/4.,77D /4K0=09? 9 ;,=?4.@7,= B309 9:849,7
49?0=0>? =,?0 4> 0<@,7 ?: ?30 /08,9/ 1:= 7:,9> .,99:? -0 1@77D >,?4>F0/ 41 -,96> ,;;7D
?304= 07424-474?D .=4?0=4, 9 1,.? 49 , .:9?0C? :1 3423 49G,?4:9 /0-? B:@7/ -0 =0>?=4.?0/
?: , 70A07 :1 7:B0= 49 :=/0= ?: >,?4>1D ?30 07424-474?D .=4?0=4, >00 7:B ;,907 ?3@>
=0/@.492 ,A,47,-70 =0>:@=.0> 1:= .:9>@8;?4:9 2,49>? ?34> -,.62=:@9/ , =0/@.?4:9 :1
9:849,7 49?0=0>? =,?0> 70,A492 =0,7 =,?0> @9.3,920/ .,9 49.=0,>0 ?30 70A07 :1 /0-? ?3,?
3:@>03:7/> .,9 :-?,49 ,9/ 309.0 ?30 =0>:@=.0> ,A,47,-70 1:= .:9>@8;?4:9
BANCO DE ESPAÑA
37
DOCUMENTO DE TRABAJO N.º 0421
42@=0 Debt service burden (interest plus repayment of principal).
% of current
income
Inflation 7%, debt = 3 * income
40%
Inflation 2%, debt= 3 * income
35%
Banks' eligibility criteria
30%
25%
20%
15%
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
years
Debt service burden (interest plus repayment of principal).
% of current
income
inflation 7%, debt = 2,6 * income
40%
Inflation 2%, debt= 3 * income
35%
Banks' eligibility criteria
30%
25%
20%
15%
10%
1
2
3
4
5
6
7
8
years
BANCO DE ESPAÑA
38
DOCUMENTO DE TRABAJO N.º 0421
9
10
11
12
13
14
15
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