El papel de la confianza en la evolución de la economía españolaevidencia empírica a partir de un modelo ARDL

Abstract

The confidence among economic agents is a key variable containing qualitative information and that, insofar as it affects their choices of consumption, investment, etc. it could influence the progress of the economy. At the same time, the behavior of this variable may also be conditioned by the evolution of certain economic indicators. The aim of this paper is to advance in the knowledge of the nature of the relationship between confidence, measured by the Economic Sentiment Index (ESI), with some of the "fundamentals" of the Spanish economy. In particular, within the framework of a model that aims to deepen this type of relations, we try to determine whether confidence is an explained or explanatory variable. To this end, along with confidence, we include a number of variables such as risk premium of sovereign debt, unemployment, levels of public and private debt, inflation and the net lending/net borrowing of the total economy. For the purpose of obtaining some empirical evidence on the exogenous or endogenous character of the above mentioned variables an ARDL (Autoregressive-Distributed Lag) model is formulated. This model is estimated with quarterly data in the Spanish economy for the period between 1990 and 2012. Among the outcomes resulting from the application of this methodology include the following. On the one hand, unemployment emerges as the model-dependent variable and, on the other hand, empirical evidence reflects the existence of an inverse relationship between ESI and unemployment. Furthermore, the Granger test suggests a direction of causality that goes from confidence to unemployment.