IMF Working Papers

Macrofinancial Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

By Francis Vitek

October 28, 2015

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Francis Vitek. Macrofinancial Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach, (USA: International Monetary Fund, 2015) accessed September 19, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Subject: Bank credit, Banking, Central bank policy rate, Consumption, Dynamic stochastic general equilibrium models, Econometric analysis, Financial services, Inflation, Market interest rates, National accounts, Prices

Keywords: Africa, Bayesian econometrics, Central bank policy rate, Constant returns to scale, Consumption, Demand shock, Dynamic stochastic general equilibrium models, Financial asset, Fiscal policy analysis, Forecasting, Global, Inflation, Macroprudential policy analysis, Marginal revenue, Market interest rates, Monetary policy analysis, Phillips curve, Recipient economy, Shadow price, Spillover analysis, Utility function, World economy, WP

Publication Details

  • Pages:

    112

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

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  • Series:

    Working Paper No. 2015/227

  • Stock No:

    WPIEA2015227

  • ISBN:

    9781513537429

  • ISSN:

    1018-5941