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Monetary Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach

Author/Editor: Vitek, Francis
Authorized for Distribution: October 1, 2009
Electronic Access: Free Full Text (PDF file size is 1,314KB)
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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 panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into its fifteen largest national economies. This structural macroeconometric model features extensive linkages between the real and financial sectors, both within and across economies. A variety of monetary policy analysis and forecasting applications of the estimated model are demonstrated, based on a novel Bayesian framework for conditioning on judgment.
 
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Series: Working Paper No. 09/238
Subject(s): Business cycles | Cross country analysis | Developed countries | Economic forecasting | Economic models | Emerging markets | Financial sector | Inflation | International financial system | Monetary policy | Monetary transmission mechanism | Real sector
Author's keyword(s): Monetary policy analysis; forecasting; world economy; panel unobserved components model; Bayesian conditioning on judgment.
 
English  
    Published:   October 1, 2009        
            Format:   Paper
    Stock No:   WPIEA2009238   Pages:   42
    Price:   US$18.00 (Academic Rate: US$18.00 )
        
     
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