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

Author/Editor:

Francis Vitek

Publication Date:

October 28, 2015

Electronic Access:

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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 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.

Series:

Working Paper No. 15/227

English

Publication Date:

October 28, 2015

ISBN/ISSN:

9781513537429/1018-5941

Stock No:

WPIEA2015227

Format:

Paper

Pages:

112

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