Macrofinancial Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
IMF Working Papers, October 28, 2015
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Bibliographic details
- Authors: Francis Vitek
- Published: October 28, 2015
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513537429.001
Overview and Model Description
- Develops a structural macroeconometric model of the world economy, disaggregated into forty national economies.
- Model type: panel dynamic stochastic general equilibrium model.
- Features:
- A range of nominal and real rigidities.
- Extensive macrofinancial linkages.
- Diverse spillover transmission channels.
Applications and Demonstrated Uses
- Monetary policy analysis.
- Fiscal policy analysis.
- Macroprudential policy analysis.
- Spillover analysis.
- Forecasting applications of the estimated model.
Key Findings and Performance
- Quantifies the monetary, fiscal and macroprudential transmission mechanisms.
- Accounts for business cycle fluctuations.
- Generates relatively accurate forecasts of inflation and output growth.
Subjects and Keywords (as provided)
- Subjects: 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.