Monetary Policy Analysis and Forecasting in the Group of Twenty : A Panel Unobserved Components Approach

Author/Editor:

Francis Vitek

Publication Date:

June 1, 2010

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 panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty national economies along the lines of the Group of Twenty. 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 Bayesian framework for conditioning on judgment.

Series:

Working Paper No. 10/152

Subject:

English

Publication Date:

June 1, 2010

ISBN/ISSN:

9781455201358/1018-5941

Stock No:

WPIEA2010152

Format:

Paper

Pages:

47

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