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

Author/Editor:

Francis Vitek

Publication Date:

October 1, 2009

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 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.

Series:

Working Paper No. 2009/238

Subject:

Financial services Foreign exchange Inflation Long term interest rates Output gap Prices Production Real effective exchange rates Short term interest rates

English

Publication Date:

October 1, 2009

ISBN/ISSN:

9781451873856/1018-5941

Stock No:

WPIEA2009238

Pages:

42

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