Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

Author/Editor:

Francis Vitek

Publication Date:

December 19, 2013

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 thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within and across economies. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.

Series:

Working Paper No. 2013/253

Subject:

Central bank policy rate Financial services Inflation International trade Market interest rates National accounts Prices Return on investment Terms of trade

English

Publication Date:

December 19, 2013

ISBN/ISSN:

9781484314609/1018-5941

Stock No:

WPIEA2013253

Pages:

89

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