IMF Working Papers

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

By Francis Vitek

December 19, 2013

Download PDF

Preview Citation

Format: Chicago

Francis Vitek. Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach, (USA: International Monetary Fund, 2013) accessed September 19, 2024
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.

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

Keywords: Central bank policy rate, Commodity price markup shock, Constant returns to scale, Excess demand, Fiscal policy analysis, Forecasting, Global, Inflation, Market interest rates, Markup shock, Monetary policy analysis, Monetary policy shock, Phillips curve, Price inflation, Price markup shock, Recipient economy, Return on investment, Spillover analysis, Stochastic process, Terms of trade, Utility function, World energy commodity price markup shock, WP

Publication Details

  • Pages:

    89

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2013/253

  • Stock No:

    WPIEA2013253

  • ISBN:

    9781484314609

  • ISSN:

    1018-5941