Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
IMF Working Papers, December 19, 2013
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- Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
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Bibliographic details
- Authors: Francis Vitek
- Published: December 19, 2013
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484314609.001
Model description
- Develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies.
- The panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium (DSGE) model.
- Model features:
- a monetary transmission mechanism,
- a fiscal transmission mechanism,
- extensive macrofinancial linkages both within and across economies.
Methodology
- Estimation and conditioning:
- Estimated within a Bayesian framework for conditioning on judgment.
- Model class and components:
- Panel unobserved components model incorporating DSGE structure.
- Stochastic processes and shocks noted in keywords include: commodity price markup shock, markup shock, monetary policy shock, world energy commodity price markup shock, price markup shock.
- Structural microfoundations referenced in keywords include: utility function, constant returns to scale.
Applications, analysis, and demonstrated uses
- A variety of applications are demonstrated using the estimated model:
- Monetary policy analysis.
- Fiscal policy analysis.
- Spillover analysis.
- Forecasting applications.
- Macro variables and realms of analysis highlighted:
- Central bank policy rate, Financial services, Inflation, Market interest rates, National accounts, Prices, Return on investment, Terms of trade, International trade.
Key statistics and publication metadata
- Author: Francis Vitek
- Publication date: December 19, 2013
- Series: Working Paper No. 2013/253
- Issue: 253
- Volume: 2013
- Pages: 89
- DOI: https://doi.org/10.5089/9781484314609.001
- ISBN: 9781484314609
- ISSN: 1018-5941
- Stock No: WPIEA2013253
Subject and keywords (as provided)
- 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
Francis Vitek, "Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach", IMF Working Papers 2013, 253 (2013), DOI: https://doi.org/10.5089/9781484314609.001
Content in this bundle
- PDP-Working Paper