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

June 1, 2012

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 features 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: Balance of payments, Central bank policy rate, Current account balance, Financial services, Inflation, Market interest rates, National accounts, Prices, Return on investment

Keywords: Bayesian econometrics, business cycle, Central bank policy rate, cross-economy equality restriction, current account, Current account balance, Fiscal policy analysis, Forecasting, Global, Inflation, interest rate, Market interest rates, monetary policy, Monetary policy analysis, Panel unobserved components model, policy interest rate, price inflation, recipient economy, Return on investment, risk premium, Spillover analysis, terms of trade, transmission mechanism, World economy, WP

Pages:
77
Volume:
2012
DOI:
https://doi.org/10.5089/9781475504187.001
Issue:
149
Series:
Working Paper No. 2012/149
Stock No:
WPIEA2012149
ISBN:
9781475504187
ISSN:
1018-5941

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