Policy, Risk and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
IMF Working Papers, April 4, 2017
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- Policy, Risk and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
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Bibliographic details
- Authors: Francis Vitek
- Published: April 4, 2017
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475592757.001
Overview
- Author: Francis Vitek
- Date: April 4, 2017
- Purpose: Develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis.
- Model type: Panel dynamic stochastic general equilibrium model.
Model features and linkages
- Incorporates a range of nominal and real rigidities.
- Extensive macrofinancial linkages and diverse spillover transmission channels.
- Financial intermediation channels include bank and capital market based financial intermediation.
- Financial accelerator mechanisms linked to the values of the housing and physical capital stocks.
Demonstrated applications and empirical performance
- A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated.
- Applications include:
- Quantifying the monetary, fiscal and macroprudential transmission mechanisms.
- Accounting for business cycle fluctuations.
- Generating relatively accurate forecasts of inflation and output growth.
Subjects and keywords (as provided)
- Subject: Banking, Consumption, Financial institutions, International trade, Loans, Mortgages, National accounts, Return on investment, Terms of trade
- Keywords: Africa, Bayesian econometrics, constant returns to scale, Consumption, consumption price inflation, default rate, demand shock, Fiscal policy analysis, Forecasting, Global, Loans, Macroprudential policy analysis, marginal revenue, markup shock, Monetary policy analysis, money stock, Mortgages, output price inflation, physical capital, price inflation, Return on investment, Spillover analysis, Terms of trade, transfer payment, utility function, World economy, WP
Content in this bundle
- wp1789 — Appendix A–B summary