Policy, Risk and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

April 4, 2017

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Francis Vitek. Policy, Risk and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach, (USA: International Monetary Fund, 2017) accessed September 19, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial intermediation, with financial accelerator mechanisms linked to the values of the housing and physical capital stocks. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

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

Publication Details

Pages:

122
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2017/089
Stock No:

WPIEA2017089
ISBN:

9781475592757
ISSN:

1018-5941

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