Monetary Policy Analysis and Forecasting in the Group of Twenty: A Panel Unobserved Components Approach
IMF Working Papers, June 1, 2010
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- Monetary Policy Analysis and Forecasting in the Group of Twenty: A Panel Unobserved Components Approach
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Bibliographic details
- Authors: Francis Vitek
- Published: June 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455201358.001
Summary
- This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty national economies along the lines of the Group of Twenty.
- The estimated model is structural and macroeconometric, featuring extensive linkages between the real and financial sectors, both within and across economies.
- A variety of monetary policy analysis and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.
Model features
- Panel unobserved components model covering twenty national economies (Group of Twenty).
- Structural macroeconometric specification.
- Extensive linkages between:
- Real sector variables.
- Financial sector variables.
- Cross-country linkages across the twenty economies.
- Bayesian framework used for conditioning on judgment.
Applications and analytic use
- Demonstrates monetary policy analysis applications using the estimated model.
- Demonstrates forecasting applications using the estimated model.
- The Bayesian conditioning framework supports judgmental adjustments in analysis and forecasts.
Subject classifications and keywords
- Subject: Business cycles, Inflation, Long term interest rates, Output gap, Short term interest rates
- Keywords: monetary policy, WP