The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
This paper documents the theoretical structure and empirical properties of the latest
version of the Global Macrofinancial Model (GFM). This dynamic stochastic general
equilibrium model of the world economy, disaggregated into forty national economies,
was developed to support multilaterally consistent macrofinancial policy, risk and
spillover analysis. It 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
GFM are demonstrated. These include quantifying the monetary, fiscal and
macroprudential policy transmission mechanisms, accounting for business cycle
fluctuations, and generating relatively accurate forecasts of inflation and output growth.