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Monetary Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach
Author:
Mr. Francis Vitek
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https://orcid.org/0000-0001-8661-7519
Series:
IMF Working Papers
Volume/Issue:
Volume 2009: Issue 238
Language:
English
Publication Date:
01 Oct 2009
DOI:
https://doi.org/10.5089/9781451873856.001
ISBN:
9781451873856
ISSN:
1018-5941
Pages:
42
Keywords:
WP; mover accent; Monetary policy analysis; forecasting; world economy; panel unobserved components model; Bayesian conditioning on judgment; consumption price inflation; peak inflation control effect; output growth; inflation rise; stochastic process; cross economy equality restriction; response coefficient; monetary policy shock; Short term interest rates; Output gap; Inflation; Real effective exchange rates; Long term interest rates; Global
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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.
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This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into its fifteen largest national economies. This structural macroeconometric model features 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 novel Bayesian framework for conditioning on judgment.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2009: Issue 238