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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 2012: Issue 149
Language:
English
Publication Date:
01 Jun 2012
DOI:
https://doi.org/10.5089/9781475504187.001
ISBN:
9781475504187
ISSN:
1018-5941
Pages:
77
Keywords:
WP; interest rate; monetary policy; risk premium; Monetary policy analysis; Fiscal policy analysis; Spillover analysis; Forecasting; World economy; Panel unobserved components model; Bayesian econometrics; terms of trade; price inflation; transmission mechanism; business cycle; cross-economy equality restriction; recipient economy; current account; policy interest rate; Current account balance; Central bank policy rate; Market interest rates; Return on investment; Inflation; 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 structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within and across economies. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund