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Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
Author: Mr. Francis Vitekhttps://orcid.org/0000-0001-8661-7519
Series:
IMF Working Papers
Volume/Issue:
Volume 2013: Issue 253
Language:
English
Publication Date:
19 Dec 2013
DOI:
https://doi.org/10.5089/9781484314609.001
ISBN:
9781484314609
ISSN:
1018-5941
Pages:
89
Keywords:
WP; Monetary policy analysis; Fiscal policy analysis; Spillover analysis; Forecasting; markup shock; price inflation; Phillips curve; recipient economy; excess demand; constant returns to scale; stochastic process; utility function; world energy commodity price markup shock; price markup shock; monetary policy shock; commodity price markup shock; Central bank policy rate; Terms of trade; Return on investment; Market interest rates; 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 encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring 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.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund