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Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
Author:
Mr. Francis Vitek
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https://orcid.org/0000-0001-8661-7519
Series:
IMF Working Papers
Volume/Issue:
Volume 2014: Issue 200
Language:
English
Publication Date:
30 Oct 2014
DOI:
https://doi.org/10.5089/9781616355784.001
ISBN:
9781616355784
ISSN:
1018-5941
Pages:
95
Keywords:
WP; Monetary policy analysis; Fiscal policy analysis; Spillover analysis; Forecasting; World economy; Panel dynamic stochastic general equilibrium model; Bayesian econometrics; price inflation; shadow price; recipient economy; constant returns to scale; marginal revenue; stochastic process; utility function; Phillips curve; financial asset; risk premium shock; markup shock; production function; Consumption; Terms of trade; Return on investment; Dynamic stochastic general equilibrium models; Inflation; Global; Africa
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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 forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary and fiscal transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund