Cover IMF Working Papers
Policy, Risk and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
Author:
Mr. Francis Vitek
Search for other papers by Mr. Francis Vitek in
Current site
Google ScholarClose
https://orcid.org/0000-0001-8661-7519
Series:
IMF Working Papers
Volume/Issue:
Volume 2017: Issue 089
Language:
English
Publication Date:
04 Apr 2017
DOI:
https://doi.org/10.5089/9781475592757.001
ISBN:
9781475592757
ISSN:
1018-5941
Pages:
122
Keywords:
WP; marginal revenue; Monetary policy analysis; Fiscal policy analysis; Macroprudential policy analysis; Spillover analysis; Forecasting; World economy; Bayesian econometrics; demand shock; price inflation; physical capital; utility function; constant returns to scale; output price inflation; transfer payment; markup shock; money stock; default rate; consumption price inflation; Mortgages; Consumption; Return on investment; Terms of trade; Loans; Global; Africa
Legal-disclaimer:
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.
Download PDF (3.9 MB) Download Epub
This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis. This panel dynamic stochastic general equilibrium model 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 estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2017: Issue 089