Monetary Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach

Francis Vitek

No 2009/238, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 42
Date: 2009-10-01
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Citations: View citations in EconPapers (5)

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