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

Francis Vitek

No 2012/149, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 77
Date: 2012-06-01
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Citations: View citations in EconPapers (8)

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