Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

Francis Vitek

No 2013/253, 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 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.

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 (search for similar items in EconPapers)
Pages: 89
Date: 2013-12-19
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Citations: View citations in EconPapers (6)

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