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

Francis Vitek

No 2014/200, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 95
Date: 2014-10-30
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Citations: View citations in EconPapers (21)

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