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

Francis Vitek

No 2017/089, IMF Working Papers from International Monetary Fund

Abstract: 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.

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 (search for similar items in EconPapers)
Pages: 122
Date: 2017-04-04
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Citations: View citations in EconPapers (15)

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