Macrofinancial Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

Francis Vitek

No 2015/227, 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, 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; shadow price; recipient economy; constant returns to scale; financial asset; utility function; Phillips curve; Market interest rates; Consumption; Inflation; Central bank policy rate; Dynamic stochastic general equilibrium models; Global; Africa (search for similar items in EconPapers)
Pages: 112
Date: 2015-10-28
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Citations: View citations in EconPapers (11)

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