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Macrofinancial Analysis in the World Economy.

Author: Francis Vitek
Publisher: International Monetary Fund, 2015.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Francis Vitek
ISBN: 1513551140 9781513551142
OCLC Number: 933443468
Description: 1 online resource
Contents: Cover --
Contents --
I. Introduction --
II. The Theoretical Framework --
A. The Household Sector --
Consumption and Saving --
Labor Supply --
B. The Production Sector --
Output Demand --
Labor Demand and Investment --
Output Supply --
C. The Banking Sector --
Credit Demand --
Funding Demand and Provisioning --
Credit Supply --
D. The Trade Sector --
The Export Sector --
The Import Sector --
E. Monetary, Fiscal, and Macroprudential Policy --
The Monetary Authority --
The Fiscal Authority --
The Macroprudential Authority --
F. Market Clearing Conditions --
III. The Empirical Framework --
A. Endogenous Variables --
B. Exogenous Variables --
IV. Estimation --
A. Transformation of the Data Set --
B. Prior and Posterior Parameter Distributions --
V. Policy Analysis --
A. Impulse Response Functions --
B. Historical Decompositions --
VI. Spillover Analysis --
A. Simulated Conditional Betas --
B. Impulse Response Functions --
VII. Forecasting --
VIII. Conclusion --
Appendix A. Description of the Data Set --
Appendix B. Tables and Figures --
Table 1. Parameter Estimation Results --
Figure 1. IRFs of Macro Variables to a Domestic Productivity Shock --
Figure 2. IRFs of Financial Variables to a Domestic Productivity Shock --
Figure 3. IRFs of Macro Variables to a Domestic Labor Supply Shock --
Figure 4. IRFs of Financial Variables to a Domestic Labor Supply Shock --
Figure 5. IRFs of Macro Variables to a Domestic Consumption Demand Shock --
Figure 6. IRFs of Financial Variables to a Domestic Consumption Demand Shock --
Figure 7. IRFs of Macro Variables to a Domestic Investment Demand Shock --
Figure 8. IRFs of Financial Variables to a Domestic Investment Demand Shock --
Figure 9. IRFs of Macro Variables to a Domestic Monetary Policy Shock --
Figure 10. IRFs of Financial Variables to a Domestic Monetary Policy Shock. Figure 11. IRFs of Macro Variables to a Domestic Credit Risk Premium Shock --
Figure 12. IRFs of Financial Variables to a Domestic Credit Risk Premium Shock --
Figure 13. IRFs of Macro Variables to a Domestic Duration Risk Premium Shock --
Figure 14. IRFs of Financial Variables to a Domestic Duration Risk Premium Shock --
Figure 15. IRFs of Macro Variables to a Domestic Equity Risk Premium Shock --
Figure 16. IRFs of Financial Variables to a Domestic Equity Risk Premium Shock --
Figure 17. IRFs of Macro Variables to a Domestic Fiscal Expenditure Shock --
Figure 18. IRFs of Financial Variables to a Domestic Fiscal Expenditure Shock --
Figure 19. IRFs of Macro Variables to a Domestic Fiscal Revenue Shock --
Figure 20. IRFs of Financial Variables to a Domestic Fiscal Revenue Shock --
Figure 21. IRFs of Macro Variables to a Domestic Lending Rate Markup Shock --
Figure 22. IRFs of Financial Variables to a Domestic Lending Rate Markup Shock --
Figure 23. IRFs of Macro Variables to a Domestic Capital Requirement Shock --
Figure 24. IRFs of Financial Variables to a Domestic Capital Requirement Shock --
Figure 25. IRFs of Macro Variables to a Domestic Loan Default Shock --
Figure 26. IRFs of Financial Variables to a Domestic Loan Default Shock --
Figure 27. IRFs of Macro Variables to an Energy Commodity Price Markup Shock --
Figure 28. IRFs of Financial Variables to an Energy Commodity Price Markup Shock --
Figure 29. IRFs of Macro Variables to a Nonenergy Commodity Price Markup Shock --
Figure 30. IRFs of Financial Variables to a Nonenergy Commodity Price Markup Shock --
Figure 31. Historical Decompositions of Consumption Price Inflation --
Figure 32. Historical Decompositions of Output Growth --
Figure 33. Simulated Conditional Betas of Output --
Figure 34. Peak IRFs to Foreign Productivity Shocks --
Figure 35. Peak IRFs to Foreign Labor Supply Shocks. Figure 36. Peak IRFs to Foreign Consumption Demand Shocks --
Figure 37. Peak IRFs to Foreign Investment Demand Shocks --
Figure 38. Peak IRFs to Foreign Monetary Policy Shocks --
Figure 39. Peak IRFs to Foreign Credit Risk Premium Shocks --
Figure 40. Peak IRFs to Foreign Duration Risk Premium Shocks --
Figure 41. Peak IRFs to Foreign Equity Risk Premium Shocks --
Figure 42. Peak IRFs to Foreign Fiscal Expenditure Shocks --
Figure 43. Peak IRFs to Foreign Fiscal Revenue Shocks --
Figure 44. Peak IRFs to Foreign Lending Rate Markup Shocks --
Figure 45. Peak IRFs to Foreign Capital Requirement Shocks --
Figure 46. Peak IRFs to Foreign Loan Default Shocks --
Figure 47. Forecast Performance Evaluation Statistics --
Figure 48. Sequential Unconditional Forecasts of Consumption Price Inflation --
Figure 49. Sequential Unconditional Forecasts of Output Growth --
References.

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