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Policy Analysis and Forecasting in the World Economy.

Author: Francis Vitek
Publisher: Washington : International Monetary Fund, 2013.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Vitek, Francis.
Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach.
Washington : International Monetary Fund, ©2013
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Francis Vitek
ISBN: 9781484315385 1484315383
OCLC Number: 869094902
Notes: 32. Conditional Forecasts of Consumption Price Inflation.
Description: 1 online resource (90 pages).
Contents: Cover; Contents; I. Introduction; II. The Panel Dynamic Stochastic General Equilibrium Model; A. The Household Sector; B. The Production Sector; C. The Trade Sector; D. Monetary and Fiscal Policy; E. Market Clearing Conditions; III. The Panel Unobserved Components Model; A. Cyclical Components; B. Trend Components; IV. Estimation; A. Estimation Procedure; B. Estimation Results; V. Monetary and Fiscal Policy Analysis; A. Impulse Response Functions; B. Forecast Error Variance Decompositions; C. Historical Decompositions; VI. Spillover Analysis; A. Simulated Conditional Betas. B. Impulse Response FunctionsVII. Forecasting; A. Forecasting Procedure; B. Forecasting Results; VIII. Conclusion; Appendixes; Appendix A. Description of the Multivariate Panel Data Set; Appendix B. Tables and Figures; Tables; 1. Parameter Estimation Results; Figures; 1. Output Gap Estimates; 2. Impulse Responses to a Domestic Productivity Shock; 3. Impulse Responses to a Domestic Intertemporal Substitution Shock; 4. Impulse Responses to a Domestic Monetary Policy Shock; 5. Impulse Responses to a Domestic Credit Risk Premium Shock. 6. Impulse Responses to a Domestic Duration Risk Premium Shock7. Impulse Responses to a Domestic Equity Risk Premium Shock; 8. Impulse Responses to a Domestic Fiscal Expenditure Shock; 9. Impulse Responses to a Domestic Fiscal Revenue Shock; 10. Impulse Responses to a World Energy Commodity Price Markup Shock; 11. Impulse Responses to a World Nonenergy Commodity Price Markup Shock; 12. Forecast Error Variance Decompositions of Consumption Price Inflation; 13. Forecast Error Variance Decompositions of Output; 14. Forecast Error Variance Decompositions of Domestic Demand. 15. Forecast Error Variance Decompositions of the Nominal Policy Interest Rate16. Forecast Error Variance Decompositions of the Real Effective Exchange Rate; 17. Forecast Error Variance Decompositions of the Fiscal Balance Ratio; 18. Forecast Error Variance Decompositions of the Current Account Balance Ratio; 19. Historical Decompositions of Consumption Price Inflation; 20. Historical Decompositions of Output Growth; 21. Simulated Conditional Betas of the Output Gap; 22. Peak Impulse Responses to Foreign Productivity Shocks. 23. Peak Impulse Responses to Foreign Intertemporal Substitution Shocks24. Peak Impulse Responses to Foreign Monetary Policy Shocks; 25. Peak Impulse Responses to Foreign Credit Risk Premium Shocks; 26. Peak Impulse Responses to Foreign Duration Risk Premium Shocks; 27. Peak Impulse Responses to Foreign Equity Risk Premium Shocks; 28. Peak Impulse Responses to Foreign Fiscal Expenditure Shocks; 29. Peak Impulse Responses to Foreign Fiscal Revenue Shocks; 30. Sequential Unconditional Forecasts of Consumption Price Inflation; 31. Sequential Unconditional Forecasts of Output Growth.
Series Title: IMF Working Papers.

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 condition.

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