Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach
78 Pages Posted: 10 Aug 2012
Date Written: June 2012
Abstract
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features 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 conditioning on judgment.
Keywords: Monetary Policy Analysis, Fiscal Policy Analysis, Spillover Analysis, Forecasting, World Economy, Panel Unobserved Components Model, Bayesian Econometrics, Forecasting Models, Monetary Transmission Mechanism, Spillovers, inflation, domestic demand, terms of trade, price inflation, monetary policy, current account balance, output growth, world economy, terms of trade shocks, trade openness, rational expectations, trade shocks, increase in inflation, bilateral trade, open economy, trading partners, net exports, price level, foreign exchange, inflation targeting, trade relationships, dynamic effects, relative price, inflation targeting regime, exchange rate regime, effective exchange rates, com
JEL Classification: C11, C33, C51, C53, E31, E32, E44, E52, E62, F41
Suggested Citation: Suggested Citation
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