Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach

78 Pages Posted: 10 Aug 2012

See all articles by Francis Vitek

Francis Vitek

International Monetary Fund (IMF)

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

Vitek, Francis, Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach (June 2012). IMF Working Paper No. 12/149, Available at SSRN: https://ssrn.com/abstract=2127513

Francis Vitek (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
72
Abstract Views
538
Rank
585,002
PlumX Metrics