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Monetary Policy Analysis and Forecasting in the World Economy

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  • Francis Vitek

Abstract

This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into its fifteen largest national economies. This structural macroeconometric model features extensive linkages between the real and financial sectors, both within and across economies. A variety of monetary policy analysis and forecasting applications of the estimated model are demonstrated, based on a novel Bayesian framework for conditioning on judgment.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 09/238.

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Length: 42
Date of creation: 01 Oct 2009
Date of revision:
Handle: RePEc:imf:imfwpa:09/238

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Related research

Keywords: Developed countries; Economic forecasting; Economic models; Emerging markets; Financial sector; Monetary transmission mechanism; inflation; monetary policy; monetary conditions; nominal interest rate; price inflation; domestic monetary policy; monetary transmission; monetary fund; rational expectations; monetary policy rule; real interest rate; inflation targeting; real value; price level; monetary policies; inflation targeting regime; effective exchange rates; inflation dynamics; autonomous monetary policies; fall in inflation; real interest rates; monetary transmission mechanisms; inflationary pressure; loose monetary policies;

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References

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  1. Sims, Christopher A., 2008. "Improving monetary policy models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2460-2475, August.
  2. Klein, Paul, 2000. "Using the generalized Schur form to solve a multivariate linear rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 24(10), pages 1405-1423, September.
  3. Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 3(16), pages 1-31.
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Citations

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Cited by:
  1. Bayoumi, Tamim & Vitek, Francis, 2011. "Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis," CEPR Discussion Papers 8497, C.E.P.R. Discussion Papers.
  2. International Monetary Fund, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 11/218, International Monetary Fund.
  3. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.

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