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Monetary Policy Analysis and Forecasting in the Group of Twenty

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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 twenty national economies along the lines of the Group of Twenty. 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 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 10/152.

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Length: 47
Date of creation: 01 Jun 2010
Date of revision:
Handle: RePEc:imf:imfwpa:10/152

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Related research

Keywords: Group of Twenty; Monetary policy; Monetary transmission mechanism; Economic forecasting; Inflation; Production growth; Business cycles; Economic models; monetary conditions; nominal interest rate; real interest rate; monetary fund; price inflation; inflation targeting; domestic monetary policy; rational expectations; inflation targeting regime; real value; monetary policies; monetary policy rule; autonomous monetary policies; real interest rates; effective exchange rates; fall in inflation; money market; inflationary pressure; rise in inflation; loose monetary policies;

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Cited by:
  1. International Monetary Fund, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 11/218, International Monetary Fund.
  2. Tamim Bayoumi & Francis Vitek, 2013. "Macroeconomic Model Spillovers and Their Discontents," IMF Working Papers 13/4, International Monetary Fund.
  3. Trung Bui & Tamim Bayoumi, 2011. "Apocalypse then," IMF Working Papers 11/212, International Monetary Fund.

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