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Policy Analysis and Forecasting in the World Economy


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  • Francis Vitek


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.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 12/149.

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Length: 77
Date of creation: 01 Jun 2012
Date of revision:
Handle: RePEc:imf:imfwpa:12/149

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Keywords: Monetary transmission mechanism; Spillovers; Forecasting models; 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; commodity prices; open economies; inflation averages; exchange rate fluctuations; trade shock; exchange rate regimes; fall in inflation; net exporters; international trade; real value; multilateral surveillance; trade relationship; rise in inflation; low trade; exchange rate risk; terms of trade shock; world output;

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  1. Francis Vitek, 2012. "Policy Analysis and Forecasting in the World Economy," IMF Working Papers, International Monetary Fund 12/149, International Monetary Fund.
  2. Jan Vlcek & Scott Roger, 2012. "Macrofinancial Modeling At Central Banks," IMF Working Papers, International Monetary Fund 12/21, International Monetary Fund.
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Cited by:
  1. Francis Vitek, 2013. "Spillovers to and from the Nordic Economies: A Macroeconometric Model Based Analysis," IMF Working Papers, International Monetary Fund 13/225, International Monetary Fund.
  2. Tamim Bayoumi & Francis Vitek, 2013. "Macroeconomic Model Spillovers and Their Discontents," IMF Working Papers, International Monetary Fund 13/4, International Monetary Fund.
  3. Francis Vitek, 2013. "Policy Analysis and Forecasting in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach," IMF Working Papers, International Monetary Fund 13/253, International Monetary Fund.
  4. Bayoumi, Tamim & Bui, Trung, 2011. "Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8688, C.E.P.R. Discussion Papers.
  5. Francis Vitek, 2012. "Policy Analysis and Forecasting in the World Economy," IMF Working Papers, International Monetary Fund 12/149, International Monetary Fund.


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