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A Medium-Scale DSGE Model for the Integrated Policy Framework

Author

Listed:
  • Tobias Adrian

    (International Monetary Fund)

  • Vitor Gaspar

    (International Monetary Fund)

  • Francis Vitek

    (International Monetary Fund)

Abstract

This paper jointly analyzes the optimal conduct of monetary policy, foreign exchange intervention, fiscal policy, macroprudential policy, and capital flow management. This policy analysis is based on an estimated medium-scale dynamic stochastic general equilibrium (DSGE) model of the world economy, featuring a range of nominal and real rigidities, extensive macrofinancial linkages with endogenous risk, and diverse spillover transmission channels. In the pursuit of inflation and output stabilization objectives, it is optimal to adjust all policies in response to global financial cycle upturns and downturns when feasible—including foreign exchange intervention and capital flow management under some conditions—to widely varying degrees depending on the structural characteristics of the economy. The framework is applied empirically to four small open advanced and emerging market economies.

Suggested Citation

  • Tobias Adrian & Vitor Gaspar & Francis Vitek, 2024. "A Medium-Scale DSGE Model for the Integrated Policy Framework," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 1-123, October.
    • Handle: RePEc:ijc:ijcjou:y:2024:q:4:a:1
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    References listed on IDEAS

    as
    1. Tobias Adrian & Vitor Gaspar & Francis Vitek, 2024. "A Medium-Scale DSGE Model for the Integrated Policy Framework," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 1-123, October.
    2. Mr. Ruy Lama & Juan Pablo Medina, 2020. "Shocks Matter: Managing Capital Flows with Multiple Instruments in Emerging Economies," IMF Working Papers 2020/097, International Monetary Fund.
    3. Mr. Suman S Basu & Ms. Emine Boz & Ms. Gita Gopinath & Mr. Francisco Roch & Ms. Filiz D Unsal, 2020. "A Conceptual Model for the Integrated Policy Framework," IMF Working Papers 2020/121, International Monetary Fund.
    4. Erceg, Christopher J. & Henderson, Dale W. & Levin, Andrew T., 2000. "Optimal monetary policy with staggered wage and price contracts," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 281-313, October.
    5. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
    6. Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
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    Cited by:

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    2. Nieminen, Mika & Norring, Anni, 2025. "What motives and conditions drive countries to adopt macroprudential and capital management measures?," BOFIT Discussion Papers 3/2025, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Leonid Serkov & Sergey Krasnykh, 2023. "The Specific Behavior of Economic Agents with Heterogeneous Expectations in the New Keynesian Model with Rigid Prices and Wages," Mathematics, MDPI, vol. 11(4), pages 1-17, February.
    4. Gan-Ochir Doojav & Munkhbayar Gantumur, 2023. "An estimated model of a commodity-exporting economy for the integrated policy framework: evidence from Mongolia," International Economics and Economic Policy, Springer, vol. 20(4), pages 651-708, October.
    5. Tobias Adrian & Vitor Gaspar & Francis Vitek, 2024. "A Medium-Scale DSGE Model for the Integrated Policy Framework," International Journal of Central Banking, International Journal of Central Banking, vol. 20(4), pages 1-123, October.
    6. Yasin Mimir & Lorenzo Ricci, 2024. "Financial imbalances and macroeconomic tail risks: A structural regime-switching investigation," Working Papers 64, European Stability Mechanism, revised 15 Nov 2024.
    7. Javkhlan Ganbayar, 2024. "Effects of Expansionary Fiscal Policy in a Commodity-Exporting Economy: Evidence from Mongolia," Bulletin of Applied Economics, Risk Market Journals, vol. 11(1), pages 15-39.

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