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

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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.

Suggested Citation

  • Francis Vitek, 2009. "Monetary Policy Analysis and Forecasting in the World Economy; A Panel Unobserved Components Approach," IMF Working Papers 09/238, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:09/238
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    References listed on IDEAS

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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. Tovar, Camilo Ernesto, 2009. "DSGE Models and Central Banks," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-31.
    3. 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.
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    Cited by:

    1. 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.
    2. 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.
    3. Helene Poirson Ward & Sebastian Weber, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 11/218, International Monetary Fund.

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