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

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  • Francis Vitek

Abstract

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.

Suggested Citation

  • Francis Vitek, 2012. "Policy Analysis and Forecasting in the World Economy; A Panel Unobserved Components Approach," IMF Working Papers 12/149, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:12/149
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=25974
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    References listed on IDEAS

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    1. Jan Vlcek & Scott Roger, 2012. "Macrofinancial Modeling At Central Banks; Recent Developments and Future Directions," IMF Working Papers 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 13/225, International Monetary Fund.
    2. Tamim Bayoumi & Trung Bui, 2011. "Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis," RBA Annual Conference Volume,in: Hugo Gerard & Jonathan Kearns (ed.), The Australian Economy in the 2000s Reserve Bank of Australia.
    3. Steiner, Andreas, 2014. "Reserve accumulation and financial crises: From individual protection to systemic risk," European Economic Review, Elsevier, vol. 70(C), pages 126-144.
    4. Francis Vitek, 2013. "Policy Analysis and Forecasting in the World Economy; A Panel Dynamic Stochastic General Equilibrium Approach," IMF Working Papers 13/253, International Monetary Fund.
    5. Tamim Bayoumi & Francis Vitek, 2013. "Macroeconomic Model Spillovers and Their Discontents," IMF Working Papers 13/4, International Monetary Fund.
    6. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
    7. International Monetary Fund, 2013. "German-Central European Supply Chain-Cluster Report; Staff Report, First Background Note, Second Background Note, Third Background Note," IMF Staff Country Reports 13/263, International Monetary Fund.

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