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