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Monetary Policy Analysis and Forecasting in the Group of Twenty: A Panel Unobserved Components Approach

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  • Mr. Francis Vitek

Abstract

This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty national economies along the lines of the Group of Twenty. 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 Bayesian framework for conditioning on judgment.

Suggested Citation

  • Mr. Francis Vitek, 2010. "Monetary Policy Analysis and Forecasting in the Group of Twenty: A Panel Unobserved Components Approach," IMF Working Papers 2010/152, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2010/152
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=23996
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    Cited by:

    1. Tamim Bayoumi & Trung Bui, 2011. "Apocalypse Then: The Evolution of the North Atlantic Economy and the Global Crisis," RBA Annual Conference Volume (Discontinued), in: Hugo Gerard & Jonathan Kearns (ed.),The Australian Economy in the 2000s, Reserve Bank of Australia.
    2. Mr. Tamim Bayoumi & Mr. Francis Vitek, 2013. "Macroeconomic Model Spillovers and Their Discontents," IMF Working Papers 2013/004, International Monetary Fund.
    3. Mr. Francis Vitek, 2012. "Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach," IMF Working Papers 2012/149, International Monetary Fund.
    4. Ms. Hélène Poirson & Mr. Sebastian Weber, 2011. "Growth Spillover Dynamics From Crisis to Recovery," IMF Working Papers 2011/218, International Monetary Fund.

    More about this item

    Keywords

    WP; monetary policy;

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