Monetary Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach / Francis Vitek.

Format:

Book

Government document

Author/Creator:

Vitek, Francis.

Contributor:

International Monetary Fund. Strategy, Policy, and Review Department.

Series:

IMF Working Papers; Working Paper ; No. 2009/238

IMF Working Papers

Language:

English

Subjects (All):

Monetary policy--Econometric models.

Monetary policy.

Business cycles--Econometric models.

Business cycles.

Physical Description:

42 p. : ill.

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2009.

Language Note:

English

Summary:

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.

Contents:

Intro

Contents

I. Introduction

II. The Panel Unobserved Components Model

A. Cyclical Components

B. Trend Components

III. Estimation

A. Estimation Procedure

B. Estimation Results

IV. Monetary Policy Analysis

A. Vector Autocorrelations

B. Impulse Response Functions

C. Forecast Error Variance Decompositions

D. Historical Decompositions

V. Forecasting

A. Forecasting Procedure

B. Forecasting Results

VI. Conclusion

Tables

1. Parameter Estimation Results

Figures

1. Output Gap Estimates

2. Monetary Conditions Gap Estimates

3. Vector Autocorrelations

4. Impulse Responses to a Domestic Supply Shock

5. Impulse Responses to a Foreign Supply Shock

6. Impulse Responses to a Domestic Demand Shock

7. Impulse Responses to a Foreign Demand Shock

8. Impulse Responses to a Domestic Monetary Policy Shock

9. Impulse Responses to a Foreign Monetary Policy Shock

10. Impulse Responses to a World Commodity Price Shock

11. Forecast Error Variance Decompositions of Inflation

12. Forecast Error Variance Decompositions of the Output Gap

13. Forecast Error Variance Decompositions of the Monetary Conditions Gap

14. Historical Decompositions of Inflation

15. Historical Decompositions of the Output Gap

16. Historical Decompositions of the Monetary Conditions Gap

17. Conditional Forecasts of Inflation

18. Conditional Forecasts of Output Growth

Appendix. Description of the Data Set

References.

Notes:

"October 2009."

Description based on print version record.

ISBN:

9786612844393

9781462353743

1462353746

9781451873856

1451873859

9781452704654

1452704651

9781282844391

1282844393

OCLC:

680613638