Macrofinancial Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach / Francis Vitek.

Format:

Book

Government document

Author/Creator:

Vitek, Francis.

Series:

IMF Working Papers; Working Paper ; No. 2015/227

IMF Working Papers

Language:

English

Subjects (All):

Macroeconomics--Econometric models.

Macroeconomics.

Monetary policy--Econometric models.

Monetary policy.

Bank loans--Econometric models.

Bank loans.

Physical Description:

1 online resource (113 pages).

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2015.

Summary:

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Contents:

Cover

Contents

I. Introduction

II. The Theoretical Framework

A. The Household Sector

Consumption and Saving

Labor Supply

B. The Production Sector

Output Demand

Labor Demand and Investment

Output Supply

C. The Banking Sector

Credit Demand

Funding Demand and Provisioning

Credit Supply

D. The Trade Sector

The Export Sector

The Import Sector

E. Monetary, Fiscal, and Macroprudential Policy

The Monetary Authority

The Fiscal Authority

The Macroprudential Authority

F. Market Clearing Conditions

III. The Empirical Framework

A. Endogenous Variables

B. Exogenous Variables

IV. Estimation

A. Transformation of the Data Set

B. Prior and Posterior Parameter Distributions

V. Policy Analysis

A. Impulse Response Functions

B. Historical Decompositions

VI. Spillover Analysis

A. Simulated Conditional Betas

B. Impulse Response Functions

VII. Forecasting

VIII. Conclusion

Appendix A. Description of the Data Set

Appendix B. Tables and Figures

Table 1. Parameter Estimation Results

Figure 1. IRFs of Macro Variables to a Domestic Productivity Shock

Figure 2. IRFs of Financial Variables to a Domestic Productivity Shock

Figure 3. IRFs of Macro Variables to a Domestic Labor Supply Shock

Figure 4. IRFs of Financial Variables to a Domestic Labor Supply Shock

Figure 5. IRFs of Macro Variables to a Domestic Consumption Demand Shock

Figure 6. IRFs of Financial Variables to a Domestic Consumption Demand Shock

Figure 7. IRFs of Macro Variables to a Domestic Investment Demand Shock

Figure 8. IRFs of Financial Variables to a Domestic Investment Demand Shock

Figure 9. IRFs of Macro Variables to a Domestic Monetary Policy Shock

Figure 10. IRFs of Financial Variables to a Domestic Monetary Policy Shock.

Figure 11. IRFs of Macro Variables to a Domestic Credit Risk Premium Shock

Figure 12. IRFs of Financial Variables to a Domestic Credit Risk Premium Shock

Figure 13. IRFs of Macro Variables to a Domestic Duration Risk Premium Shock

Figure 14. IRFs of Financial Variables to a Domestic Duration Risk Premium Shock

Figure 15. IRFs of Macro Variables to a Domestic Equity Risk Premium Shock

Figure 16. IRFs of Financial Variables to a Domestic Equity Risk Premium Shock

Figure 17. IRFs of Macro Variables to a Domestic Fiscal Expenditure Shock

Figure 18. IRFs of Financial Variables to a Domestic Fiscal Expenditure Shock

Figure 19. IRFs of Macro Variables to a Domestic Fiscal Revenue Shock

Figure 20. IRFs of Financial Variables to a Domestic Fiscal Revenue Shock

Figure 21. IRFs of Macro Variables to a Domestic Lending Rate Markup Shock

Figure 22. IRFs of Financial Variables to a Domestic Lending Rate Markup Shock

Figure 23. IRFs of Macro Variables to a Domestic Capital Requirement Shock

Figure 24. IRFs of Financial Variables to a Domestic Capital Requirement Shock

Figure 25. IRFs of Macro Variables to a Domestic Loan Default Shock

Figure 26. IRFs of Financial Variables to a Domestic Loan Default Shock

Figure 27. IRFs of Macro Variables to an Energy Commodity Price Markup Shock

Figure 28. IRFs of Financial Variables to an Energy Commodity Price Markup Shock

Figure 29. IRFs of Macro Variables to a Nonenergy Commodity Price Markup Shock

Figure 30. IRFs of Financial Variables to a Nonenergy Commodity Price Markup Shock

Figure 31. Historical Decompositions of Consumption Price Inflation

Figure 32. Historical Decompositions of Output Growth

Figure 33. Simulated Conditional Betas of Output

Figure 34. Peak IRFs to Foreign Productivity Shocks

Figure 35. Peak IRFs to Foreign Labor Supply Shocks.

Figure 36. Peak IRFs to Foreign Consumption Demand Shocks

Figure 37. Peak IRFs to Foreign Investment Demand Shocks

Figure 38. Peak IRFs to Foreign Monetary Policy Shocks

Figure 39. Peak IRFs to Foreign Credit Risk Premium Shocks

Figure 40. Peak IRFs to Foreign Duration Risk Premium Shocks

Figure 41. Peak IRFs to Foreign Equity Risk Premium Shocks

Figure 42. Peak IRFs to Foreign Fiscal Expenditure Shocks

Figure 43. Peak IRFs to Foreign Fiscal Revenue Shocks

Figure 44. Peak IRFs to Foreign Lending Rate Markup Shocks

Figure 45. Peak IRFs to Foreign Capital Requirement Shocks

Figure 46. Peak IRFs to Foreign Loan Default Shocks

Figure 47. Forecast Performance Evaluation Statistics

Figure 48. Sequential Unconditional Forecasts of Consumption Price Inflation

Figure 49. Sequential Unconditional Forecasts of Output Growth

References.

Notes:

"IMF working papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF working papers are those of the author(s) and do not necessarily represent the views of the IMF, its executive board, or IMF management."

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed February 6, 2019).

ISBN:

9781513544984

1513544985

9781513525112

1513525115

9781513551142

1513551140

OCLC:

933443468