Policy and Spillover Analysis in the World Economy : a Panel Dynamic Stochastic General Equilibrium Approach /

Policy and Spillover Analysis in the World Economy : a Panel Dynamic Stochastic General Equilibrium Approach /

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Bibliographic Details
Author / Creator:Vitek, Francis, author.
Imprint:[Washington, D.C.] : International Monetary Fund, ©2014.
©2014
Description:1 online resource (95 pages) : color illustrations.
Language:English
Series:IMF working paper ; WP/14/200
IMF working paper ; WP/14/200.
Subject:
Capital movements -- Econometric models.
Monetary policy -- Econometric models.
Fiscal policy -- Econometric models.
Business cycles -- Econometric models.
Economic forecasting -- Econometric models.
Computable general equilibrium models.
Panel analysis.
Business cycles -- Econometric models.
Capital movements -- Econometric models.
Computable general equilibrium models.
Economic forecasting -- Econometric models.
Fiscal policy -- Econometric models.
Monetary policy -- Econometric models.
Panel analysis.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12504142
Hidden Bibliographic Details
Other authors / contributors:International Monetary Fund. Strategy, Policy, and Review Department, issuing body.
ISBN:9781484362501
1484362500
9781616355784
Notes:"October 2014."
"Strategy, Policy and Review Department."
Includes bibliographical references (pages 93-94).
Includes bibliographical references.
Online resource; title from pdf title page (IMF.org Web site, viewed November 4, 2014).
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, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary and fiscal transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth. --Abstract.
Other form:Print version: Vitek, Francis. Policy and spillover analysis in the world economy : a panel dynamic stochastic general equilibrium approach. Washington, District of Columbia : International Monetary Fund, ©2014 95 pages IMF working paper ; WP14/200 9781616355784
Table of 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 Trade Sector; The Export Sector; The Import Sector; D. Monetary and Fiscal Policy; The Monetary Authority; The Fiscal Authority; E. Market Clearing Conditions; III. The Empirical Framework; A. Endogenous Variables; B. Exogenous Variables; IV. Estimation; A. Estimation Procedure; Cyclical Components; Parameters; B. Estimation Results; Cyclical Components; Parameters.
  • V. Monetary and Fiscal Policy AnalysisA. Impulse Response Functions; B. Forecast Error Variance Decompositions; C. 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. Structural Parameter Estimation Results; Figure 1. Impulse Responses to a Domestic Productivity Shock; Figure 2. Impulse Responses to a Domestic Labor Supply Shock; Figure 3. Impulse Responses to a Domestic Consumption Demand Shock.
  • Figure 4. Impulse Responses to a Domestic Investment Demand ShockFigure 5. Impulse Responses to a Domestic Monetary Policy Shock; Figure 6. Impulse Responses to a Domestic Credit Risk Premium Shock; Figure 7. Impulse Responses to a Domestic Duration Risk Premium Shock; Figure 8. Impulse Responses to a Domestic Equity Risk Premium Shock; Figure 9. Impulse Responses to a Domestic Fiscal Expenditure Shock; Figure 10. Impulse Responses to a Domestic Fiscal Revenue Shock; Figure 11. Impulse Responses to a World Energy Commodity Price Markup Shock.
  • Figure 12. Impulse Responses to a World Nonenergy Commodity Price Markup ShockFigure 13. Forecast Error Variance Decompositions of Consumption Price Inflation; Figure 14. Forecast Error Variance Decompositions of Output; Figure 15. Forecast Error Variance Decompositions of Private Consumption; Figure 16. Forecast Error Variance Decompositions of Private Investment; Figure 17. Forecast Error Variance Decompositions of the Nominal Policy Interest Rate; Figure 18. Forecast Error Variance Decompositions of the Real Effective Exchange Rate.
  • Figure 19. Forecast Error Variance Decompositions of the Unemployment RateFigure 20. Forecast Error Variance Decompositions of the Fiscal Balance Ratio; Figure 21. Forecast Error Variance Decompositions of the Current Account Balance Ratio; Figure 22. Historical Decompositions of Consumption Price Inflation; Figure 23. Historical Decompositions of Output Growth; Figure 24. Historical Decompositions of the Unemployment Rate; Figure 25. Simulated Conditional Betas of Output; Figure 26. Peak Impulse Responses to Foreign Productivity Shocks.

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