Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach.

By: Vitek, FrancisMaterial type: TextTextSeries: IMF Working PapersPublisher: Washington : International Monetary Fund, 2014Copyright date: ©2014Description: 1 online resource (96 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9781484362501Subject(s): Business cycles -- Econometric models | Capital movements -- Econometric models | Fiscal policy -- Econometric models | Monetary policy -- Econometric modelsGenre/Form: Electronic books.Additional physical formats: Print version:: Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium ApproachDDC classification: 332.820971 LOC classification: HG3891 -- .V584 2014ebOnline resources: Click to View
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 Analysis -- A. 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 Shock -- Figure 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 Shock -- Figure 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 Rate -- Figure 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 -- Figure 27. Peak Impulse Responses to Foreign Labor Supply Shocks -- Figure 28. Peak Impulse Responses to Foreign Consumption Demand Shocks -- Figure 29. Peak Impulse Responses to Foreign Investment Demand Shocks -- Figure 30. Peak Impulse Responses to Foreign Monetary Policy Shocks -- Figure 31. Peak Impulse Responses to Foreign Credit Risk Premium Shocks -- Figure 32. Peak Impulse Responses to Foreign Duration Risk Premium Shocks -- Figure 33. Peak Impulse Responses to Foreign Equity Risk Premium Shocks -- Figure 34. Peak Impulse Responses to Foreign Fiscal Expenditure Shocks -- Figure 35. Peak Impulse Responses to Foreign Fiscal Revenue Shocks -- Figure 36. Forecast Performance Evaluation Statistics.
Figure 37. Sequential Unconditional Forecasts of Consumption Price Inflation -- Figure 38. Sequential Unconditional Forecasts of Output Growth -- References.
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.
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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 Analysis -- A. 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 Shock -- Figure 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 Shock -- Figure 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 Rate -- Figure 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 -- Figure 27. Peak Impulse Responses to Foreign Labor Supply Shocks -- Figure 28. Peak Impulse Responses to Foreign Consumption Demand Shocks -- Figure 29. Peak Impulse Responses to Foreign Investment Demand Shocks -- Figure 30. Peak Impulse Responses to Foreign Monetary Policy Shocks -- Figure 31. Peak Impulse Responses to Foreign Credit Risk Premium Shocks -- Figure 32. Peak Impulse Responses to Foreign Duration Risk Premium Shocks -- Figure 33. Peak Impulse Responses to Foreign Equity Risk Premium Shocks -- Figure 34. Peak Impulse Responses to Foreign Fiscal Expenditure Shocks -- Figure 35. Peak Impulse Responses to Foreign Fiscal Revenue Shocks -- Figure 36. Forecast Performance Evaluation Statistics.

Figure 37. Sequential Unconditional Forecasts of Consumption Price Inflation -- Figure 38. Sequential Unconditional Forecasts of Output Growth -- References.

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.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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