Monetary Policy Analysis and Forecasting in the World Economy [electronic resource] : A Panel Unobserved Components Approach / Francis Vitek.
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TextSeries: IMF Working Papers; Working Paper ; No. 09/238Publication details: Washington, D.C. : International Monetary Fund, 2009Description: 1 online resource (42 p.)ISBN: 1451873859 :ISSN: 1018-5941Subject(s): Bayesian Analysis | Bayesian Conditioning On Judgment | Financial Markets and the Macroeconomy | Forecasting and Other Model Applications | Model Construction and Estimation | Monetary Conditions | China, People's Republic of | United StatesAdditional physical formats: Print Version:: Monetary Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components ApproachOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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.
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