IMF Working Papers

The Global Macrofinancial Model

By Francis Vitek

April 9, 2018

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Francis Vitek. The Global Macrofinancial Model, (USA: International Monetary Fund, 2018) accessed November 21, 2024

Disclaimer: 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.

Summary

This paper documents the theoretical structure and empirical properties of the latest version of the Global Macrofinancial Model (GFM). This dynamic stochastic general equilibrium model of the world economy, disaggregated into forty national economies, was developed to support multilaterally consistent macrofinancial policy, risk and spillover analysis. It features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial intermediation, with financial accelerator mechanisms linked to the values of the housing and physical capital stocks. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the GFM are demonstrated. These include quantifying the monetary, fiscal and macroprudential policy transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Subject: Banking, Consumption, Financial institutions, Imports, International trade, Loans, Mortgages, National accounts, Return on investment

Keywords: Africa, Constant returns to scale, Consumption, Demand shock, Dynamic stochastic general equilibrium model, Fiscal policy, Forecasting, Global, Good firm, Imports, Loans, Macroprudential policy, Marginal revenue, Markup shock, Monetary policy, Money stock, Mortgages, Physical capital, Price inflation, Production function, Return on investment, Shadow price, Spillovers, Transfer payment, Utility function, World economy, WP, Yield to maturity

Publication Details

  • Pages:

    136

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2018/081

  • Stock No:

    WPIEA2018081

  • ISBN:

    9781484350706

  • ISSN:

    1018-5941