Monetary Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach

October 1, 2009

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Financial services, Foreign exchange, Inflation, Long term interest rates, Output gap, Prices, Production, Real effective exchange rates, Short term interest rates

Keywords: Bayesian conditioning on judgment, consumption price inflation, cross economy equality restriction, forecasting, Global, Inflation, inflation rise, Long term interest rates, Monetary policy analysis, monetary policy shock, mover accent, Output gap, output growth, panel unobserved components model, peak inflation control effect, Real effective exchange rates, response coefficient, Short term interest rates, stochastic process, world economy, WP

Pages:
42
Volume:
2009
DOI:
https://doi.org/10.5089/9781451873856.001
Issue:
238
Series:
Working Paper No. 2009/238
Stock No:
WPIEA2009238
ISBN:
9781451873856
ISSN:
1018-5941

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