Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
IMF Working Papers, October 30, 2014
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- Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
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Bibliographic details
- Authors: Francis Vitek
- Published: October 30, 2014
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781616355784.001
Model overview
- Structural macroeconometric model of the world economy disaggregated into forty national economies.
- Panel dynamic stochastic general equilibrium (DSGE) model featuring:
- A range of nominal and real rigidities.
- Extensive macrofinancial linkages.
- Diverse spillover transmission channels.
Applications and key findings
- Demonstrated applications include:
- Monetary policy analysis.
- Fiscal policy analysis.
- Spillover analysis.
- Forecasting applications of the estimated model.
- Model capabilities and demonstrated results:
- Quantifying the monetary transmission mechanism.
- Quantifying the fiscal transmission mechanism.
- Accounting for business cycle fluctuations.
- Generating relatively accurate forecasts of inflation and output growth.
Policy analysis and spillover insights
- The model supports analysis of:
- How monetary policy transmits across countries via identified spillover channels.
- How fiscal policy affects domestic outcomes and international spillovers through macrofinancial linkages.
- Useful for assessing cross-country interactions in a globalized economy and informing policy design that accounts for external effects.
Forecasting performance
- The estimated model is shown to produce relatively accurate forecasts of:
- Inflation.
- Output growth.
Topics and analytical elements covered
- Subject headings and technical elements explicitly present in the work include:
- Central bank policy rate, Consumption, Dynamic stochastic general equilibrium models, Econometric analysis, Inflation, International trade, National accounts, Prices, Return on investment, Terms of trade.
- Keywords and modeling components listed include:
- Africa, Bayesian econometrics, constant returns to scale, Consumption, Dynamic stochastic general equilibrium models, financial asset, Fiscal policy analysis, Forecasting, Global, Inflation, marginal revenue, markup shock, Monetary policy analysis, Panel dynamic stochastic general equilibrium model, Phillips curve, price inflation, production function, recipient economy, Return on investment, risk premium shock, shadow price, Spillover analysis, stochastic process, Terms of trade, utility function, World economy, WP.
Source: IMF Working Paper by Francis Vitek, October 30, 2014.