Macrofinancial Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
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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, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.
Series:
Working Paper No. 2015/227
Subject:
Bank credit Banking Central bank policy rate Consumption Dynamic stochastic general equilibrium models Econometric analysis Financial services Inflation Market interest rates National accounts Prices
English
Publication Date:
October 28, 2015
ISBN/ISSN:
9781513537429/1018-5941
Stock No:
WPIEA2015227
Pages:
112
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