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Monetary Policy Analysis and Forecasting in the World Economy.
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 a...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington :
International Monetary Fund,
2009.
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| Colección: | IMF Working Papers.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Panel Unobserved Components Model; A. Cyclical Components; B. Trend Components; III. Estimation; A. Estimation Procedure; B. Estimation Results; Table 1. Parameter Estimation Results; Figure 1. Output Gap Estimates; Figure 2. Monetary Conditions Gap Estimates; IV. Monetary Policy Analysis; A. Vector Autocorrelations; Figure 3. Vector Autocorrelations; B. Impulse Response Functions; Figure 4. Impulse Responses to a Domestic Supply Shock; Figure 5. Impulse Responses to a Foreign Supply Shock.
- Figure 6. Impulse Responses to a Domestic Demand ShockFigure 7. Impulse Responses to a Foreign Demand Shock; Figure 8. Impulse Responses to a Domestic Monetary Policy Shock; Figure 9. Impulse Responses to a Foreign Monetary Policy Shock; Figure 10. Impulse Responses to a World Commodity Price Shock; C. Forecast Error Variance Decompositions; Figure 11. Forecast Error Variance Decompositions of Inflation; Figure 12. Forecast Error Variance Decompositions of the Output Gap; Figure 13. Forecast Error Variance Decompositions of the Monetary Conditions Gap; D. Historical Decompositions.
- Figure 14. Historical Decompositions of InflationFigure 15. Historical Decompositions of the Output Gap; Figure 16. Historical Decompositions of the Monetary Conditions Gap; V. Forecasting; A. Forecasting Procedure; B. Forecasting Results; Figure 17. Conditional Forecasts of Inflation; Figure 18. Conditional Forecasts of Output Growth; VI. Conclusion; Appendix. Description of the Data Set; References; Footnotes.