UID:
edoccha_9958120565902883
Format:
1 online resource (53 p.)
ISBN:
1-4623-7188-4
,
1-4552-6568-3
,
1-282-84624-8
,
9786612846243
,
1-4552-0135-9
Series Statement:
IMF working paper ; WP/10/152
Content:
This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty national economies along the lines of the Group of Twenty. 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 Bayesian framework for conditioning on judgment.
Note:
"June 25, 2010".
,
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; 1. Output Gap Estimates; 2. Monetary Conditions Gap Estimates; IV. Monetary Policy Analysis; A. Vector Autocorrelations; 3. Vector Autocorrelations; B. Impulse Response Functions; 4. Impulse Responses to a Domestic Supply Shock; 5. Impulse Responses to a Foreign Supply Shock; 6. Impulse Responses to a Domestic Demand Shock; 7. Impulse Responses to a Foreign Demand Shock
,
8. Impulse Responses to a Domestic Monetary Policy Shock9. Impulse Responses to a Foreign Monetary Policy Shock; 10. Impulse Responses to a World Energy Commodity Price Shock; 11. Impulse Responses to a World Nonenergy Commodity Price Shock; C. Forecast Error Variance Decompositions; 12. Forecast Error Variance Decompositions of Inflation; 13. Forecast Error Variance Decompositions of the Output Gap; 14. Forecast Error Variance Decompositions of the Monetary Conditions Gap; D. Historical Decompositions; 15. Historical Decompositions of Inflation
,
16. Historical Decompositions of the Output Gap17. Historical Decompositions of the Monetary Conditions Gap; V. Forecasting; A. Forecasting Procedure; B. Forecasting Results; 18. Sequential Unconditional Forecasts of Inflation; 19. Sequential Unconditional Forecasts of Output Growth; 20. Conditional Forecasts of Inflation; 21. Conditional Forecasts of Output Growth; 22. Conditional Forecast Decompositions for Inflation; 23. Conditional Forecast Decompositions for Output Growth; VI. Conclusion; Appendix. Description of the Data Set; 1. Parameter Estimation Results; References; Footnotes
Language:
English
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