06461oam 22013814 450 991096119180332120250426110742.0978661284439397814623537431462353746978145187385614518738599781452704654145270465197812828443911282844393(CKB)3170000000055380(SSID)ssj0000942131(PQKBManifestationID)11585701(PQKBTitleCode)TC0000942131(PQKBWorkID)10972022(PQKB)10257164(OCoLC)680613638(MiAaPQ)EBC1605955(IMF)WPIEE2009238(IMF)WPIEA2009238WPIEA2009238(EXLCZ)99317000000005538020020129d2009 uf 0engurcn|||||||||txtccrMonetary Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach /Francis Vitek1st ed.Washington, D.C. :International Monetary Fund,2009.42 p. illIMF Working Papers"October 2009."9781451918038 1451918038 Intro -- Contents -- I. Introduction -- II. The Panel Unobserved Components Model -- A. Cyclical Components -- B. Trend Components -- III. Estimation -- A. Estimation Procedure -- B. Estimation Results -- IV. Monetary Policy Analysis -- A. Vector Autocorrelations -- B. Impulse Response Functions -- C. Forecast Error Variance Decompositions -- D. Historical Decompositions -- V. Forecasting -- A. Forecasting Procedure -- B. Forecasting Results -- VI. Conclusion -- Tables -- 1. Parameter Estimation Results -- Figures -- 1. Output Gap Estimates -- 2. Monetary Conditions Gap Estimates -- 3. Vector Autocorrelations -- 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 Shock -- 9. Impulse Responses to a Foreign Monetary Policy Shock -- 10. Impulse Responses to a World Commodity Price Shock -- 11. Forecast Error Variance Decompositions of Inflation -- 12. Forecast Error Variance Decompositions of the Output Gap -- 13. Forecast Error Variance Decompositions of the Monetary Conditions Gap -- 14. Historical Decompositions of Inflation -- 15. Historical Decompositions of the Output Gap -- 16. Historical Decompositions of the Monetary Conditions Gap -- 17. Conditional Forecasts of Inflation -- 18. Conditional Forecasts of Output Growth -- Appendix. Description of the Data Set -- References.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.IMF Working Papers; Working Paper ;No. 2009/238Monetary policyEconometric modelsBusiness cyclesEconometric modelsBanks and BankingimfBayesian Analysis: GeneralimfBusiness FluctuationsimfCurrencyimfCyclesimfDeflationimfEconomic theoryimfFinanceimfFinancial Markets and the MacroeconomyimfFinancial servicesimfForecasting and Other Model ApplicationsimfForeign ExchangeimfForeign exchangeimfInflationimfInterest ratesimfInterest Rates: Determination, Term Structure, and EffectsimfLong term interest ratesimfMacroeconomicsimfMacroeconomics: ProductionimfModel Construction and EstimationimfMonetary PolicyimfMultiple or Simultaneous Equation Models: Models with Panel DataimfOpen Economy MacroeconomicsimfOutput gapimfPrice LevelimfPricesimfProduction and Operations ManagementimfProductionimfReal effective exchange ratesimfShort term interest ratesimfUnited StatesimfMonetary policyEconometric models.Business cyclesEconometric models.Banks and BankingBayesian Analysis: GeneralBusiness FluctuationsCurrencyCyclesDeflationEconomic theoryFinanceFinancial Markets and the MacroeconomyFinancial servicesForecasting and Other Model ApplicationsForeign ExchangeForeign exchangeInflationInterest ratesInterest Rates: Determination, Term Structure, and EffectsLong term interest ratesMacroeconomicsMacroeconomics: ProductionModel Construction and EstimationMonetary PolicyMultiple or Simultaneous Equation Models: Models with Panel DataOpen Economy MacroeconomicsOutput gapPrice LevelPricesProduction and Operations ManagementProductionReal effective exchange ratesShort term interest rates338.192358Vitek Francis1815613International Monetary Fund.Strategy, Policy, and Review Dept.DcWaIMFBOOK9910961191803321Monetary Policy Analysis and Forecasting in the World Economy4371074UNINA