LEADER 11302oam 22016814 450 001 9910959589903321 005 20250426110526.0 010 $a9781513544984 010 $a1513544985 010 $a9781513525112 010 $a1513525115 010 $a9781513551142 010 $a1513551140 035 $a(CKB)3820000000019230 035 $a(Au-PeEL)EBL4395622 035 $a(CaPaEBR)ebr11187395 035 $a(CaONFJC)MIL881152 035 $a(OCoLC)933443468 035 $a(IMF)WPIEA2015227 035 $a(MiAaPQ)EBC4395622 035 $aWPIEA2015227 035 $a(EXLCZ)993820000000019230 100 $a20020129d2015 uf 0 101 0 $aeng 135 $aurcnu|||||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aMacrofinancial Analysis in the World Economy : $eA Panel Dynamic Stochastic General Equilibrium Approach /$fFrancis Vitek 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2015. 215 $a1 online resource (113 pages) 225 1 $aIMF Working Papers 300 $a"IMF working papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF working papers are those of the author(s) and do not necessarily represent the views of the IMF, its executive board, or IMF management." 311 08$a9781513537429 311 08$a1513537423 320 $aIncludes bibliographical references. 327 $aCover -- Contents -- I. Introduction -- II. The Theoretical Framework -- A. The Household Sector -- Consumption and Saving -- Labor Supply -- B. The Production Sector -- Output Demand -- Labor Demand and Investment -- Output Supply -- C. The Banking Sector -- Credit Demand -- Funding Demand and Provisioning -- Credit Supply -- D. The Trade Sector -- The Export Sector -- The Import Sector -- E. Monetary, Fiscal, and Macroprudential Policy -- The Monetary Authority -- The Fiscal Authority -- The Macroprudential Authority -- F. Market Clearing Conditions -- III. The Empirical Framework -- A. Endogenous Variables -- B. Exogenous Variables -- IV. Estimation -- A. Transformation of the Data Set -- B. Prior and Posterior Parameter Distributions -- V. Policy Analysis -- A. Impulse Response Functions -- B. Historical Decompositions -- VI. Spillover Analysis -- A. Simulated Conditional Betas -- B. Impulse Response Functions -- VII. Forecasting -- VIII. Conclusion -- Appendix A. Description of the Data Set -- Appendix B. Tables and Figures -- Table 1. Parameter Estimation Results -- Figure 1. IRFs of Macro Variables to a Domestic Productivity Shock -- Figure 2. IRFs of Financial Variables to a Domestic Productivity Shock -- Figure 3. IRFs of Macro Variables to a Domestic Labor Supply Shock -- Figure 4. IRFs of Financial Variables to a Domestic Labor Supply Shock -- Figure 5. IRFs of Macro Variables to a Domestic Consumption Demand Shock -- Figure 6. IRFs of Financial Variables to a Domestic Consumption Demand Shock -- Figure 7. IRFs of Macro Variables to a Domestic Investment Demand Shock -- Figure 8. IRFs of Financial Variables to a Domestic Investment Demand Shock -- Figure 9. IRFs of Macro Variables to a Domestic Monetary Policy Shock -- Figure 10. IRFs of Financial Variables to a Domestic Monetary Policy Shock. 327 $aFigure 11. IRFs of Macro Variables to a Domestic Credit Risk Premium Shock -- Figure 12. IRFs of Financial Variables to a Domestic Credit Risk Premium Shock -- Figure 13. IRFs of Macro Variables to a Domestic Duration Risk Premium Shock -- Figure 14. IRFs of Financial Variables to a Domestic Duration Risk Premium Shock -- Figure 15. IRFs of Macro Variables to a Domestic Equity Risk Premium Shock -- Figure 16. IRFs of Financial Variables to a Domestic Equity Risk Premium Shock -- Figure 17. IRFs of Macro Variables to a Domestic Fiscal Expenditure Shock -- Figure 18. IRFs of Financial Variables to a Domestic Fiscal Expenditure Shock -- Figure 19. IRFs of Macro Variables to a Domestic Fiscal Revenue Shock -- Figure 20. IRFs of Financial Variables to a Domestic Fiscal Revenue Shock -- Figure 21. IRFs of Macro Variables to a Domestic Lending Rate Markup Shock -- Figure 22. IRFs of Financial Variables to a Domestic Lending Rate Markup Shock -- Figure 23. IRFs of Macro Variables to a Domestic Capital Requirement Shock -- Figure 24. IRFs of Financial Variables to a Domestic Capital Requirement Shock -- Figure 25. IRFs of Macro Variables to a Domestic Loan Default Shock -- Figure 26. IRFs of Financial Variables to a Domestic Loan Default Shock -- Figure 27. IRFs of Macro Variables to an Energy Commodity Price Markup Shock -- Figure 28. IRFs of Financial Variables to an Energy Commodity Price Markup Shock -- Figure 29. IRFs of Macro Variables to a Nonenergy Commodity Price Markup Shock -- Figure 30. IRFs of Financial Variables to a Nonenergy Commodity Price Markup Shock -- Figure 31. Historical Decompositions of Consumption Price Inflation -- Figure 32. Historical Decompositions of Output Growth -- Figure 33. Simulated Conditional Betas of Output -- Figure 34. Peak IRFs to Foreign Productivity Shocks -- Figure 35. Peak IRFs to Foreign Labor Supply Shocks. 327 $aFigure 36. Peak IRFs to Foreign Consumption Demand Shocks -- Figure 37. Peak IRFs to Foreign Investment Demand Shocks -- Figure 38. Peak IRFs to Foreign Monetary Policy Shocks -- Figure 39. Peak IRFs to Foreign Credit Risk Premium Shocks -- Figure 40. Peak IRFs to Foreign Duration Risk Premium Shocks -- Figure 41. Peak IRFs to Foreign Equity Risk Premium Shocks -- Figure 42. Peak IRFs to Foreign Fiscal Expenditure Shocks -- Figure 43. Peak IRFs to Foreign Fiscal Revenue Shocks -- Figure 44. Peak IRFs to Foreign Lending Rate Markup Shocks -- Figure 45. Peak IRFs to Foreign Capital Requirement Shocks -- Figure 46. Peak IRFs to Foreign Loan Default Shocks -- Figure 47. Forecast Performance Evaluation Statistics -- Figure 48. Sequential Unconditional Forecasts of Consumption Price Inflation -- Figure 49. Sequential Unconditional Forecasts of Output Growth -- References. 330 3 $aThis paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2015/227 606 $aMacroeconomics$xEconometric models 606 $aMonetary policy$xEconometric models 606 $aBank loans$xEconometric models 606 $aBanks and Banking$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aInflation$2imf 606 $aEconometrics$2imf 606 $aBayesian Analysis: General$2imf 606 $aMultiple or Simultaneous Equation Models: Models with Panel Data$2imf 606 $aModel Construction and Estimation$2imf 606 $aPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data)$2imf 606 $aFinancial Markets and the Macroeconomy$2imf 606 $aMonetary Policy$2imf 606 $aFiscal Policy$2imf 606 $aOpen Economy Macroeconomics$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aFinancial Institutions and Services: Government Policy and Regulation$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMacroeconomics: Consumption$2imf 606 $aSaving$2imf 606 $aWealth$2imf 606 $aPrice Level$2imf 606 $aDeflation$2imf 606 $aComputable and Other Applied General Equilibrium Models$2imf 606 $aBanking$2imf 606 $aFinance$2imf 606 $aMonetary economics$2imf 606 $aEconometrics & economic statistics$2imf 606 $aMarket interest rates$2imf 606 $aBank credit$2imf 606 $aCentral bank policy rate$2imf 606 $aConsumption$2imf 606 $aFinancial services$2imf 606 $aNational accounts$2imf 606 $aPrices$2imf 606 $aDynamic stochastic general equilibrium models$2imf 606 $aEconometric analysis$2imf 606 $aInterest rates$2imf 606 $aBanks and banking$2imf 606 $aCredit$2imf 606 $aEconomics$2imf 606 $aEconometric models$2imf 607 $aUnited Kingdom$2imf 615 0$aMacroeconomics$xEconometric models. 615 0$aMonetary policy$xEconometric models. 615 0$aBank loans$xEconometric models. 615 7$aBanks and Banking 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aInflation 615 7$aEconometrics 615 7$aBayesian Analysis: General 615 7$aMultiple or Simultaneous Equation Models: Models with Panel Data 615 7$aModel Construction and Estimation 615 7$aPrices, Business Fluctuations, and Cycles: General (includes Measurement and Data) 615 7$aFinancial Markets and the Macroeconomy 615 7$aMonetary Policy 615 7$aFiscal Policy 615 7$aOpen Economy Macroeconomics 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aFinancial Institutions and Services: Government Policy and Regulation 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMacroeconomics: Consumption 615 7$aSaving 615 7$aWealth 615 7$aPrice Level 615 7$aDeflation 615 7$aComputable and Other Applied General Equilibrium Models 615 7$aBanking 615 7$aFinance 615 7$aMonetary economics 615 7$aEconometrics & economic statistics 615 7$aMarket interest rates 615 7$aBank credit 615 7$aCentral bank policy rate 615 7$aConsumption 615 7$aFinancial services 615 7$aNational accounts 615 7$aPrices 615 7$aDynamic stochastic general equilibrium models 615 7$aEconometric analysis 615 7$aInterest rates 615 7$aBanks and banking 615 7$aCredit 615 7$aEconomics 615 7$aEconometric models 700 $aVitek$b Francis$01815613 801 0$bDcWaIMF 906 $aBOOK 912 $a9910959589903321 996 $aMacrofinancial Analysis in the World Economy$94371351 997 $aUNINA