Monetary Policy Analysis and Forecasting in the Group of Twenty: A Panel Unobserved Components Approach

48 Pages Posted: 14 Feb 2011

See all articles by Francis Vitek

Francis Vitek

International Monetary Fund (IMF)

Date Written: June 2010

Abstract

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.

Suggested Citation

Vitek, Francis, Monetary Policy Analysis and Forecasting in the Group of Twenty: A Panel Unobserved Components Approach (June 2010). IMF Working Paper No. 10/152, Available at SSRN: https://ssrn.com/abstract=1760353

Francis Vitek (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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