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Author Vitek, Francis, author

Title Monetary policy analysis and forecasting in the group of twenty : a panel unobserved components approach / prepared by Francis Vitek
Published [Washington, D.C.] : International Monetary Fund, [2010]
©2010
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Description 1 online resource (47 pages) : color illustrations
Series IMF working paper ; WP/10/152
IMF working paper ; WP/10/152
Contents 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
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
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
Summary 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
Notes "June 29, 2010."
At head of title: Strategy, Policy, and Review Department
Bibliography Includes bibliographical references
Notes Print version record
Subject Economic forecasting.
Monetary policy.
Form Electronic book
Author International Monetary Fund. Strategy, Policy, and Review Department, issuing body
ISBN 1282846248
1455200565 (E-Book)
1455265683
9781282846241
9781455200566
9781455265688