European Parliament Library

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

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
Table Of 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
Language
eng
Literary Form
non fiction
Note
"June 25, 2010"
Physical Description
1 online resource (53 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781455265688

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