Policy analysis and forecasting in the world economy : a panel unobserved components approach

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IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/149

Includes bibliographical references

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Cover; Abstract; 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 and Fiscal Policy Analysis; A. Simulated Unconditional Correlations; B. Impulse Response Functions; C. Forecast Error Variance Decompositions; D. Historical Decompositions; V. Spillover Analysis; A. Simulated Conditional Betas; B. Impulse Response Functions; VI. Forecasting; A. Forecasting Procedure; B. Forecasting Results; VII. Conclusion; Appendixes; A. Description of the Data Set

B. Tables and FiguresTables; 1. Parameter Estimation Results; Figures; 1. Output Gap Estimates, Decomposition by Source of Demand; 2. Output Gap Estimates, Decomposition by Source of Stimulus; 3. Simulated Unconditional Correlations; 4. Impulse Responses to a Domestic Supply Shock; 5. Impulse Responses to a Domestic Private Demand Shock; 6. Impulse Responses to a Domestic Monetary Policy Shock; 7. Impulse Responses to a Domestic Credit Risk Premium Shock; 8. Impulse Responses to a Domestic Duration Risk Premium Shock; 9. Impulse Responses to a Domestic Equity Risk Premium Shock

10. Impulse Responses to a Domestic Fiscal Expenditure Shock11. Impulse Responses to a Domestic Fiscal Revenue Shock; 12. Impulse Responses to a World Energy Commodity Price Shock; 13. Impulse Responses to a World Nonenergy Commodity Price Shock; 14. Forecast Error Variance Decompositions of Consumption Price Inflation; 15. Forecast Error Variance Decompositions of Output; 16. Forecast Error Variance Decompositions of Domestic Demand; 17. Forecast Error Variance Decompositions of the Nominal Policy Interest Rate; 18. Forecast Error Variance Decompositions of the Real Effective Exchange Rate

19. Forecast Error Variance Decompositions of the Fiscal Balance20. Forecast Error Variance Decompositions of the Current Account Balance; 21. Historical Decompositions of Consumption Price Inflation; 22. Historical Decompositions of Output Growth; 23. Historical Decompositions of the Fiscal Balance; 24. Historical Decompositions of the Current Account Balance; 25. Simulated Conditional Betas of the Output Gap; 26. Peak Impulse Responses to Foreign Supply Shocks; 27. Peak Impulse Responses to Foreign Private Demand Shocks; 28. Peak Impulse Responses to Foreign Monetary Policy Shocks

29. Peak Impulse Responses to Foreign Credit Risk Premium Shocks30. Peak Impulse Responses to Foreign Duration Risk Premium Shocks; 31. Peak Impulse Responses to Foreign Equity Risk Premium Shocks; 32. Peak Impulse Responses to Foreign Fiscal Expenditure Shocks; 33. Peak Impulse Responses to Foreign Fiscal Revenue Shocks; 34. Sequential Unconditional Forecasts of Consumption Price Inflation; 35. Sequential Unconditional Forecasts of Output Growth; 36. Conditional Forecasts of Consumption Price Inflation; 37. Conditional Forecasts of Output Growth

38. Conditional Forecast Decompositions for Consumption Price Inflation

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