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This 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, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary and fiscal transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Free trade. --- International Monetary Fund. --- World Bank. --- Finance --- Business & Economics --- International Finance --- Capital movements --- Monetary policy --- Fiscal policy --- Business cycles --- Econometric models. --- Tax policy --- Taxation --- Capital flight --- Capital flows --- Capital inflow --- Capital outflow --- Flight of capital --- Flow of capital --- Movements of capital --- Government policy --- Economic policy --- Finance, Public --- Balance of payments --- Foreign exchange --- International finance --- Economic forecasting --- Computable general equilibrium models --- Panel analysis --- Econometric models --- E-books --- Panel studies --- Social sciences --- Statistics --- CGE models --- Equilibrium models, Computable general --- General equilibrium models, Computable --- Methodology --- Banks and Banking --- Econometrics --- Exports and Imports --- Investments: General --- Macroeconomics --- Inflation --- Bayesian Analysis: General --- Multiple or Simultaneous Equation Models: Models with Panel Data --- Model Construction and Estimation --- Forecasting and Other Model Applications --- Price Level --- Deflation --- Business Fluctuations --- Cycles --- Financial Markets and the Macroeconomy --- Monetary Policy --- Fiscal Policy --- Open Economy Macroeconomics --- Empirical Studies of Trade --- Investment --- Capital --- Intangible Capital --- Capacity --- Macroeconomics: Consumption --- Saving --- Wealth --- Computable and Other Applied General Equilibrium Models --- Interest Rates: Determination, Term Structure, and Effects --- International economics --- Econometrics & economic statistics --- Banking --- Terms of trade --- Return on investment --- Consumption --- Dynamic stochastic general equilibrium models --- Central bank policy rate --- National accounts --- International trade --- Econometric analysis --- Prices --- nternational cooperation --- Saving and investment --- Economics --- Interest rates --- United Kingdom --- Nternational cooperation

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This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial intermediation, with financial accelerator mechanisms linked to the values of the housing and physical capital stocks. 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.

Capital movements --- Monetary policy --- Capital flight --- Capital flows --- Capital inflow --- Capital outflow --- Flight of capital --- Flow of capital --- Movements of capital --- Balance of payments --- Foreign exchange --- International finance --- Econometric models. --- Econometric models --- E-books --- Banks and Banking --- Exports and Imports --- Investments: General --- Macroeconomics --- Industries: Financial Services --- Bayesian Analysis: General --- Multiple or Simultaneous Equation Models: Models with Panel Data --- Econometric Modeling: General --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Money and Interest Rates: General --- Monetary Policy --- Fiscal Policy --- Macroeconomic Aspects of International Trade and Finance: General --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial Institutions and Services: Government Policy and Regulation --- Macroeconomics: Consumption --- Saving --- Wealth --- Investment --- Capital --- Intangible Capital --- Capacity --- Empirical Studies of Trade --- Finance --- International economics --- Banking --- Consumption --- Return on investment --- Terms of trade --- Financial institutions --- National accounts --- International trade --- Loans --- Economics --- Saving and investment --- Economic policy --- nternational cooperation --- Banks and banking --- South Africa --- Nternational cooperation

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This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model.

Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Banks and Banking --- Labor --- Economic Theory --- Production and Operations Management --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- State Space Models --- Business Fluctuations --- Cycles --- Monetary Policy --- Unemployment: Models, Duration, Incidence, and Job Search --- Macroeconomics: Production --- Interest Rates: Determination, Term Structure, and Effects --- Neoclassical through 1925 (Austrian, Marshallian, Walrasian, Wicksellian) --- Labour --- income economics --- Macroeconomics --- Banking --- Economic theory & philosophy --- Unemployment rate --- Potential output --- Output gap --- Central bank policy rate --- Neoclassical theory --- Production --- Financial services --- Economic theory --- Unemployment --- Interest rates --- Neoclassical school of economics --- United States --- Income economics

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This paper investigates the sources of macrofinancial fluctuations and turbulence within the framework of an approximate linear dynamic stochastic general equilibrium model of the world economy, augmented with structural shocks exhibiting potentially asymmetric generalized autoregressive conditional heteroskedasticity. Very strong evidence of asymmetric autoregressive conditional heteroskedasticity is found, providing a basis for jointly decomposing the levels and volatilities of key macrofinancial variables into time varying contributions from sets of shocks. Risk premia shocks are estimated to contribute disproportionately to cyclical output fluctuations and turbulence during swings in financial conditions, across the fifteen largest national economies in the world.

Financial crises. --- Crashes, Financial --- Crises, Financial --- Financial crashes --- Financial panics --- Panics (Finance) --- Stock exchange crashes --- Stock market panics --- Crises --- Banks and Banking --- Investments: General --- Macroeconomics --- Industries: Financial Services --- Exports and Imports --- Econometric Modeling: General --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Money and Interest Rates: General --- Monetary Policy --- Fiscal Policy --- Macroeconomic Aspects of International Trade and Finance: General --- General Financial Markets: General (includes Measurement and Data) --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial Institutions and Services: Government Policy and Regulation --- Investment --- Capital --- Intangible Capital --- Capacity --- Macroeconomics: Consumption --- Saving --- Wealth --- Trade: General --- Finance --- Banking --- International economics --- Return on investment --- Consumption --- Loans --- National accounts --- Financial institutions --- Imports --- International trade --- Saving and investment --- Economics --- Banks and banking --- United States

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A Closed Form Multivariate Linear Filter.

E-books