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Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach

Vitek, Francis - 2012

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...

Persistent link: https://www.econbiz.de/10013102206

The Transmission Mechanism of European Monetary Policy : Is There Heterogeneity? Is it Changing Over Time?

Ciccarelli, Matteo - 2006

This paper investigates the transmission mechanism of monetary policy in the four largest euro area countries by means Bayesian estimation of dynamic econometric models. Based on pre-EMU evidence from Germany, France, Italy, and Spain, we show that: (i) there are differences in the timing of the...

Persistent link: https://www.econbiz.de/10012782903

Policy, Risk and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2017

This paper develops a structural macro econometric 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...

Persistent link: https://www.econbiz.de/10012956470

Macrofinancial Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2016

This paper develops a structural macroeconometric model of the world economy,disaggregated into forty national economies. This panel dynamic stochastic generalequilibrium model features a range of nominal and real rigidities, extensivemacrofinancial linkages, and diverse spillover transmission...

Persistent link: https://www.econbiz.de/10013002153

Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

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...

Persistent link: https://www.econbiz.de/10013040410

Fiscal Spillovers in the Euro Area : Letting the Data Speak

Dabla-Norris, Era - 2018

We estimate a panel VAR model that captures cross-country, dynamic interlinkages for 10 euro area countries using quarterly data for the period 1999-2016. Our analysis suggests that fiscal spillovers are significant and tend to be larger for countries with close trade and financial links as...

Persistent link: https://www.econbiz.de/10012928609

Global Trade and the Dollar

Gopinath, Gita - 2018

We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the following facts: 1) The dollar exchange rate quantitatively dominates the bilateral...

Persistent link: https://www.econbiz.de/10012928628

Policy Analysis and Forecasting in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - 2014

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission...

Persistent link: https://www.econbiz.de/10013060545

Assessing Macro-Financial Risks of Household Debt in China

Han, Fei - 2020

household debt in China. We find that rising household indebtedness could boost consumption in the short term, while reducing it … in the medium-to-long term. By stress testing households' debt repayment capacity, we find that low-income households are …

Persistent link: https://www.econbiz.de/10012843517

Excessive Private Sector Leverage and Its Drivers : Evidence from Advanced Economies

Jarmuzek, Mariusz - 2017

Nonfinancial private sector debt increased significantly in advanced economies prior to the global financial crisis and … continued to accumulate debt. Drawing on the literature, the paper aims to provide a quantitative assessment of the gaps between … actual and sustainable levels of debt and to identify the key factors that drive excessive borrowing. Results suggest that …

Persistent link: https://www.econbiz.de/10012956484

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