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Monetary Policy Analysis And Forecasting In The Group Of Twenty

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Executive 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. A variety of monetary policy analysis and forecasting applications of the estimated model are demonstrated. These include the measurement of monetary conditions, the analysis of the monetary transmission mechanism, and the generation of conditional forecasts of inflation and output growth. They are based on a Bayesian framework for incorporating judgment concerning the paths of unobserved variables into estimation and forecasting.

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