Francis Vitek

Macrofinancial Analysis in the World Economy

A Panel Dynamic Stochastic General Equilibrium Approach

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochast...

Policy and Spillover Analysis in the World Economy

A Panel Dynamic Stochastic General Equilibrium Approach

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochast...

Accounting for Macrofinancial Fluctuations and Turbulence

This paper investigates the sources of macrofinancial fluctuations and turbulence within the framework of an approximate linear dynamic stochastic gen...

Policy Analysis and Forecasting in the World Economy

A Panel Dynamic Stochastic General Equilibrium Approach

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved...

Policy Analysis and Forecasting in the World Economy

A Panel Unobserved Components Approach

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved...

The Global Macrofinancial Model

This paper documents the theoretical structure and empirical properties of the latest version of the Global Macrofinancial Model (GFM). This dynamic s...

Policy, Risk and Spillover Analysis in the World Economy

A Panel Dynamic Stochastic General Equilibrium Approach

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterall...

Monetary Policy Analysis and Forecasting in the World Economy

A Panel Unobserved Components Approach

This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into its fifteen la...

Macroprudential Policy Spillovers

A Quantitative Analysis

This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. E...

Monetary Policy Analysis and Forecasting in the Group of Twenty

A Panel Unobserved Components Approach

This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty nationa...

The Global Macroeconomic Costs of Raising Bank Capital Adequacy Requirements

This paper examines the transitional macroeconomic costs of a synchronized global increase in bank capital adequacy requirements under Basel III, as w...

Spillovers to and from the Nordic Economies

A Macroeconometric Model Based Analysis

This paper analyzes the transmission of shocks and policies among and across the Nordic economies and the rest of the world. This spillover analysis i...

Output and Unemployment Dynamics during the Great Recession

A Panel Unobserved Components Analysis

This paper analyzes the sources of output and unemployment dynamics in the world economy during the Great Recession. This analysis is based on a panel...

Macroeconomic Model Spillovers and Their Discontents

The Great Recession underlined that policies in some countries can have profound spillovers elsewhere. Sadly, the solution of simulating large macroec...

A Closed Form Multivariate Linear Filter

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochast...

Measuring the Stances of Monetary and Fiscal Policy

We derive measures of the stances of monetary and fiscal policy within the framework of an empirically plausible extension of the basic New Keynesian ...

A Medium-Scale DSGE Model for the Integrated Policy Framework

This paper jointly analyzes the optimal conduct of monetary policy, foreign exchange intervention, fiscal policy, macroprudential policy, and capital ...

Cross-Cutting Themes in Employment Experiences during the Crisis

The human cost of the recent global crisis is reflected in its impact on the labor market. Explaining why economies with similar downturns had very di...

An Assessment of External Price Competitiveness for Mozambique

This paper conducts an assessment of external price competitiveness for Mozambique. A variety of indicators suggest that Mozambique has recently lost ...

Australia and New Zealand Exchange Rates

A Quantitative Assessment

The paper describes three empirical models commonly used to conduct exchange rate assessments and applies them to data for Australia and New Zealand. ...

The Impact of Introducing a Minimum Wage on Business Cycle Volatility

A Structural Analysis for Hong Kong SAR

We study the impact of a minimum wage on business cycle volatility, depending upon its coverage and adjustment mechanism. As with other small open eco...