A small-scale DSGE model for forecasting the South African economy

Liu, Guangling; Gupta, Rangan

dc.contributor.author	Liu, Guangling
dc.contributor.author	Gupta, Rangan
dc.date.accessioned	2007-10-03T06:01:35Z
dc.date.available	2007-10-03T06:01:35Z
dc.date.issued	2007-06
dc.description.abstract	This paper uses a version of Hansen's (1985) Dynamic Stochastic General Equilibrium (DSGE) model to forecast the South African economy. The calibrated model, based on annual data over the period of 1970-2000, is used to generate one- to eight-quarters-ahead out-of-sample forecast errors for the period of 2001:1 to 2005:4. The forecast errors are then compared with the unrestricted versions of the Classical and Bayesian VARs. A Bayesian VAR with relatively loose priors outperforms both the classical VAR and the DSGE model.	en
dc.format.extent	504117 bytes
dc.format.mimetype	application/pdf
dc.identifier.citation	Liu, G & Gupta, R 2007, 'A small-scale DSGE model for forecasting the South African economy', South African Journal of Economics, vol. 75, no. 2, pp. 179–193. [http://www.blackwellpublishing.com/journal.asp?ref=0038-2280&site=2]	en
dc.identifier.issn	0038-2280
dc.identifier.other	10.1111/j.1813-6982.2007.00118.x
dc.identifier.uri	http://hdl.handle.net/2263/3652
dc.language.iso	en	en
dc.publisher	Blackwell	en
dc.rights	Blackwell. The definitive version is available at www.blackwell-synergy.com	en
dc.subject	Dynamic stochastic general equilibrium (DSGE) model	en
dc.subject	VAR model	en
dc.subject	BVAR model	en
dc.subject	Forecast accuracy	en
dc.subject	Dynamic stochastic general equilibrium (DSGE) forecasts	en
dc.subject	VAR forecasts	en
dc.subject	BVAR forecasts	en
dc.subject	South African economy	en
dc.subject.lcsh	South Africa -- Economic conditions	en
dc.subject.lcsh	Economic forecasting -- Econometric models -- South Africa	en
dc.title	A small-scale DSGE model for forecasting the South African economy	en
dc.type	Postprint Article	en