dc.contributor.author |
Liu, Guangling
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Schaling, Eric
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dc.date.accessioned |
2010-06-22T11:53:02Z |
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dc.date.available |
2010-06-22T11:53:02Z |
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dc.date.issued |
2009-08 |
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dc.description.abstract |
This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood technique for quarterly data over the period of 1970:1-2000:4. Based on a recursive estimation using the Kalman filter algorithm, out-of-sample forecasts from the NKDSGE model are compared with forecasts generated from the classical and Bayesian variants of vector autoregression (VAR) models for the period 2001:1-2006:4. The results indicate that in terms of out-of-sample forecasting, the NKDSGE model outperforms both the classical and Bayesian VARs for inflation, but not for output growth and nominal short-term interest rate. However, differences in RMSEs are not significant across the models. |
en |
dc.identifier.citation |
Liu, G, Gupta, R & Schaling, E 2009, 'A New-Keynesian DSGE model for forecasting the South African economy', Journal of Forecasting, vol. 28, no. 5, pp. 387-404. [http://www3.interscience.wiley.com/journal/2966/home] |
en |
dc.identifier.issn |
0277-6693 |
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dc.identifier.other |
10.1002/for.1103 |
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dc.identifier.uri |
http://hdl.handle.net/2263/14319 |
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dc.language.iso |
en |
en_US |
dc.publisher |
Wiley-Blackwell |
en_US |
dc.rights |
Wiley-Blackwell. This is the pre-peer reviewed version of the following article: Gupta, R, Liu, G & Schaling, E 2009, 'A new-Keynesian DSGE model for forecasting the South African economy', Journal of Forecasting, vol. 28, no. 5, pp. 387-404, which has been published in final form at http://www3.interscience.wiley.com/journal/121459622/abstract. |
en_US |
dc.subject |
New-Keynesian DSGE model |
en |
dc.subject |
Dynamic Stochastic General Equilibrium (DSGE) model |
en |
dc.subject |
Vector autoregressive (VAR) model |
en |
dc.subject |
Bayesian vector autoregressive (BVAR) model |
en |
dc.subject |
Forecast accuracy |
en |
dc.subject.lcsh |
Economic forecasting -- Econometric models -- South Africa |
en |
dc.subject.lcsh |
South Africa -- Economic conditions |
en |
dc.subject.lcsh |
Keynesian economics -- Mathematical models |
en |
dc.title |
A New-Keynesian DSGE model for forecasting the South African economy |
en |
dc.type |
Preprint Article |
en |