De Waal, Annari; Van Eyden, Renee; Gupta, Rangan(Routledge, 2015)
This study determines whether the global vector autoregressive (GVAR)
approach provides better forecasts of key South African variables than a
vector error correction model (VECM) and a Bayesian vector autoregressive
(BVAR) ...
De Waal, Annari; Van Eyden, Renee(Routledge, 2016-03)
The substantial change in South Africa’s trade patterns over the past two decades has
affected the impact of economic shocks in major world economies on South Africa. To investigate the
effect, we use a global vector ...
De Waal, Annari; Van Eyden, Renee(Wiley-Blackwell, 2014-03)
We develop a structural cointegrated vector autoregressive (VAR) model with weakly exogenous
foreign variables, known as an augmented VECM or VECX*, suitable for a small open economy
like South Africa. This model is novel ...
De Waal, Annari; Gupta, Rangan; Jooste, Charl(Routledge, 2018)
We study the response of South African monetary policy decisions to foreign monetary policy shocks. We estimate the extent of foreign monetary policy pass through by augmenting standard Taylor rules and comparing the results ...
