A BVAR model for the South African economy
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Date
Authors
Gupta, Rangan
Sichei, Moses Muse
Journal Title
Journal ISSN
Volume Title
Publisher
Blackwell
Abstract
The paper develops a Bayesian vector autoregressive (BVAR) model of the South African economy for the period of 1970:1-2000:4 and forecasts GDP, consumption, investment, short-term and long term interest rates, and the CPI. We find that a tight prior produces relatively more accurate forecasts than a loose one. The out-of-sample-forecast accuracy resulting from the BVAR model is compared with the same generated from the univariate and unrestricted VAR models. The BVAR model is found to produce the most accurate out of sample forecasts. The same is also capable of correctly predicting the direction of change in the chosen macroeconomic indicators.
Description
Keywords
South African economy, Bayesian vector autoregressive (BVAR) model, Economic forecasting, Vector autoregressive (VAR) model
Sustainable Development Goals
Citation
Gupta, R & Sichei, MM 2006, 'A BVAR model for the South African economy', South African Journal of Economics, vol. 74, no. 3, pp. 391–409. [http://www.blackwellpublishing.com/journal.asp?ref=0038-2280&site=1]