A small-scale DSGE model for forecasting the South African economy
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Date
Authors
Liu, Guangling
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
Publisher
Blackwell
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.
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Keywords
Dynamic stochastic general equilibrium (DSGE) model, VAR model, BVAR model, Forecast accuracy, Dynamic stochastic general equilibrium (DSGE) forecasts, VAR forecasts, BVAR forecasts, South African economy
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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]