dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.contributor.author |
Kotze, Kevin
|
|
dc.date.accessioned |
2017-08-18T08:41:39Z |
|
dc.date.issued |
2017-08 |
|
dc.description.abstract |
This paper seeks to identify evidence of regime-switching behaviour in the monetary policy response function and the variance of the shocks. It makes use of various specifications of a small open-economy Markov-switching dynamic stochastic general equilibrium model that is applied to South African data from 1989 to 2014. While the in-sample statistics suggest that some of the regime-switching models may provide superior results, the out-of-sample statistics suggest that the inclusion of various forms of regime-switching does not significantly improve upon the forecasting performance of the model. The results also suggest that the central bank response function has been consistently applied over the sample period. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.embargo |
2018-08-30 |
|
dc.description.librarian |
hj2017 |
en_ZA |
dc.description.uri |
http://link.springer.com/journal/181 |
en_ZA |
dc.identifier.citation |
Balcilar, M., Gupta, R. & Kotze, K. 2017, 'Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model', Empirical Economics, vol. 53, no. 1, pp. 117-135. |
en_ZA |
dc.identifier.issn |
0377-7332 (print) |
|
dc.identifier.issn |
1435-8921 (online) |
|
dc.identifier.other |
10.1007/s00181-016-1157-6 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/61724 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Springer |
en_ZA |
dc.rights |
© Springer-Verlag Berlin Heidelberg 2016. The original publication is available at http://link.springer.comjournal/181. |
en_ZA |
dc.subject |
Monetary policy |
en_ZA |
dc.subject |
Inflation targeting |
en_ZA |
dc.subject |
Markov-switching |
en_ZA |
dc.subject |
Dynamic stochastic general equilibrium (DSGE) model |
en_ZA |
dc.subject |
Bayesian estimation |
en_ZA |
dc.subject |
Small open-economy |
en_ZA |
dc.title |
Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model |
en_ZA |
dc.type |
Postprint Article |
en_ZA |