DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa

dc.contributor.authorGupta, Rangan
dc.contributor.authorKanda, Patrick T.
dc.contributor.authorModise, Mampho P.
dc.contributor.authorPaccagnini, Alessia
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2015-01-23T09:05:31Z
dc.date.available2015-01-23T09:05:31Z
dc.date.issued2015
dc.description.abstractInflation forecasts are a key ingredient for monetary policy-making – especially in an inflation targeting country such as South Africa. Generally, a typical Dynamic Stochastic General Equilibrium (DSGE) only includes a core set of variables. As such, other variables, for example alternative measures of inflation that might be of interest to policy-makers, do not feature in the model. Given this, we implement a closed-economy New Keynesian DSGE model-based procedure which includes variables that do not explicitly appear in the model.We estimate such a model using an in-sample covering 1971Q2 to 1999Q4 and generate recursive forecasts over 2000Q1 to 2011Q4. The hybrid DSGE performs extremely well in forecasting inflation variables (both core and nonmodelled) in comparison with forecasts reported by other models such as AR(1). In addition, based on ex-ante forecasts over the period 2012Q1–2013Q4, we find that the DSGE model performs better than the AR(1) counterpart in forecasting actual GDP deflator inflation.en_ZA
dc.description.embargo2016-05-30en_ZA
dc.description.librarianhb2015en_ZA
dc.description.urihttp://www.tandfonline.com/loi/raec20en_ZA
dc.identifier.citationRangan Gupta, Patrick T. Kanda, Mampho P. Modise & Alessia Paccagnini (2015) DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa, Applied Economics, 47:3, 207-221, DOI:10.1080/00036846.2014.959707.en_ZA
dc.identifier.issn0003-6846 (print)
dc.identifier.issn1466-4283 (online)
dc.identifier.other10.1080/00036846.2014.959707
dc.identifier.urihttp://hdl.handle.net/2263/43403
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© 2014 Taylor and Francis. This is an electronic version of an article published in Applied Economics, vol. 47, no.3, pp. 207-221, 2015. doi :10.1080/00036846.2014.959707. Applied Economics is available online at : http://www.tandfonline.comloi/raec20en_ZA
dc.subjectDynamic stochastic general equilibrium (DSGE) modelen_ZA
dc.subjectInflationen_ZA
dc.subjectCore variablesen_ZA
dc.subjectNoncore variablesen_ZA
dc.subjectSouth Africa (SA)en_ZA
dc.titleDSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africaen_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Gupta_DSGE_2015.pdf
Size:
450.15 KB
Format:
Adobe Portable Document Format
Description:
Postprint Article

License bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description: