Liu, GuanglingGupta, RanganSchaling, Eric2010-06-222010-06-222009-08Liu, G, Gupta, R & Schaling, E 2009, 'A New-Keynesian DSGE model for forecasting the South African economy', Journal of Forecasting, vol. 28, no. 5, pp. 387-404. [http://www3.interscience.wiley.com/journal/2966/home]0277-669310.1002/for.1103http://hdl.handle.net/2263/14319This paper develops a New-Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model for forecasting the growth rate of output, inflation, and the nominal short-term interest rate (91 days Treasury Bill rate) for the South African economy. The model is estimated via maximum likelihood technique for quarterly data over the period of 1970:1-2000:4. Based on a recursive estimation using the Kalman filter algorithm, out-of-sample forecasts from the NKDSGE model are compared with forecasts generated from the classical and Bayesian variants of vector autoregression (VAR) models for the period 2001:1-2006:4. The results indicate that in terms of out-of-sample forecasting, the NKDSGE model outperforms both the classical and Bayesian VARs for inflation, but not for output growth and nominal short-term interest rate. However, differences in RMSEs are not significant across the models.enWiley-Blackwell. This is the pre-peer reviewed version of the following article: Gupta, R, Liu, G & Schaling, E 2009, 'A new-Keynesian DSGE model for forecasting the South African economy', Journal of Forecasting, vol. 28, no. 5, pp. 387-404, which has been published in final form at http://www3.interscience.wiley.com/journal/121459622/abstract.New-Keynesian DSGE modelDynamic Stochastic General Equilibrium (DSGE) modelVector autoregressive (VAR) modelBayesian vector autoregressive (BVAR) modelForecast accuracyEconomic forecasting -- Econometric models -- South AfricaSouth Africa -- Economic conditionsKeynesian economics -- Mathematical modelsPreprint Article