Liu, GuanglingSchaling, Eric2008-05-052008-05-052008-04Liu, G, Gupta, R & Schaling, E 2008, 'A new-Keynesian DSGE model for forecasting the South African economy', University of Pretoria, Department of Economics, Working paper series, no. 2008-05. [ http://web.up.ac.za/default.asp?ipkCategoryID=736&sub=1&parentid=677&subid=729&ipklookid=3]http://hdl.handle.net/2263/5095This 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 Bills 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 esti- mation using the Kalman filter algorithm, the out-of-sample forecasts from the NKDSGE model are then compared with the forecasts generated from the Clas- sical and Bayesian variants of the Vector Autoregression (VAR) models for the period 2001:1-2006:4. The results indicate that in terms of out-of-sample fore- casting the NKDSGE model outperforms both the Classical and the Bayesian VARs for inflation, but not for output growth and the nominal short-term inter- est rate. However, the differences in the RMSEs are not significant across the models.226457 bytesapplication/pdfenUniversity of Pretoria, Department of EconomicsNew-Keynesian DSGE modelDynamic Stochastic General Equilibrium (DSGE) modelVector autoregressive (VAR) modelBayesian vector autoregressive (BVAR) modelForecast accuracyKeynesian economics -- Mathematical modelsEconomic forecasting -- Econometric models -- South AfricaSouth Africa -- Economic conditionsWorking Paper