Browsing by Subject "open-economy DSGE model"

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    Forecasting performance of an estimated DSGE model for the South African economy
    (Wiley, 2011) Alpanda, Sami; Kotze, Kevin; Woglom, Geoffrey
    We construct a small open-economy New Keynesian dynamic stochastic general equilibrium (DSGE) model for South Africa with nominal rigidities, incomplete international risk sharing and partial exchange rate pass-through. The parameters of the model are estimated using Bayesian methods, and its out-of-sample forecasting performance is compared with Bayesian vector autoregression (VAR), classical VAR and random-walk models. Our results indicate that the DSGE model generates forecasts that are competitive with those from other models, and it contributes statistically significant information to combined forecast measures.