Forecasting performance of an estimated DSGE model for the South African economy

Journal Article

2011

Permanent link to this Item
http://hdl.handle.net/11427/20314
 http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2011.01260.x/full
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Alpanda_Forecasting_performance_2011.pdf (164.26 KB)
Authors
Alpanda, Sami
Kotze, Kevin
Woglom, Geoffrey
Journal Title

South African Journal of Economics

Link to Journal
http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1813-6982
Journal ISSN
Volume Title
Publisher

Wiley

Publisher

University of Cape Town

Department
School of Economics
Faculty
Faculty of Commerce
License
Series
Abstract
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.
Description
Keywords
Forecasting
open-economy DSGE model
Bayesian estimation

Reference:

Alpanda, S., Kotzé, K., & Woglom, G. (2011). Forecasting performance of an estimated DSGE model for the South African economy. South African Journal of Economics, 79(1), 50-67.

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