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

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dc.contributor.authorAlpanda, Sami
dc.contributor.authorKotze, Kevin
dc.contributor.authorWoglom, Geoffrey
dc.date.accessioned2016-07-12T10:40:31Z
dc.date.available2016-07-12T10:40:31Z
dc.date.issued2011
dc.date.updated2016-07-12T08:38:32Z
dc.description.abstractWe 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.en_ZA
dc.identifierhttp://dx.doi.org/DOI: 10.1111/j.1813-6982.2011.01260.x
dc.identifier10.1111/j.1813-6982.2011.01260.x
dc.identifier.apacitationAlpanda, S., Kotze, K., & Woglom, G. (2011). Forecasting performance of an estimated DSGE model for the South African economy. <i>South African Journal of Economics</i>, http://hdl.handle.net/11427/20314en_ZA
dc.identifier.chicagocitationAlpanda, Sami, Kevin Kotze, and Geoffrey Woglom "Forecasting performance of an estimated DSGE model for the South African economy." <i>South African Journal of Economics</i> (2011) http://hdl.handle.net/11427/20314en_ZA
dc.identifier.citationAlpanda, 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.en_ZA
dc.identifier.issn0038-2280en_ZA
dc.identifier.ris TY - Journal Article AU - Alpanda, Sami AU - Kotze, Kevin AU - Woglom, Geoffrey AB - 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. DA - 2011 DB - OpenUCT DP - University of Cape Town J1 - South African Journal of Economics LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 SM - 0038-2280 T1 - Forecasting performance of an estimated DSGE model for the South African economy TI - Forecasting performance of an estimated DSGE model for the South African economy UR - http://hdl.handle.net/11427/20314 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/20314
dc.identifier.urihttp://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2011.01260.x/full
dc.identifier.vancouvercitationAlpanda S, Kotze K, Woglom G. Forecasting performance of an estimated DSGE model for the South African economy. South African Journal of Economics. 2011; http://hdl.handle.net/11427/20314.en_ZA
dc.languageengen_ZA
dc.publisherWileyen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.sourceSouth African Journal of Economicsen_ZA
dc.source.urihttp://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1813-6982
dc.subject.otherForecasting
dc.subject.otheropen-economy DSGE model
dc.subject.otherBayesian estimation
dc.titleForecasting performance of an estimated DSGE model for the South African economyen_ZA
dc.typeJournal Articleen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceArticleen_ZA
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