A Small-Scale Dsge Model For Forecasting The South African Economy
AbstractThis paper uses a version of Hansen's (1985) Dynamic Stochastic General Equilibrium (DSGE) model to forecast the South African economy. The calibrated model, based on annual data over the period of 1970-2000, is used to generate one- to eight-quarters-ahead out-of-sample forecast errors for the period of 2001:1 to 2005:4. The forecast errors are then compared with the unrestricted versions of the Classical and Bayesian VARs. A Bayesian VAR with relatively loose priors outperforms both the classical VAR and the DSGE model. Copyright (c) 2007 The Authors; Journal compilation (c) Economic Society of South Africa 2007.
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Bibliographic InfoArticle provided by Economic Society of South Africa in its journal South African Journal of Economics.
Volume (Year): 75 (2007)
Issue (Month): 2 (06)
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Postal: PO Box 929, 0001 Pretoria
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0038-2280
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Other versions of this item:
- Guangling (Dave) Liu & Rangan Gupta, 2006. "A Small-Scale DSGE Model for Forecasting the South African Economy," Working Papers 200621, University of Pretoria, Department of Economics.
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
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