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A Bvar Model For The South African Economy

  • Rangan Gupta
  • Moses m. Sichei

The paper develops a Bayesian vector autoregressive (BVAR) model of the South African economy for the period of 1970:1-2000:4 and forecasts GDP, consumption, investment, short-term and long term interest rates, and the CPI. We find that a tight prior produces relatively more accurate forecasts than a loose one. The out-of-sample-forecast accuracy resulting from the BVAR model is compared with the same generated from the univariate and unrestricted VAR models. The BVAR model is found to produce the most accurate out of sample forecasts. The same is also capable of correctly predicting the direction of change in the chosen macroeconomic indicators. Copyright (c) 2006 The Authors. Journal compilation (c) 2006 Economic Society of South Africa.

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Article provided by Economic Society of South Africa in its journal South African Journal of Economics.

Volume (Year): 74 (2006)
Issue (Month): 3 (09)
Pages: 391-409

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Handle: RePEc:bla:sajeco:v:74:y:2006:i:3:p:391-409
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