Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model

Mehmet Balcilar, Rangan Gupta and Kevin Kotze

No 2016-05, School of Economics Macroeconomic Discussion Paper Series from School of Economics, University of Cape Town

Abstract: This paper seeks to identify evidence of regime-switching behaviour in the monetary policy response function and the variance of the shocks. It makes use of various specifications of a small open-economy Markov-switching dynamic stochastic general equilibrium (DSGE) model that is applied to South African data from 1989 to 2014. While the in-sample statistics suggest that some of the regime-switching models may provide superior results, the out-of-sample statistics suggest that the inclusion of various forms of regime-switching does not significantly improve upon the forecasting performance of the model. The results also suggest that the central bank response function has been consistently applied over the sample period.

Date: 2016
New Economics Papers: this item is included in nep-dge and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://docs.google.com/viewer?a=v&pid=sites&srcid ... N2RhZjM2NTM1OWNjY2Qx Full text (application/pdf)

Related works:
Journal Article: Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model (2017)
Working Paper: Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ctn:dpaper:2016-05

Access Statistics for this paper

More papers in School of Economics Macroeconomic Discussion Paper Series from School of Economics, University of Cape Town Contact information at EDIRC.
Bibliographic data for series maintained by Kevin Kotze ().