Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model

Mehmet Balcilar; Rangan Gupta; Kevin Kotze

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Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model

机译：马尔可夫切换的小型开放经济动态随机一般均衡模型预测南非的宏观经济变量

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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 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.

机译：本文力图找出货币政策反应函数中政权转换行为和冲击方差的证据。它利用了各种小型开放经济马尔可夫切换动态随机一般均衡模型的规范，该模型已应用于1989年至2014年的南非数据。样本中的统计数据表明，某些政权切换模型可能会提供更好的结果，样本外统计数据表明，包括各种形式的政权转换不会显着改善模型的预测性能。结果还表明，在样本期内，中央银行的响应函数一直得到应用。

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来源
《Empirical Economics》 |2017年第1期|117-135|共19页
作者
Mehmet Balcilar; Rangan Gupta; Kevin Kotze;
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作者单位

Department of Economics, Eastern Mediterranean University, via Mersin 10, Famagusta,Turkish Republic of Northern Cyprus, Turkey,EPAG Business School, Paris, France,Department of Economics, University of Pretoria, Pretoria 0002, South Africa;

EPAG Business School, Paris, France,Department of Economics, University of Pretoria, Pretoria 0002, South Africa;

School of Economics, Faculty of Commerce, University of Cape Town, Middle Campus,Private Bag, Rondebosch 7701, South Africa;

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正文语种 eng
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关键词
Monetary policy; Inflation targeting; Markov-switching; Dynamic stochastic general equilibrium model; Bayesian estimation; Small open-economy;

机译：货币政策;通胀目标;马尔可夫切换动态随机一般均衡模型;贝叶斯估计;小型开放经济;

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1. A DSGE-VAR model for forecasting key South African macroeconomic variables [J] . Rangan Gupta, Rudi Steinbach Economic modelling . 2013,第jula期

机译：DSGE-VAR模型，用于预测关键的南非宏观经济变量
2. Forecasting Key Macroeconomic Variables of the South African Economy using Bayesian Variable Selection [J] . Mirriam Chitalu Chama-Chiliba, Rangan Gupta, Nonophile Nkambule, Journal of Applied Sciences . 2012,第7期

机译：贝叶斯变量选择预测南非经济的关键宏观经济变量
3. A large factor model for forecasting macroeconomic variables in South Africa [J] . Rangan Gupta, Alain Kabundi International journal of forecasting . 2011,第4期

机译：预测南非宏观经济变量的大因素模型
4. An evaluation fo two wave forecast models for the south african region [C] . M.Rossouw, D.Phelp International conference on coastal engineering;ICCE96 . 1997

机译：南非地区两种波浪预报模型的评估
5. Essays on Markov-Switching Dynamic Stochastic General Equilibrium Models. [D] . Foerster, Andrew T. 2011

机译：关于马尔可夫切换动态随机一般均衡模型的论文。
6. Macroeconomic impact of a mild influenza pandemic and associated policies in Thailand South Africa and Uganda: a computable general equilibrium analysis [O] . Richard D. Smith, Marcus R. Keogh‐Brown 2013

机译：泰国南非和乌干达的轻度流感大流行及其相关政策的宏观经济影响：可计算的一般均衡分析
7. Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model [O] . Mehmet Balcilar, Rangan Gupta, Kevin Kotzé 2016

机译：用马尔可夫切换小开放式动态随机通用均衡模型预测南非宏观经济变量

Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model

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