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C11

Bayesian Analysis: General

Publication

Big data forecasting of South African inflation

Byron Botha, Rulof Burger, Kevin Kotze, Neil Rankin, and Daan Steenkamp
We investigate whether the use of machine learning techniques and big data can enhance the accuracy of inflation forecasts and our understanding of the drivers of South African inflation. We make use of a large dataset for the disaggregated prices of consumption goods and services to compare the...
Feb 2022
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Publication

Is There a SADC Business Cycle? Evidence from a Dynamic Factor Model

Ntokozo Patrick Nzimande and Harold Ngalawa
Countries that adopt a common currency automatically relinquish their monetary policy autonomy. Hence, it is imperative for countries wanting to join a currency union to ensure that their business cycles are synchronized in order to ensure symmetric propagation of the effect of monetary policy. Put...
Nov 2016
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Publication

The impact of monetary policy on household consumption in South Africa. Evidence from Vector Autoregressive Techniques

Emmanuel Owusu-Sekyere
This paper investigates the “cost of credit effect” of monetary policy on household consumption of final goods and services in South Africa, testing the hypotheses of the Keynesian interest rate channel of monetary policy transmission. We focus on three periods; post transition from apartheid,...
Apr 2016
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Publication

Bayesian learning with multiple priors and non-vanishing ambiguity

Alexander Zimper and Wei Ma
The existing models of Bayesian learning with multiple priors by Marinacci (2002) and by Epstein and Schneider (2007) formalize the intuitive notion that ambiguity should vanish through statistical learning in an one-urn environment. Moreover, the multiple priors decision maker of these models will...
Jun 2015
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Publication

Important Channels of Transmission Monetary Policy Shock in South Africa

Nombulelo Gumata, Alain Kabundi and Eliphas Ndou
This paper investigates the di¤erent channels of transmission of monetary policy shock in South Africa in a data-rich environment. The analysis contains 165 quarterly variables observed from 1990Q1 to 2012Q2. We use a Large Bayesian Vector Autoregressive model, which can easily accommodate a large...
Sep 2013
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Publication

Monetary Policy Response to Foreign Aid in an Estimated DSGE Model of Malawi

Chance Mwabutwa, Manoel Bittencourt and Nicola Viegi
This paper estimates a Bayesian Dynamic Stochastic General Equilibrium (DSGE) model of Malawi and uses it to account for short-run monetary policy response to aid inflows between 1980 and 2010. In particular, the paper evaluates the existence of a “Dutch Disease” following an increase in foreign...
May 2013
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Publication

Could we have predicted the recent downturn in the South African Housing Market?

Sonali Das, Rangan Gupta and Alain Kabundi
This paper develops large-scale Bayesian Vector Autoregressive (BVAR) models, based on 268 quarterly series, for forecasting annualized real house price growth rates for large-, medium and small-middle-segment housing for the South African economy. Given the in-sample period of 1980:01 to 2000:04,...
Oct 2009
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Publication

A Large Factor Model for Forecasting Macroeconomic Variables in South Africa

Rangan Gupta and Alain Kabundi
This paper uses large Factor Models (FMs) which accommodates a large cross-section of macroeconomic time series for forecasting per capita growth rate, inflation, and the nominal short-term interest rate for the South African economy. The FMs used in this study contains 267 quarterly series...
Apr 2009
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Publication

Is a DFM well suited for forecasting regional house price inflation?

Sonali Das, Rangan Gupta and Alain Kabund
This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting regional house price inflation. As a case study, we use data on house price inflation for five metropolitan areas of South Africa. The DFM used in this...
Jul 2008
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