C53

Forecasting and Prediction Methods; Simulation Methods

Estimating a time-varying financial conditions index for South Africa?

This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying factor loadings proposed by Koop and Korobilis (2014) based on the principal component analysis and the Kalman smoother.

Stock Return Predictability in South Africa: An Alternative Approach

There is considerable debate internationally as to whether share returns are predictable. The limited evidence in South Africa (Gupta and Modise, 2012a, b and 2013) reveals that valuation ratios have no forecasting power but the Treasury bill rate, term spread and money supply have been found to be able to predict share returns at a relatively short horizon. In this study, the consumption aggregate wealth ratio of Lettau and Ludvigson (2001) is applied to South African share returns to assess its forecasting power using in-sample tests over both short and long horizons.

Counter-Cyclical Capital Buffers and Interest-Rate Policy as Complements – The Experience of South Africa

Counter-cyclical capital buffers are increasingly popular new "macroprudential" tools. However, there is limited empirical evidence on both the intended and unintended consequences of using these buffers. During the pre-crisis period (2002--2007), South Africa increased capital adequacy ratios to curb rapid credit extension, and so provides a useful test case. Using a new data set from that period, this paper extends a standard large-scale macroeconomic model to include capital adequacy ratios as a policy lever.

Important Channels of Transmission Monetary Policy Shock in South Africa

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 cross-section of variables without running out of degree of freedom. The benefit of this frame-

Effects of climatic conditions and agro-ecological settings on the productive efficiencies of small-holder farmers in Ethopia

This study argues that the adaptation measures farmers take to reduce the negative impacts of climate change do affect farmers’ efficiency of production. To support this argument, two steps were followed to understand how climatic factors especially long term average seasonal rainfall and temperature; and agro-ecological settings affect production efficiency in Ethiopian agriculture. In the first step, the stochastic frontier approach was employed to analyze the farm level technical efficiency.

Forecasting Monetary Policy Rules in South Africa

This paper is the first one to: (i) provide in-sample estimates of linear and nonlinear Taylor rules augmented with an indicator of financial stability for the case of South Africa, (ii) analyse the ability of linear and nonlinear monetary policy rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting that describes the South African Reserve Bank (SARB) policy decisions.

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

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, the large-scale BVARs, estimated under alternative hyperparameter values specifying the priors, are used to forecast real house price growth rates over a 24-quarter out-ofsample horizon of 2001:01 to 2006:04.

Managing Disinflation under Uncertainty

In this paper we analyze disinflation policy when a central bank has imperfect information about private sector inflation expectations but learns about them from economic outcomes, which are in part the result of the disinflation policy itself. The form of uncertainty is manifested as uncertainty about the effect of past disinflation policy on the current output gap. This differs from other studies on learning and control in a monetary policy context (e.g. Ellison (2006) and Svensson and Williams (2007)) that assume uncertainty about the effects of current policy actions on the economy.

A Large Factor Model for Forecasting Macroeconomic Variables in South Africa

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 observed over the period of 1980Q1-2006Q4.

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