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E37

Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications

Publication

Revisiting the accuracy of inflation forecasts in Nigeria: The oil price-exchange rate-asymmetry perspectives

Kazeem Isah, Abdulkader Cassim Mahomedy, Elias Udeaja, Ojo Adelakun & Yusuf Yakubua
Motivated by the distinctive paradoxical nature of the Nigerian economy as the only OPEC oil-exporting economy that yet depends heavily on the importation of gasoline, we are compelled to re-examine the accuracy of the oil-based augmented Philips curve model in the predictability of inflation...
Feb 2022
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Publication

Measuring and Testing a Modified Version of the South African Financial Cycle

Malibongwe C Nyati, Christian K Tipoy and Paul F Muzindutsi
This study reports on measuring and testing of a Composite Financial Cycle Index (CFCI) as a modified version of a South African Financial Cycle (FC). This is achieved through the adoption of thirteen monthly financial time series indicators observed over the period 2000M1 to 2018M12. In this...
Oct 2021
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Publication

The effectiveness of counter-cyclical loan-to-value regulations: generic versus sector-specific rules

Guangling Liu and Thabang Molise
This paper considers the implications of the counter-cyclical loan-to-value (CcLTV) regulation in a setting where different types of borrowers from distinct sectors of the credit market co-exist. To identify the optimal policy design, we consider two macro-prudential policy regimes, nanely generic...
Aug 2019
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Publication

Can currency in circulation predict South African economic activity?

Cobus Vermeulen, Adél Bosch, Fanie Joubert and Jannie Rossouw
The money supply can be broadly defined as consisting of currency and deposits. While currency forms but a small portion of the total money supply, it can be a crucial determinant of spending behaviour and subsequently economic activity. The ability of the money supply to predict an up- or...
Feb 2016
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Publication

A Note on the (continued) Ability of the Yield Curve to Forecast Economic Downturns in South Africa

Ferdi Botha & Gavin Keeton
In 2002/03 the yield spread falsely signalled a downswing that never materialised. This paper provides two reasons for this false signal. Firstly, while the Reserve Bank never actually officially declared the start of a downswing, by other important measures a downswing did actually occur. It is to...
Aug 2014
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Publication

Towards a Measure of Core Inflation using Singular Spectrum Analysis

Franz Ruch and Dirk Besteri
This paper constructs a number of possible core measures of annual inflation using Singular Spectrum Analysis (SSA). Annual inflation is decomposed into its trend, oscillating and noise components in order to develop an understanding of the trend and cyclicality in South African headline inflation...
Nov 2011
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Publication

Forecasting the South African Economy: A DSGE-VAR Approach

Guangling ‘Dave’ Liu, Rangan Gupta and Eric Schaling
This paper develops an estimable hybrid model that combines the micro-founded DSGE model with the flexibility of the theoretical VAR model. The model is estimated via the maximum likelihood technique based on quarterly data on real Gross National Product (GNP), consumption, investment and hours...
Jul 2007
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Publication

Antitrust Analysis for the Internet Upstream Market: a BGP Approach

Alessio D’Ignazio & Emanuele Giovannetti
In this paper we study concentration in the European Internet upstream access market. The possibility of measuring market concentration depends on a correct definition of the market itself; however, this is not always possible, since, as it is the case of the Internet industry, very often Antitrust...
Apr 2006
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