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Money and Interest Rates: Forecasting and Simulation: Models and Applications


Welfare analysis of bank capital requirements with endogenous default

Fernando Garcia-Barragan and Guangling Liu
This paper presents a tractable framework with endogenous default and evaluates the welfare implication of bank capital requirements. We analyze the response of social welfare to a negative technology shock under different capital requirement regimes with and without default. We show that including...
Jun 2017
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Effects of South African Monetary Policy Implementation on the CMA: A Panel Vector Autoregression Approach

Monaheng Seleteng (PhD)
The paper investigates the effects of South African monetary policy implementation on selected macroeconomic variables in the rest of the Common Monetary Area (CMA) looking specifically at the response of a shock to South African key interest rate (repo rate) on macroeconomic variables such as the...
Oct 2016
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Interaction of Formal and Informal Financial Markets in Quasi-Emerging Market Economies

Harold P.E. Ngalawa and Nicola Viegi
The primary objective of this paper is to investigate the interaction of formal and informal financial markets and their impact on economic activity in quasi-emerging market economies. Using a four-sector dynamic stochastic general equilibrium model with asymmetric information in the formal...
Jan 2013
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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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