C53 | Economic Research Southern Africa

Call for Application: Micro-simulation workshop

The Public Economics Working Group of ERSA, with the assistance of the South African Revenue Service and the Department of Economics at the University of Pretoria, has the pleasure to invite you to a micro-simulation workshop, presented by Dr Selcuk Caner, a micro-simulation expert from the IMF. The workshop will be practice orientated, taking place […]

Dr Daan Steenkamp on forecasting GDP: why trucks matter in SA

In our second podcast with Dr Daan Steenkamp, a lead economist at the South African Reserve Bank, we delve further into how nowcasting works and discuss the latest research regarding the suite of models used to forecast GDP. By using the traffic flows to determine the impact of the lockdown on our economy, the nowcasting […]

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 […]

Does the Equivalence Scale Matter? Equivalence and Out-of-Pocket Payments

We evaluate the effects of different equivalence scale parameter estimates on the distribution of catastrophic health payments in South Africa. Our analysis makes use of Xu et al.’s (2003) initial estimate, which underscores the World Health Organization’s methodology (Xu, 2005). We also update it using more recent data for one of the original countries included […]

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 […]

Nowcasting Real GDP growth in South Africa

This paper uses nowcasting to forecast real GDP growth in South Africa from 2010Q1 to 2014Q3 in real time. Such an approach exploits the ow of high-frequency information underlying the state of the economy. It overcomes one of the major challenges faced by forecasters, policymakers, and economic agents – having a clear view of the […]

Microsimulation Modelling

On 12-13 November 2015 the Public Economics Working Group of Economic Research Southern Africa (ERSA) in partnership with the South African Revenue Service intends to host an empirically practical, hands-on micro-simulation model workshop with participants mainly from national and provincial government departments, as well as universities. The workshop is a follow-up on the successful 2013 […]

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 […]

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 […]

Micro-simulation workshop

Macro Training Workshop on Now-casting Variables in South Africa

ERSA and the School of Economics at the University of Pretoria invite you to attend a Training Workshop on Now-Casting economic variables in South Africa. The principal objective of the workshop is to train academics and practitioners on Now-Casting economic variables in South Africa. ERSA and the School of Economics at the University of Pretoria […]

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 […]

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 […]

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 […]

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 […]

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. The results, based on the […]

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

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 study contains 282 quarterly series observed over the […]

Learning About the Term Structure and Optimal Rules for Inflation Targeting

In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework. We find that under flexible inflation targeting and uncertainty in the degree of persistence in the economy, allowing for active learning possibilities has effects on the optimal interest rate rule followed by the central bank. For a […]