Essays on dynamic macroeconomics
Date
2014-04
Authors
Steinbach, Max Rudibert
Journal Title
Journal ISSN
Volume Title
Publisher
Stellenbosch : Stellenbosch University
Abstract
ENGLISH ABSTRACT: In the first essay of this thesis, a medium scale DSGE model is developed and
estimated for the South African economy. When used for forecasting, the model is
found to outperform private sector economists when forecasting CPI inflation, GDP
growth and the policy rate over certain horizons.
In the second essay, the benchmark DSGE model is extended to include the
yield on South African 10-year government bonds. The model is then used to decompose
the 10-year yield spread into (1) the structural shocks that contributed
to its evolution during the inflation targeting regime of the South African Reserve
Bank, as well as (2) an expected yield and a term premium. In addition, it is found
that changes in the South African term premium may predict future real economic
activity.
Finally, the need for DSGE models to take account of financial frictions became
apparent during the recent global financial crisis. As a result, the final essay incorporates
a stylised banking sector into the benchmark DSGE model described above.
The optimal response of the South African Reserve Bank to financial shocks is then
analysed within the context of this structural model.
Description
Thesis (PhD)--Stellenbosch University, 2014.
Keywords
Dissertations -- Economics, Theses -- Economics, Macroeconomics -- Econometric models, Economic forecasting -- Econometric models, South Africa -- Economic conditions -- Econometric models, UCTD