Do we need a global VAR model to forecast inflation and output in South Africa?

References

• Alpanda, S., Kotzé, K. and Woglom, G. (2011) Forecasting performance of an estimated DSGE model for the South African economy, South African Journal of Economics, 79, 50–67. doi:10.1111/j.1813-6982.2011.01260.x
   Web of Science ®Google Scholar
• Assenmacher, K. (2013) Forecasting the Swiss economy with a small GVAR model, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• Assenmacher-Wesche, K. and Geissmann, D. (2013) Forecasting Swiss Inflation and GDP with a Small Global VAR Model, Swiss National Bank, Zurich.
   Google Scholar
• Bai, J. and Perron, P. (2003) Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1–22. doi:10.1002/jae.659
   Web of Science ®Google Scholar
• Balcilar, M., Gupta, R. and Kotzé, K. 2013. Forecasting South African macroeconomic data with a nonlinear DSGE model, Working Paper No. 2013-13. University of Pretoria, Department of Economics.
   Google Scholar
• Banbura, M., Giannone, D. and Reichlin, L. (2010) Large Bayesian VARs, Journal of Applied Econometrics, 25, 71–92.
   Web of Science ®Google Scholar
• Bloor, C. and Matheson, T. (2010) Analysing shock transmission in a data-rich environment: a large BVAR for New Zealand, Empirical Economics, 39, 537–58. doi:10.1007/s00181-009-0317-3
   Web of Science ®Google Scholar
• Cesa-Bianchi, A., Pesaran, M. H., Rebucci, A. et al. (2012) China’s emergence in the world economy and business cycles in Latin America, Economia, Journal of the Latin American and Caribbean Economic Association, 12, 1–75.
   Google Scholar
• Chudik, A. and Pesaran, M. H. 2014. Theory and practice of GVAR modeling. University of Southern California, Center for Applied Financial Economics (CAFE), Research Paper 14.04.
   Google Scholar
• De Mol, C., Giannone, D. and Reichlin, L. (2008) Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?, Journal of Econometrics, 146, 318–28. doi:10.1016/j.jeconom.2008.08.011
   Web of Science ®Google Scholar
• De Waal, A. and Van Eyden, R. (2014) Monetary policy and inflation in South Africa: a VECM augmented with foreign variables, South African Journal of Economics, 82, 117–40. doi:10.1111/saje.12027
   Web of Science ®Google Scholar
• De Waal, A. and Van Eyden, R. (forthcoming) The impact of economic shocks in the rest of the world on South Africa: evidence from a global VAR, Emerging Markets Finance and Trade.
   Web of Science ®Google Scholar
• Dées, S., Di Mauro, F., Pesaran, M. H. et al. [DDPS] (2007a) Exploring the international linkages of the euro area: a global VAR analysis, Journal of Applied Econometrics, 22, 1–38. doi:10.1002/jae.932
   Web of Science ®Google Scholar
• Dées, S., Holly, S., Pesaran, M. H. et al. [DHPS] (2007b) Long run macroeconomic relations in the global economy, Economics: The Open-Access, Open-Assessment E-Journal, 1, 1–20.
   Google Scholar
• Dées, S., Pesaran, M. H., Smith, L. V. et al. (2013) Constructing multi-country rational expectations models, Oxford Bulletin of Economics and Statistics. doi:10.1111/obes.12046
   PubMed Web of Science ®Google Scholar
• Di Mauro, F. and Pesaran, M. H. (2013) Introduction: an overview of the GVAR approach and the handbook, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• Di Mauro, F. and Smith, L. V. (2013) The basic GVAR DdPS model, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• Doan, T. A., Litterman, R. B. and Sims, C. A. (1984) Forecasting and conditional projection using realistic prior distributions, Econometric Reviews, 3, 1–100. doi:10.1080/07474938408800053
   Google Scholar
• Eickmeier, S. and Ng, T. 2011. How do credit supply shocks propogate internationally? A GVAR approach, Discussion Paper No. 8720, CEPR, London.
   Google Scholar
• Garratt, A., Lee, K., Pesaran, M. H. et al. (2006) Global and National Macroeconometric Modelling: A Long-Run Structural Approach, Oxford University Press, Oxford.
   Google Scholar
• Garratt, A., Lee, K. and Shields, K. (2013) Global recessions and output interdependencies in a GVAR model of actual and expected output in the G7, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• Greenwood-Nimmo, M., Nguyen, V. H. and Shin, Y. (2013) Using global VAR models for scenario-based forecasting and policy analysis, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• Greenwood-Nimmo, M. J., Nguyen, V. H. and Shin, Y. (2012) Probabilistic forecasting of output growth, inflation and the balance of trade in a GVAR framework, Journal of Applied Econometrics, 27, 554–73.
   Web of Science ®Google Scholar
• Gupta, R. (2006) Forecasting the South African economy with VARs and VECMs, The South African Journal of Economics, 74, 611–28. doi:10.1111/j.1813-6982.2006.00090.x
   Web of Science ®Google Scholar
• Gupta, R. (2007) Forecasting the South African economy with Gibbs sampled BVECMs, The South African Journal of Economics, 75, 631–43. doi:10.1111/j.1813-6982.2007.00141.x
   Web of Science ®Google Scholar
• Gupta, R. and Kabundi, A. (2010) Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models, Journal of Forecasting, 29, 168–85. doi:10.1002/for.1143
   Web of Science ®Google Scholar
• Gupta, R. and Kabundi, A. (2011) A large factor model for forecasting macroeconomic variables in South Africa, International Journal of Forecasting, 27, 1076–88. doi:10.1016/j.ijforecast.2010.10.001
   Web of Science ®Google Scholar
• Gupta, R., Kanda, P. T., Modise, M. P. et al. (forthcoming) DSGE model-based forecasting of modeled and non-modeled inflation variables in South Africa, Applied Financial Economics.
   Google Scholar
• Gupta, R. and Sichei, M. M. (2006) A BVAR model for the South African economy, The South African Journal of Economics, 74, 391–409. doi:10.1111/j.1813-6982.2006.00077.x
   Web of Science ®Google Scholar
• Gupta, R. and Steinbach, R. (2013) A DSGE-VAR model for forecasting key South African macroeconomic variables, Economic Modelling, 33, 19–33. doi:10.1016/j.econmod.2013.03.012
   Web of Science ®Google Scholar
• Kinal, T. and Ratner, J. (1986) A VAR forecasting model of a regional economy: its construction and comparative accuracy, International Regional Science Review, 10, 113–26. doi:10.1177/016001768601000202
   Web of Science ®Google Scholar
• Litterman, R. B. (1986) Forecasting with Bayesian vector autoregressions – five years’ experience, Journal of Business and Economic Statistics, 4, 25–38.
   Web of Science ®Google Scholar
• Liu, G. and Gupta, R. (2007) A small-scale DSGE model for forecasting the South African economy, The South African Journal of Economics, 75, 179–93. doi:10.1111/j.1813-6982.2007.00118.x
   Web of Science ®Google Scholar
• Liu, G., Gupta, R. and Schaling, E. (2009) A New-Keynesian DSGE model for forecasting the South African economy, Journal of Forecasting, 28, 387–404. doi:10.1002/for.1103
   Web of Science ®Google Scholar
• Liu, G., Gupta, R. and Schaling, E. (2010) Forecasting the South African economy: a hybrid-DSGE approach, Journal of Economic Studies, 37, 181–95. doi:10.1108/01443581011043573
   Google Scholar
• Lucas Jr, R. E. (1976) Econometric policy evaluation: a critique, Carnegie Rochester Conference Series on Public Policy, 1, 19–46. doi:10.1016/S0167-2231(76)80003-6
   Google Scholar
• Lui, S. and Mitchell, J. (2013) Nowcasting quarterly euro-area GDP growth using a global VAR model, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• McCracken, M. W. (2007) Asymptotics for out-of-sample tests of Granger causality, Journal of Econometrics, 140, 719–52. doi:10.1016/j.jeconom.2006.07.020
   Web of Science ®Google Scholar
• Ngoie, J. K. and Zellner, A. (2012) The use of a Marshallian macroeconomic model for policy evaluation: case of South Africa, Macroeconomic Dynamics, 16, 423–48. doi:10.1017/S1365100510000519
   Web of Science ®Google Scholar
• Pesaran, M. H., Schuermann, T. and Smith, L. V. (2009a) Forecasting economic and financial variables with global VARs, International Journal of Forecasting, 25, 642–75. doi:10.1016/j.ijforecast.2009.08.007
   Web of Science ®Google Scholar
• Pesaran, M. H., Schuermann, T. and Smith, L. V. (2009b) Rejoinder to comments on forecasting economic and financial variables with global VARs, International Journal of Forecasting, 25, 703–15. doi:10.1016/j.ijforecast.2009.09.001
   Web of Science ®Google Scholar
• Pesaran, M. H., Schuermann, T. and Weiner, S. (2004) Modeling regional interdependencies using a global error-correcting macroeconometric model, Journal of Business and Economic Statistics, 22, 129–62. doi:10.1198/073500104000000019
   Web of Science ®Google Scholar
• Pesaran, M. H., Shin, Y. and Smith, R. J. (2000) Structural analysis of vector error correction models with exogenous I(1) variables, Journal of Econometrics, 97, 293–343. doi:10.1016/S0304-4076(99)00073-1
   Web of Science ®Google Scholar
• Pesaran, M. H. and Smith, R. (2006) Macroeconometric modelling with a global perspective, The Manchester School, 74, 24–49. doi:10.1111/j.1467-9957.2006.00516.x
   Web of Science ®Google Scholar
• Shoesmith, G. L. (1992) Co-integration, error correction and improved medium-term regional VAR forecasting, Journal of Forecasting, 11, 91–109. doi:10.1002/for.3980110202
   Web of Science ®Google Scholar
• Sims, C. A. (1980) Macroeconomics and reality, Econometrica, 48, 1–48. doi:10.2307/1912017
   Web of Science ®Google Scholar
• Sims, C. A., Stock, J. H. and Watson, M. W. (1990) Inference in linear time series models with some unit roots, Econometrica, 58, 113–44. doi:10.2307/2938337
   Web of Science ®Google Scholar
• Smith, L. V. 2011. A course on global VAR modelling. Course Presented at the EcoMod Modeling School in Brussels, Belgium, 11–13 July.
   Google Scholar
• Smith, L. V. (2013) Short- and medium-term forecasting using ‘pooling’ techniques, in The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis, Di Mauro, F. and Pesaran, M. H. (Eds), Oxford University Press, Oxford.
   Google Scholar
• Smith, L. V. and Galesi, A. (2011) GVAR Toolbox 1.1. Available at http://www.cfap.jbs.cam.ac.uk/research/gvartoolbox (accessed 9 August 2011).
   Google Scholar
• Spencer, D. E. (1993) Developing a Bayesian vector autoregression forecasting model, International Journal of Forecasting, 9, 407–21. doi:10.1016/0169-2070(93)90034-K
   Web of Science ®Google Scholar
• Steinbach, M. R., Mathuloe, P. T. and Smit, B. W. (2009) An open economy New Keynesian DSGE model of the South African economy, South African Journal of Economics, 77, 207–27. doi:10.1111/j.1813-6982.2009.01212.x
   Web of Science ®Google Scholar
• Theil, H. (1971) Principles of Econometrics, John Wiley and Sons, New York.
   Google Scholar
• Todd, R. M. (1984) Improving economic forecasting with Bayesian vector autoregression, Quarterly Review, Federal Reserve Bank of Minneapolis, Fall, 18–29.
   Google Scholar