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dc.contributor.advisorSmit, B. W.
dc.contributor.authorSteinbach, Max Rudibert
dc.contributor.otherDu Plessis, S. A.
dc.date.issued2014
dc.identifier.urihttps://thuvienso.hoasen.edu.vn/handle/123456789/7216
dc.descriptionviii, 140 p. : ill.
dc.description.abstractIn 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.
dc.language.isoen
dc.publisher[Stellenbosch University]
dc.source.urihttp://scholar.sun.ac.za/handle/10019.1/86196
dc.subjectEconomics
dc.subject.otherMacroeconomics
dc.subject.otherEconometric models
dc.subject.otherEconomic forecasting
dc.subject.otherSouth Africa
dc.titleEssays on dynamic macroeconomics
dc.typeDissertation


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