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Domestic and foreign sources of volatility spillover to South African asset classes

Duncan, Andrew S.; Kabundi, Alain - In: Economic Modelling 31 (2013) C, pp. 566-573

The paper characterises domestic and foreign sources of volatility transmission for South African (SA) bonds, commodities, currencies, and equities. We introduce a small-open-economy extension of the volatility spillover model proposed by Diebold and Yilmaz (2012). Based on generalised variance...

Persistent link: https://www.econbiz.de/10010636288

D-GMDH: A novel inductive modelling approach in the forecasting of the industrial economy

Zhang, Mingzhu; He, Changzheng; Gu, Xin; Liatsis, Panos; … - In: Economic Modelling 30 (2013) C, pp. 514-520

This work proposes a new forecasting model to analyse the economic development of Sichuan province of China. The model … approaches in forecasting accuracy. D-GMDH is also applied to forecast the industrial added value of the Sichuan province. The …. The results show that D-GMDH has good prediction accuracy and is an effective means for economic forecasting when data is …

Persistent link: https://www.econbiz.de/10010608246

Monetary policy channels in Brazil through the lens of a semi-structural model

Minella, André; Souza-Sobrinho, Nelson F. - In: Economic Modelling 30 (2013) C, pp. 405-419

We develop and estimate a medium-sized, semi-structural model for the Brazilian economy during the inflation targeting period. The model describes fairly well key features of the economy and allows us to decompose the transmission mechanism of monetary policy. In the baseline decomposition, the...

Persistent link: https://www.econbiz.de/10010608257

Structural versus matching estimation: Transmission mechanisms in Armenia

Poghosyan, Karen; Boldea, Otilia - In: Economic Modelling 30 (2013) C, pp. 136-148

Opting for structural or reduced form estimation is often hard to justify if one wants to both learn about the structure of the economy and obtain accurate predictions. In this paper, we show that using both structural and reduced form estimates simultaneously can lead to more accurate policy...

Persistent link: https://www.econbiz.de/10010608295

Do corporate executives have accurate predictions for the economy? A directional analysis

Tsuchiya, Yoichi - In: Economic Modelling 30 (2013) C, pp. 167-174

Although many studies on the directional accuracy of forecasts by international organizations and professional forecasters have been scrutinized, little attention has been paid to forecasts by business leaders. In order to address this gap, we use directional tests to investigate whether...

Persistent link: https://www.econbiz.de/10010608307

The Dutch experience: Assessing the welfare impacts of two consolidation strategies using a heterogeneous-agent framework

Viegas, Miguel; Ribeiro, Ana Paula - In: Economic Modelling 32 (2013) C, pp. 351-360

Between 1990 and 2010, the Dutch government pursued two successful fiscal adjustments: first, in 1995–2002, through a pure expenditure-based strategy and second, in 2004–2007, through a mixed strategy based on social transfer cuts and tax increases. In order to assess welfare and, in...

Persistent link: https://www.econbiz.de/10010664383

A structural VAR analysis of the impact of macroeconomic shocks on Pakistan's textile exports

Chaudhry, Azam; Bukhari, Syed Kalim Hyder - In: Economic Modelling 32 (2013) C, pp. 302-315

This paper creates a structural vector autoregression (SVAR) model which looks at the macroeconomic factors that impact the export of both finished and unfinished Pakistani textiles between 1980 and 2011. The analysis is unique in two ways: first, it separates unfinished (low value-added)...

Persistent link: https://www.econbiz.de/10010664420

Real-time forecasts of economic activity for Latin American economies

Liu, Philip; Matheson, Troy; Romeu, Rafael - In: Economic Modelling 29 (2012) 4, pp. 1090-1098

Macroeconomic policy decisions in real-time are based on the assessment of current and future economic conditions. Crucially, these assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are...

Persistent link: https://www.econbiz.de/10010573363

The OECD's new global model

Hervé, Karine; Pain, Nigel; Richardson, Pete; … - In: Economic Modelling 28 (2011) 1, pp. 589-601

This paper provides a summary of the OECD's new global macroeconometric model, including an overview of model structure and a selection of simulations illustrating its main properties. Compared with its predecessors, the new model is more compact and regionally aggregated, but gives more weight...

Persistent link: https://www.econbiz.de/10010577076

Fiscal consolidation with high growth: A policy simulation model for India

Mundle, Sudipto; Bhanumurthy, N.R.; Das, Surajit - In: Economic Modelling 28 (2011) 6, pp. 2657-2668

In this paper a fiscal consolidation program for India has been presented based on a policy simulation model that enables us to examine the macroeconomic implications of alternative fiscal strategies, given certain assumptions about other macro policy choices and relevant exogenous factors. The...

Persistent link: https://www.econbiz.de/10010577084

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