This paper uses Indian quarterly data for the period of 1960:Q2-2011:Q2 to test for nonlinearity in a standard monetary vector autoregression (VAR) model comprising of output, price and money, using an estimation strategy that is consistent with wide range of structural models. We find that...

This paper investigates the existence of significant spillovers from the housing sector onto the wider economy for the seven major OECD countries using Uhlig's (2005) agnostic identification procedure. This method allows identifying a housing demand shock in a six-variable VAR model by imposing...

This paper investigates the existence of spillovers from stock prices onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

This paper exploits the Lucas’ (1973) signal extraction model to study the effect of uncertainty in the output-inflation trade-off on inflation, using a monetary model with asymmetric central bank preferences over inflation and output. We show that the implication of the uncertainty is...

This paper investigates the existence of spillovers from the housing sector onto consumption and the interest rate for South Africa using a time-varying vector autoregressive (TVP-VAR) model with stochastic volatility. In this regard, we estimate a three-variable TVP-VAR model comprising of real...

The paper develops a monetary endogenous growth model of a financially repressed small open economy, characterized by curb markets, capital mobility, transaction costs in domestic and for- eign capital markets, and a flexible exchange rate system, to analyze the impact of financial...

This paper develops a monetary endogenous growth model of a financially repressed economy, characterized by an Unofficial Financial Market and productive public expenditure, and, in turn, analyzes the effects of financial liberalization on the rate of growth and inflation. Following the current...

The negative relationship between growth and inflation is well-documented in the literature. However, recent evidences tend to indicate of a possible growth-inflation trade-off. This paper provides a theoretical explanation to the above mentioned empirical contradiction. To validate our point,...

Using forecasts of the inflation rate in South Africa, we study the rationality of forecasts and the shape of forecasters’ loss function. When we study micro-level data of individual forecasts, we find mixed evidence of an asymmetric loss function, suggesting that inflation forecasters are...

We compare the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR) models with those of linear (fixed-parameter) and nonlinear (time-varying parameter) VARs involving a stochastic search algorithm for variable selection, estimated using Markov...