suggest that cycles of predictability of South African inflation emanating from the the growth in international oil prices …

vector autoregression (VAR) model comprising of output, price and money, using an estimation strategy that is consistent with … VAR, the nonlinear VAR has a bigger impact of a monetary policy shock on output and price. In general, we conclude that … there are clear gains from modelling monetary policy using a nonlinear VAR framework. …

demand shock in a six-variable VAR model by imposing sign restrictions on the impulse responses of consumer prices …

autoregressive (VAR) methodology proposed by King and Watson (1997). Our empirical results provide considerable support of the view …

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 consumption growth rate, the nominal three-months Treasury bill rate and the …

Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is … agents and/or policy makers. The inferred probabilities from the four-state MS-VAR model show evidence of a time …