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Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality
Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
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...
Persistent link: https://www.econbiz.de/10011196001
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Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data
Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Fakulteit Ekonomiese en … - 2014
We use South African survey data to study whether short-term inflation forecasts are unbiased. Depending on how we model a forecaster’s information set, we find that forecasts are biased due to forecaster herding. Evidence of forecaster herding is strong when we assume that the information set...
Persistent link: https://www.econbiz.de/10011074716
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On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data
Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Fakulteit Ekonomiese en … - 2014
We study the directional accuracy of South African survey data of short-term and longer-term inflation forecasts. Upon applying techniques developed for the study of relative operating characteristic (ROC) curves, we find evidence that forecasts contain information with respect to the subsequent...
Persistent link: https://www.econbiz.de/10011074717
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Forecasting the South African Inflation Rate: On Asymmetric Loss and Forecast Rationality
Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Fakulteit Ekonomiese en … - 2014
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...
Persistent link: https://www.econbiz.de/10011093334
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Inflation Forecasts and Forecaster Herding: Evidence from South African Survey Data
Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
We use South African survey data to study whether short-term inflation forecasts are unbiased. Depending on how we model a forecaster’s information set, we find that forecasts are biased due to forecaster herding. Evidence of forecaster herding is strong when we assume that the information set...
Persistent link: https://www.econbiz.de/10011095435
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On the Directional Accuracy of Inflation Forecasts: Evidence from South African Survey Data
Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
We study the directional accuracy of South African survey data of short-term and longer-term inflation forecasts. Upon applying techniques developed for the study of relative operating characteristic (ROC) curves, we find evidence that forecasts contain information with respect to the subsequent...
Persistent link: https://www.econbiz.de/10011096977
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Forecasting Key Macroeconomic Variables of the South African Economy Using Bayesian Variable Selection
Chama-Chiliba, Mirriam Chitalu; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2011
We compare the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR … algorithm for variable selection, estimated using Markov Chain Monte Carlo methods. In this regard, we analyze the forecasting … the linear fixed coefficients classical VAR. However, we do not observe marked gains in forecasting power across the …
Persistent link: https://www.econbiz.de/10009369165
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Was the Recent Downturn in US GDP Predictable?
Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; … - Department of Economics, University of Nevada-Las Vegas - 2012
-stochastic-general-equilibrium models of the economy, may prove crucial in forecasting turning points. …
Persistent link: https://www.econbiz.de/10010640565
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Forecasting Key Macroeconomic Variables of the South African Economy: A Small Open Economy New Keynesian DSGE-VAR Model
Gupta, Rangan; Steinbach, Rudi - Department of Economics, Faculty of Economic and … - 2010
for most of the one- to eight-quarters-ahead forecasts. Second, there is no significant gain in forecasting performance by … in forecasting the three variables of interest. …
Persistent link: https://www.econbiz.de/10008646457
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Can Economic Uncertainty, Financial Stress and Consumer Senti-ments Predict U.S. Equity Premium?
Gupta, Rangan; Hammoudeh, Shawkat; Modise, Mampho P.; … - Institut de Préparation à l'Administration et à la … - 2014
This article attempts to examine whether the equity premium in the United States can be predicted from a comprehensive
Persistent link: https://www.econbiz.de/10010799075