This paper evaluates the performance of 11 vector autoregressive models in forecasting 15 macroeconomic variables for the Indian economy over the 2007:01 to 2011:10 out-of-sample period. We consider 3 classical VARs, 4 Bayesian VARs and 4 Bayesian Factor Augmented VARs. Comparing the performance...

This paper seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate, and statistically significant forecasts for gold price. We report the results from the 9 most competitive techniques. Special consideration is given to the ability...

This paper uses Dynamic Factor Models (DFMs), estimated under both classical and Bayesian assumptions, which accommodates a large cross-section of macroeconomic time series for forecasting per capita growth rate, inflation, and the nominal short-term interest rate for the South African economy....

This paper uses the Dynamic Factor Model (DFM) framework, which accommodates a large cross-section of macroeconomic time series for forecasting regional house price inflation. As a case study, we use data on house price inflation for five metropolitan areas of South Africa. The DFM used in this...

The monetary policy transmission mechanism can broadly be categorised into three separate channels: the interest rate channel, the credit channel and the other asset price channel. This paper seeks to examine the bank-lending channel of the credit channel of monetary policy in South Africa by...

This paper compares the forecasting ability of five alternative types of models in predicting four key macroeconomic variables, namely, per capita growth rate, the CPI inflation, the money market rate, and the growth rate of the nominal effective exchange rate for the South African economy....