This paper investigates the ability of the Dornbusch (1976) sticky- price model for the nominal metical-rand exchange rate, over the period 1994:1-2005:4 in explaining the exchange rate movements of Mozambique. Based on the model, we find that there is a stable relationship between the exchange...

This paper first tests the restrictions implied by Hall’s (1978) version of the permanent income hypothesis (PIH) obtained from a bivariate system of labor income and savings, using quarterly data over the period of 1947:01 to 2008:03 for the US economy, and then uses the model to forecast...

The paper develops a Bayesian Vector Error Correction Model (BVECM) of the South African economy for the period of 1970:1-2000:4 and forecasts GDP, consumption, investment, short-term and long term interest rates, and the CPI. We find that a tight prior produces relatively more accurate...

This paper develops a Bayesian Vector Error Correction Model (BVECM) for forecasting inventory investment in South Africa. The model is estimated using quarterly data on actual sales, production, unfilled orders, price levels and interest rates, for the period of 1978 to 2000. The...

The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...

In this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's empirical...

The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian...

We use the dynamic stochastic general equilibrium (DSGE) model of Altig et al. (2005) to analyse the resilience of an economy in the face of external shocks. The term resilience refers to the ability of an economy to prosper in the face of shocks. The Altig et al. model was chosen because it...

The quality of the OECD's Economic Outlook growth projections was last evaluated in-house at the peak of the previous business cycle, calling for a reassessment. This paper analyses the OECD's annual GDP growth projections for the G7 countries over the period 1991-2006 and compares them with the...

The confluence of three trends in the U.S. residential housing market-rising home prices, declining interest rates, and near-frictionless refinancing opportunities-led to vastly increased systemic risk in the financial system. Individually, each of these trends is benign, but when they occur...