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Forecasting Monetary Policy Rules in South Africa

Research output: Contribution to journalJournal article

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Forecasting Monetary Policy Rules in South Africa. / Naraidoo, Ruthira; Paya, Ivan.

In: International Journal of Forecasting, Vol. 28, No. 2, 04.2012, p. 446-455.

Research output: Contribution to journalJournal article

Harvard

Naraidoo, R & Paya, I 2012, 'Forecasting Monetary Policy Rules in South Africa', International Journal of Forecasting, vol. 28, no. 2, pp. 446-455. https://doi.org/10.1016/j.ijforecast.2011.04.006

APA

Naraidoo, R., & Paya, I. (2012). Forecasting Monetary Policy Rules in South Africa. International Journal of Forecasting, 28(2), 446-455. https://doi.org/10.1016/j.ijforecast.2011.04.006

Vancouver

Naraidoo R, Paya I. Forecasting Monetary Policy Rules in South Africa. International Journal of Forecasting. 2012 Apr;28(2):446-455. https://doi.org/10.1016/j.ijforecast.2011.04.006

Author

Naraidoo, Ruthira ; Paya, Ivan. / Forecasting Monetary Policy Rules in South Africa. In: International Journal of Forecasting. 2012 ; Vol. 28, No. 2. pp. 446-455.

Bibtex

@article{ac439735075b4ed9b83ef26932bb5248,
title = "Forecasting Monetary Policy Rules in South Africa",
abstract = "This paper is the first one to: (i) provide in-sample estimates of linear and nonlinear Taylor rules, augmented with an indicator of financial stability, for the case of South Africa, and (ii) analyse the ability of linear and nonlinear monetary policy rule specifications, as well as nonparametric and semiparametric models, to forecast the nominal interest rate setting that describes the South African Reserve Bank’s (SARB) policy decisions. Our results indicate, first, that asset prices are taken into account when setting interest rates; second, that there are nonlinearities in the monetary policy rule; and third, that forecasts constructed from semiparametric models perform particularly well over the inflation targeting regime and that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens.",
keywords = "Taylor rules, nonlinearity, Nonparametric, Semiparametric, Forecasting",
author = "Ruthira Naraidoo and Ivan Paya",
year = "2012",
month = "4",
doi = "10.1016/j.ijforecast.2011.04.006",
language = "English",
volume = "28",
pages = "446--455",
journal = "International Journal of Forecasting",
issn = "0169-2070",
publisher = "Elsevier Science B.V.",
number = "2",

}

RIS

TY - JOUR

T1 - Forecasting Monetary Policy Rules in South Africa

AU - Naraidoo, Ruthira

AU - Paya, Ivan

PY - 2012/4

Y1 - 2012/4

N2 - This paper is the first one to: (i) provide in-sample estimates of linear and nonlinear Taylor rules, augmented with an indicator of financial stability, for the case of South Africa, and (ii) analyse the ability of linear and nonlinear monetary policy rule specifications, as well as nonparametric and semiparametric models, to forecast the nominal interest rate setting that describes the South African Reserve Bank’s (SARB) policy decisions. Our results indicate, first, that asset prices are taken into account when setting interest rates; second, that there are nonlinearities in the monetary policy rule; and third, that forecasts constructed from semiparametric models perform particularly well over the inflation targeting regime and that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens.

AB - This paper is the first one to: (i) provide in-sample estimates of linear and nonlinear Taylor rules, augmented with an indicator of financial stability, for the case of South Africa, and (ii) analyse the ability of linear and nonlinear monetary policy rule specifications, as well as nonparametric and semiparametric models, to forecast the nominal interest rate setting that describes the South African Reserve Bank’s (SARB) policy decisions. Our results indicate, first, that asset prices are taken into account when setting interest rates; second, that there are nonlinearities in the monetary policy rule; and third, that forecasts constructed from semiparametric models perform particularly well over the inflation targeting regime and that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens.

KW - Taylor rules

KW - nonlinearity

KW - Nonparametric

KW - Semiparametric

KW - Forecasting

U2 - 10.1016/j.ijforecast.2011.04.006

DO - 10.1016/j.ijforecast.2011.04.006

M3 - Journal article

VL - 28

SP - 446

EP - 455

JO - International Journal of Forecasting

JF - International Journal of Forecasting

SN - 0169-2070

IS - 2

ER -