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Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa.

Abstract:

Forecasting models for output are presented to throw light on monetary transmission. Recent research finds multistep forecasting superior to recursive forecasting from a VAR model when structural breaks are present; there are important political and policy regime breaks in South Africa. The equilibrium correction models have a four-quarter ahead forecast horizon, appropriate for measuring interest rate effects. A stochastic trend measures underlying shifts in productivity and other supply sid...

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Authors


Janine Aron More by this author
John Muellbauer More by this author
Publication date:
2002
URN:
uuid:d3921a0c-5498-4f35-a6a9-b4ea95c7c91a
Local pid:
oai:economics.ouls.ox.ac.uk:14343
Language:
English

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