Essays on dynamic macroeconomics

[摘要] ENGLISH ABSTRACT: In the first essay of this thesis, a medium scale DSGE model is developed andestimated for the South African economy. When used for forecasting, the model isfound to outperform private sector economists when forecasting CPI inflation, GDPgrowth and the policy rate over certain horizons.In the second essay, the benchmark DSGE model is extended to include theyield on South African 10-year government bonds. The model is then used to decomposethe 10-year yield spread into (1) the structural shocks that contributedto its evolution during the inflation targeting regime of the South African ReserveBank, as well as (2) an expected yield and a term premium. In addition, it is foundthat changes in the South African term premium may predict future real economicactivity.Finally, the need for DSGE models to take account of financial frictions becameapparent during the recent global financial crisis. As a result, the final essay incorporatesa stylised banking sector into the benchmark DSGE model described above.The optimal response of the South African Reserve Bank to financial shocks is thenanalysed within the context of this structural model.

[发布机构] Stellenbosch University