Template-Type: ReDIF-Paper 1.0
Author-Name: R Naraidoo
Author-Name-First: R
Author-Name-Last: Naraidoo
Author-Name: I Paya
Author-Name-First: I
Author-Name-Last: Paya
Title: Forecasting Monetary Policy Rules in South Africa
Abstract: This paper is the .rst one to: (i) provide in-sample estimates of linear and nonlinear
Taylor rules augmented with an indicator of .nancial stability for the case of South
Africa, (ii) analyse the ability of linear and nonlinear monetary policy rule speci.cations
as well as nonparametric and semiparametric models in forecasting the nominal interest
rate setting that describes the South African Reserve Bank (SARB) policy decisions.
Our results indicate, .rst, that asset prices are taken into account when setting interest
rates; second, the existence of nonlinearities in the monetary policy rule; and third,
forecasts constructed from combinations of all models perform particularly well and
that there are gains from semiparametric models in forecasting the interest rates as
the forecasting horizon lengthens.
Creation-Date: 2010
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/MonetaryPolicySouthAfrica.pdf
File-Format: application/pdf
Number: 611194
Classification-JEL: 
Keywords: Taylor rules, nonlinearity, nonparametric, semiparametric, forecasting
Handle: RePEc:lan:wpaper:611194