The role of oil prices in the forecasts of South African interest rates: A Bayesian approach

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• 作者：Rangan Gupta^a ; ^{rangan.gupta@up.ac.za} ; Kevin Kotzé ; ^b ; ^{kevin.kotze@uct.ac.za}
• 关键词：Interest rate ; Oil price ; Forecasting ; South Africa
• 刊名：Energy Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：270-278
• 全文大小：553 K
• 卷排序：61

文摘

This paper considers whether the use of real oil price data can improve upon the forecasts of the interest rate in South Africa when using Bayesian vector autoregressive models. The full dataset includes quarterly measures of output, consumer prices, exchange rates, interest rates and oil prices (or its disaggregated positive and negative components), where the initial in-sample extends from 1979q1 to 1997q4. The evaluation makes use of rolling estimations and one- to eight-step ahead forecasts over the out-of-sample period 1998q1 to 2014q4. The results suggest that the model with the positive component of oil price tends to perform better than other models over the short to medium horizons. The model that includes both the positive and negative components of the oil price, provides superior forecasts at longer horizons, where the improvement is large enough to ensure that it is the best forecasting model on average.