Do precious metal prices help in forecasting South African inflation?

Abstract

Adding commodity price series strongly improves the density forecasts of South African inflation. Models used are Bayesian VAR and Bayesian Dynamic Conditional Correlation (B-DCC) models. South African price inflation here serves as a proxy for commodity exporting countries generally. Dynamic relationship between prices and commodities need to be considered for South Africa.

Publication
North American Journal of Economics and Finance (40: 63 - 72)
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Nico Katzke
Senior Quant

Quantitative Analyst