Do precious metal prices help in forecasting South African inflation?


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.

North American Journal of Economics and Finance (40: 63 - 72)
Nico Katzke
Head of Portfolio Solutions

Head of Portfolio Solutions