You will find here research categorized in terms of macro modelling and forecasting exercises. This is include work in progress as well as recent publications
Abstract: Over the last decade, fiscal dynamics moved to the forefront of monetary policy deliberations. Elevated country risk premia associated with rising government debt have weighed on the exchange rate, at times fuelling imported inflationary pressures. In addition, fiscal policy actions have impacted economic activity, particularly the stimulus required during COVID-19 recession. This paper documents extensions to the South African Reserve Bank’s Quarterly Projection Model that parsimoniously capture these key channels from fiscal metrics to growth and inflation and their feedback to fiscal outcomes. The paper discusses refinements to the model’s equilibrium uncovered interest parity condition, which determines the domestic neutral real interest rate, as well as enhancements to the risk channel, labour block and drivers of inflation. It also proposes an updated specification for the Taylor rule.
