ABOUT

 

I'm an Associate Professor in the School of Economics at the University of Cape Town and an Executive Director of the data science company Predictive Insights. My main research interests involve econometric modelling and data science applications. I've also served on the board of large fund management companies in South Africa & the Channel Isles and have provided consulting services to Government departments, central banks, parastatels and multinational corporate enterprises.

Education
  • BCom, BCom(Hons), MCom, PhD [Stellenbosch]

Computing Skills
  • R, Matlab, Python, Julia, C++, Cuda, Latex, JavaScript, Html, CSS, Yaml

Research interests
  • Econometric modelling

  • Time Series Analysis

  • Machine learning

  • Deep learning

  • Bayesian statistics

  • Macroeconometric modelling

  • Financial economics

  • Asset pricing

Courses taught
  • Advanced Macroeconomic Theory (PhD & Masters)

  • Macroeconomic Modelling in African Countries (PhD & Masters)

  • Time Series Analysis (PhD & Masters)

  • Advanced Econometrics (Masters)

  • International Finance (Honours)

  • Applied Macroeconomic Modelling (Central Bankers)

Administrative responsibilities
  • Convenor of MPhil (Financial Mathematics) 2011, 2012

Thesis Supervision
  • 4 PhD students (2 completed, 1 about to submit and 1 in progress)

  • 14 Masters students (all completed)

 

Research

Working Papers
  • "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data". School of Economics Macroeconomic Discussion Paper Series Number 2020-01, with Deven Bathia, Riza Demirer & Rangan Gupta.

  • "Fiscal Policy Uncertainty and Economic Activity in South Africa". School of Economics Macroeconomic Discussion Paper Series Number 2017-02. [link]

Peer review publications

  • "Forecasting with second-order approximations and Markov-switching DSGE models". Computational Economics (forthcoming), with Sergey Ivashchenko, Semih Emre Cekin & Rangan Gupta. [link] [TA]

  • "Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE approach". Economic Research (2020), Vol. 33, No. 1, pp. 1538-1561, with Francis Leni Anguyo & Rangan Gupta. [link] [TA]

  • "Monetary Policy and Financial Frictions in a Small Open-Economy Model for Uganda". Empirical Economics (2020), Vol. 59, pp. 1213-1241, with Francis Leni Anguyo & Rangan Gupta. [link] [TA]

  • "Inflation Dynamics in Uganda: A Quantile Regression Approach". Macroeconomics and Finance in Emerging Market Economies (2020), Vol. 13, No. 2, pp. 161-187, with Francis Leni Anguyo & Rangan Gupta. [link]

  • "Forecasting South African Macroeconomic Variables with a Markov-Switching Small Open-Economy Dynamic Stochastic General Equilibrium Model". Empirical Economics (2017), Vol. 53, No. 1, pp. 117-135, with Mehmet Balcilar & Rangan Gupta. [link] [TA]

  • "The Role of Oil Prices in the Forecasts of South African Interest Rates: A Bayesian Approach", Energy Economics (2017), Vol. 61, pp. 270-278, with Rangan Gupta. [link]

  • "Measuring Core Inflation in South Africa", South African Journal of Economics (2015), Vol. 83, No. 4, pp. 527-548, with Stan Du Plessis & Gideon Du Rand. [link]

  • "Forecasting Macroeconomic Data for an Emerging Market with a Nonlinear DSGE Model", Economic Modelling (2015), Vol. 44, pp. 215-228, with Mehmet Balcilar & Rangan Gupta. [link]

  • "Spillovers in Exchange Rates and the Effects of Global Shocks on Emerging Market Currencies", South African Journal of Economics (2014), Vol. 82, No. 2, pp. 209-238, with Haakon Kavli. [link]

  • "Trends and Structural Changes in South African Macroeconomic Volatility", ERSA working paper number 297 (2012), with Stan Du Plessis. [link]

  • "Forecasting Performance of an Estimated DSGE model for the South African Economy", South African Journal of Economics (2011), Vol. 79, No. 1, pp. 50-67, with Sami Alpanda & Geoffrey Woglom. [link]

  • "The Role of the Exchange Rate in a New Keynesian DSGE model for the South African Economy", South African Journal of Economics (2010), Vol. 78, No. 2, pp. 170-191, with Sami Alpanda & Geoffrey Woglom. [link]

  • "Should Central Banks of Small Open Economies Respond to Exchange Rate Fluctuations? The Case of South Africa", ERSA working paper number 174 (2010), with Sami Alpanda & Geoffrey Woglom. [link]

  • "The Great Moderation of the South African Business Cycle", Economic History of Developing Regions (2010), Vol. 25, No. 1, pp. 105-125, with Stan Du Plessis. [link]

Contact

School of Economics, Room 5.04

University of Cape Town
Rondebosch, 7701
South Africa

Email: kevin.kotze[at]uct.ac.za​​

Web: www.economodel.com

 

© 2020 Kevin Kotzé