ABOUT

 

Kevin Kotzé is a senior lecturer in the School of Economics at the University of Cape Town. His main research interests involve econometric modelling and data science applications. He is a founding member and executive Director of the data science company Predictive Insights and has served on the board of large fund management companies in South Africa & the Channel Isles. He has also 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 (14 completed)

 

Research

Working Papers
  • "Monetary Policy, Financial Frictions and Structural Changes: A Markov-Switching DSGE approach". School of Economics Macroeconomic Discussion Paper Series Number 2017-05, with Francis Leni Anguyo & Rangan Gupta. [link]

  • "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 and Financial Frictions in a Small Open-Economy Model for Uganda". Empirical Economics (forthcoming), with Francis Leni Anguyo & Rangan Gupta. [link] [TA]

  • "Inflation Dynamics in Uganda: A Quantile Regression Approach". Macroeconomics and Finance in Emerging Market Economies (forthcoming), 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

 

© 2019 Kevin Kotzé