Multi-step forecasting is superior to recursive forecasting from VAR models when structural breaks are important (as in South Africa). Four-quarter-ahead forecasting models for real output are stable over four decades. Our equilibrium correction models employ stochastic trends to measure productivity shifts and structural changes such as trade liberalisation. The interest rate transmission effect to output has altered with monetary policy regimes, and high real interest rates significantly constrained growth in the 1990s. We investigate the role of international capital flows, of financial liberalisation using our own indicator, and altered sensitivity to the exchange rate with trade liberalisation in the 1990.