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Examining asymmetric effects in the South African Phillips curve: evidence from logistic smooth transition regression models

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  • Andrew Phiri

Abstract

This study contributes to the foregoing literature by investigating asymmetric behaviour within the South African short-run Phillips curve for three versions of the Phillips curve specification namely; the New Classical Phillips curve, the new Keynesian Phillips curve and the hybrid new Keynesian Phillips curve. To this end, we employ a logistic smooth transition regression (LSTR) econometric model to each of the aforementioned versions of the Phillips curve specifications for quarterly data spanning from 1970:01 to 2014:01 and thus endeavour into determining which version of the Phillips curve best suites the employed data. Our empirical results indicate that both the marginal-cost-based as well as the output gap-based versions of the hybrid new Keynesian Philips curve provide a good fit for South African data. Therefore, our empirical results indicate that monetary policy in South Africa has an influence on the demand side of the economy through inflation inertia and inflation expectations whilst appearing to exhibit no significant effects on the supply side of the economy.

Suggested Citation

  • Andrew Phiri, 2016. "Examining asymmetric effects in the South African Phillips curve: evidence from logistic smooth transition regression models," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 8(1), pages 18-42.
    • Handle: RePEc:ids:ijsuse:v:8:y:2016:i:1:p:18-42
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    Citations

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    Cited by:

    1. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
    2. Andrew Phiri, 2016. "The Growth Trade-off between Direct and Indirect Taxes in South Africa: Evidence from a STR Model," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 14(3 (Fall)), pages 233-250.
    3. Tafadzwa Ruzive & Thando Mkhombo & Simbarashe Mhaka & Nomahlubi Mavikela & Andrew Phiri, 2019. "Electricity Intensity and Unemployment in South Africa: A Quantile Regression Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 9(1), pages 31-40.
    4. Andrew Phiri, 2018. "Nonlinear Relationship between Exchange Rate Volatility and Economic Growth," Journal of Economics and Econometrics, Economics and Econometrics Society, vol. 61(3), pages 15-38.
    5. Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
    6. Phiri, Andrew, 2016. "Changes in inflation persistence prior and subsequent to the subprime crisis: What are the implications for South Africa?," MPRA Paper 70645, University Library of Munich, Germany.
    7. Phiri, Andrew, 2018. "Pursuing the Phillips curve in an African monarchy: The Swazi case," MPRA Paper 89199, University Library of Munich, Germany.
    8. Fourie, Justin & Pretorius, Theuns & Harvey, Rhett & Henrico, Van Niekerk & Phiri, Andrew, 2016. "Nonlinear relationship between exchange rate volatility and economic growth: A South African perspective," MPRA Paper 74671, University Library of Munich, Germany.
    9. Christopher Loewald & David Faulkner & Konstantin Makrelov, 2020. "Time consistency and economic growth a case study of south african macroeconomic policy," Working Papers 10421, South African Reserve Bank.
    10. Andrew Phiri, 2018. "Pursuing the Philips curve in an African monarchy: A Swazi case study," Working Papers 1832, Department of Economics, Nelson Mandela University.
    11. Mbekeni Lutho & Phiri Andrew, 2020. "South African Unemployment in the Post-Financial Crisis Era: What are the Determinants?," Folia Oeconomica Stetinensia, Sciendo, vol. 20(2), pages 230-248, December.
    12. Andrew Phiri, 2018. "Asymmetric Pass-through Effects from Monetary Policy to Housing Prices in South Africa," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 16(2 (Summer), pages 123-140.

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