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South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality

Author

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  • Brou, Jean-Claude Kouakou

    (Université de Pau et des Pays de l’Adour, E2S UPPA, TREE, Pau, France)

  • Bouoiyour, Jamal

    (Université de Pau et des Pays de l’Adour E2S UPPA TREE Pau France)

Abstract

This paper aims to analyse the evolution of public debt in South Africa using new and original methods. The case of South Africa has been little studied in the literature on debt because the level of debt in this country remains reasonable. Moreover, the use of non-standard methods allows for a fine-grained analysis of the public debt time series and, consequently, to draw unprecedented conclusions. Using the Multifractal Detrended Fluctuation Analysis (MF-DFA) method borrowed from solid state physics and medicine, we conclude that South Africa's debt has a multifractal character, which originates from the long memory effect. Thus, South Africa's public debt is unsustainable. The inefficiency of this market has been particularly exacerbated by the various shocks throughout the sample period.

Suggested Citation

  • Brou, Jean-Claude Kouakou & Bouoiyour, Jamal, 2023. "South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 38(4), pages 670-697.
    • Handle: RePEc:ris:integr:0891
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    Keywords

    public debt; long memory effect; multifractality; South Africa; MF-DFA; ARFIMA;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • N17 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Africa; Oceania

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