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Trends and Structural Changes in South African Macroeconomic Volatility

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  • Stan Du Plessis
  • Kevin Kotze

Abstract

The international financial crisis that started in 2007 and the subsequent end of the long expansion in South Africa has refocused attention on the business cycle. Prior to the crisis, the economies of both developed and developing countries experienced an extended period of low and stable inflation and stable real economic growth, an episode that has been called the "great moderation". The disruption of this era by the financial crisis has highlighted the importance of understanding the nature and causes of the great moderation, to assist policy makers in facilitating its resumption. This paper considers the historical evidence for the great moderation in South Africa with the aid of a time-varuing stochastic volatility model and various break-point tests

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Bibliographic Info

Paper provided by Economic Research Southern Africa in its series Working Papers with number 297.

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Length: 30 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:rza:wpaper:297

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Keywords: Business cycles; emerging market economies; quantitative analysis of business cycles;

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References

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  1. Frankel, Jeffrey & Smit, Ben & Sturzenegger, Federico, 2007. "South Africa: Macroeconomic Challenges after a Decade of Success," Working Paper Series rwp07-021, Harvard University, John F. Kennedy School of Government.
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