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Towards a Measure of Core Inflation using Singular Spectrum Analysis

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  • Franz Ruch
  • Dirk Bester

Abstract

This paper constructs a number of possible core measures of annual inflation using Singular Spectrum Analysis (SSA). Annual inflation is decomposed into its trend, oscillating and noise components in order to develop an understanding of the trend and cyclicality in South African headline inflation. Five cyclical components are identified with differing amplitude and frequency. The […]
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  • Franz Ruch & Dirk Bester, 2013. "Towards a Measure of Core Inflation using Singular Spectrum Analysis," South African Journal of Economics, Economic Society of South Africa, vol. 81(3), pages 307-329, September.
    • Handle: RePEc:bla:sajeco:v:81:y:2013:i:3:p:307-329
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    File URL: http://hdl.handle.net/10.1111/j.1813-6982.2012.01340.x
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    1. du Plessis, S.A., 2006. "Reconsidering the business cycle and stabilisation policies in South Africa," Economic Modelling, Elsevier, vol. 23(5), pages 761-774, September.
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    13. Zelda Blignaut & Greg Farrell & Victor Munyama & Logan Rangasamy, 2009. "A Note On The Trimmed Mean Measure Of Core Inflation In South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 77(4), pages 538-552, December.
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    Cited by:

    1. Franz Ruch & Mehmet Balcilar & Rangan Gupta & Mampho P. Modise, 2020. "Forecasting core inflation: the case of South Africa," Applied Economics, Taylor & Francis Journals, vol. 52(28), pages 3004-3022, June.
    2. Gideon Du Rand & Kevin Kotze & Stan Du Plessis, 2015. "Measuring Core Inflation in South Africa," Working Papers 503, Economic Research Southern Africa.

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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • N17 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Africa; Oceania

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