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Inflation in South Africa. A time series view across sectors using long range dependence

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  • Luis Alberiko Gil-Alaña

    (Navarra Center for International Development)

Abstract

In this paper we examine the time series evolution of the log-CPI series in South Africa disaggregating the data by sectors. We examine the time period 1990m1-20008m12, that is, focussing on the post-apartheid period. The results indicate that the (total) inflation rate in South Africa is long memory, with an order of integration in the range (0, 0.5). The same happens with most of the data disaggregated by sectors with values of d above 1 in the log-prices. Evidence of I(0) inflation is obtained in some cases for "fruits and nuts", "vegetables" and "sugar", and evidence of mean reversion in the log-prices is only obtained in the case of "fish and oather seafood". Policy implications are derived.

Suggested Citation

  • Luis Alberiko Gil-Alaña, 2010. "Inflation in South Africa. A time series view across sectors using long range dependence," NCID Working Papers 05/2011, Navarra Center for International Development, University of Navarra.
    • Handle: RePEc:nva:unnvaa:wp05-2010
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    File URL: http://ncid.unav.edu/download/file/fid/160
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    File URL: http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2010.01255.x/full
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    Cited by:

    1. Carlos Barros & Luis Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104.
    2. Noureddine Benlagha & Slim Mseddi, 2019. "Return and volatility spillovers in the presence of structural breaks: evidence from GCC Islamic and conventional banks," Journal of Asset Management, Palgrave Macmillan, vol. 20(1), pages 72-90, February.
    3. Andrew Phiri, 2012. "Threshold effects and inflation persistence in South Africa," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 4(3), pages 247-269, July.
    4. Slim Mseddi & Noureddine Benlagha, 2017. "An Analysis of Spillovers Between Islamic and Conventional Stock Bank Returns: Evidence from the GCC Countries," Multinational Finance Journal, Multinational Finance Journal, vol. 21(2), pages 91-132, June.

    More about this item

    Keywords

    Inflation; South Africa; long range dependence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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