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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

Suggested Citation

  • Stan Du Plessis & Kevin Kotze, 2012. "Trends and Structural Changes in South African Macroeconomic Volatility," Working Papers 297, Economic Research Southern Africa.
  • Handle: RePEc:rza:wpaper:297
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    File URL: http://www.econrsa.org/node/320
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Kevin Kotzé, 2017. "Forecasting South African macroeconomic variables with a Markov-switching small open-economy dynamic stochastic general equilibrium model," Empirical Economics, Springer, vol. 53(1), pages 117-135, August.
    2. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta, 2016. "The Effectiveness of Monetary Policy in South Africa under Inflation Targeting: Evidence from a Time-Varying Factor-Augmented Vector Autoregressive Model," Working Papers 201653, University of Pretoria, Department of Economics.

    More about this item

    Keywords

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

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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