THE PROPERTIES OF CYCLES IN SOUTH AFRICAN FINANCIAL VARIABLES AND THEIR RELATION TO THE BUSINESS CYCLE

Willem H. Boshoff ()

South African Journal of Economics, 2005, vol. 73, issue 4, pages 694-709

Abstract: The paper describes cyclicality in a range of local and international financial variables and their relation to cyclical behaviour in the South African real economy. Cycles are derived using a dating algorithm similar to that used to determine business cycle turning points and falls within the Burns-Mitchell tradition of business cycle analysis. Co-movement between phases in financial variables and similar phases in the business cycle are described using the concordance statistic, instead of the correlation statistic (which requires stationarity). This is a preliminary step in identifying financial variables that can act as leading indicators of economic activity. Copyright 2005 Economic Society of South Africa.

Date: 2005

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