South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality
Jean-Claude Kouakou Brou () and
Jamal Bouoiyour ()
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Jean-Claude Kouakou Brou: Université de Pau et des Pays de l’Adour, E2S UPPA, TREE, Pau, France, Postal: Université de Pau et des Pays de l’Adour E2S UPPA TREE Pau France
Journal of Economic Integration, 2023, vol. 38, issue 4, 670-697
Abstract:
This paper aims to analyse the evolution of public debt in South Africa using new and original methods. The case of South Africa has been little studied in the literature on debt because the level of debt in this country remains reasonable. Moreover, the use of non-standard methods allows for a fine-grained analysis of the public debt time series and, consequently, to draw unprecedented conclusions. Using the Multifractal Detrended Fluctuation Analysis (MF-DFA) method borrowed from solid state physics and medicine, we conclude that South Africa's debt has a multifractal character, which originates from the long memory effect. Thus, South Africa's public debt is unsustainable. The inefficiency of this market has been particularly exacerbated by the various shocks throughout the sample period.
Keywords: public debt; long memory effect; multifractality; South Africa; MF-DFA; ARFIMA (search for similar items in EconPapers)
JEL-codes: C12 C22 C65 F34 H63 N17 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:ris:integr:0891
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