Dating the Business Cycle in South Africa by Using a Markov-Switching Model

Francis Bismans and P Le Roux

Studies in Economics and Econometrics, 2013, vol. 37, issue 3, 25-40

Abstract: This paper applies a Markov-switching dynamic regression model to the real quarterly GDP time series from 1981 to 2010 in order to detect turning points in the South African business cycle. The model comprises several explicative variables. These include short- and long- term interest rates, monetary aggregates as well as the difference between long- and short-term interest rates. For all these variables, the possibility of dynamic lags was also considered. A chronology for the South African classical and growth cycles, using a quarterly algorithm is established. Application of this non-parametric procedure yields six complete cycles over the period 1960-2011.

Date: 2013
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DOI: 10.1080/10800379.2013.12097257

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