Inflation and Output Growth Dynamics in South Africa: Evidence from the Markov Switching Vector Autoregressive Model

Lumengo Bonga-Bonga and Beatrice Desiree Simo-Kengne ()

Journal of African Business, 2018, vol. 19, issue 1, 143-154

Abstract: This paper introduces the possibility of asymmetry in the reaction of output growth to inflation shocks in South Africa by making use of the Markov-switching vector autoregressive model. Using quarterly data from 1969Q1 to 2013Q4, the empirical finding suggests that the reaction of output growth to inflation shocks is not only regime dependent but is also contingent on how the monetary authority reacts to such shocks. Two important regimes are identified; the high and low inflation volatility regimes. Consistent with the signal extraction theory, the output effect of inflation shocks is found to be significantly lower in the high inflation volatility regime compared to the low inflation regime.

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://hdl.handle.net/10.1080/15228916.2018.1386528 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Inflation and output growth dynamics in South Africa: Evidence from the Markov switching vector auto-regression model (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:wjabxx:v:19:y:2018:i:1:p:143-154

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/wjab20

DOI: 10.1080/15228916.2018.1386528

Access Statistics for this article

Journal of African Business is currently edited by Samuel Bonsu

More articles in Journal of African Business from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().