South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality

La dette publique de l'Afrique du Sud: dépendance à long terme, ruptures structurelles et multifractalité

Jean-Claude Kouakou Brou () and Jamal Bouoiyour ()
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Jean-Claude Kouakou Brou: UPPA - Université de Pau et des Pays de l'Adour, UO - Université d'Orléans, TREE - Transitions Energétiques et Environnementales - UPPA - Université de Pau et des Pays de l'Adour - CNRS - Centre National de la Recherche Scientifique
Jamal Bouoiyour: TREE - Transitions Energétiques et Environnementales - UPPA - Université de Pau et des Pays de l'Adour - CNRS - Centre National de la Recherche Scientifique, UPPA - Université de Pau et des Pays de l'Adour

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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)
Date: 2023-12-04
Note: View the original document on HAL open archive server: https://hal.science/hal-04327950v1
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Published in Journal of Economic Integration, 2023, 38 (4), pp.670-697. ⟨10.11130/jei.2023.38.4.670⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04327950

DOI: 10.11130/jei.2023.38.4.670

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