Inflation in South Africa. A time series view across sectors using long range dependence

Luis Gil-Alana

No 05/2011, NCID Working Papers from Navarra Center for International Development, University of Navarra

Abstract: In this paper we examine the time series evolution of the log-CPI series in South Africa disaggregating the data by sectors. We examine the time period 1990m1-20008m12, that is, focussing on the post-apartheid period. The results indicate that the (total) inflation rate in South Africa is long memory, with an order of integration in the range (0, 0.5). The same happens with most of the data disaggregated by sectors with values of d above 1 in the log-prices. Evidence of I(0) inflation is obtained in some cases for "fruits and nuts", "vegetables" and "sugar", and evidence of mean reversion in the log-prices is only obtained in the case of "fish and oather seafood". Policy implications are derived.

Keywords: Inflation; South Africa; long range dependence (search for similar items in EconPapers)
JEL-codes: C22 E31 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2010-10
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Citations: View citations in EconPapers (4)

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http://ncid.unav.edu/download/file/fid/160 (application/pdf)
http://onlinelibrary.wiley.com/doi/10.1111/j.1813-6982.2010.01255.x/full Link to published text

Related works:
Journal Article: INFLATION IN SOUTH AFRICA: A TIME‐SERIES VIEW ACROSS SECTORS USING LONG‐RANGE DEPENDENCE (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:nva:unnvaa:wp05-2010

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