THE PROPERTIES OF CYCLES IN SOUTH AFRICAN FINANCIAL VARIABLES AND THEIR RELATION TO THE BUSINESS CYCLE

Author: BOSHOFF, WH

Source: South African Journal of Economics, Volume 73, Number 4, December 2005 , pp. 694-709(16)

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Abstract:

The paper describes cyclicality in a range of local and international financial variables and their relation to cyclical behaviour in the South African real economy. Cycles are derived using a dating algorithm similar to that used to determine business cycle turning points and falls within the Burns-Mitchell tradition of business cycle analysis. Co-movement between phases in financial variables and similar phases in the business cycle are described using the concordance statistic, instead of the correlation statistic (which requires stationarity). This is a preliminary step in identifying financial variables that can act as leading indicators of economic activity.

Keywords: E30; E32; E37; E44; E47; business fluctuations; cycles; financial markets and the macro-economy; forecasting

Document Type: Research article

DOI: http://dx.doi.org/10.1111/j.1813-6982.2005.00047.x

Affiliations: 1: Masters' Student, Department of Economics, University of Stellenbosch, Tel: +27 21 808 2678, Email: wimpie2@sun.ac.za

Publication date: 2005-12-01