South African Journal of Economic and Management Sciences
versión On-line ISSN 1015-8812
BURGER, Philippe. The South African business cycle: What has changed?. S. Afr. j. econ. manag. sci. [online]. 2010, vol.13, n.1, pp. 26-49. ISSN 1015-8812.
This paper identifies the basic empirical characteristics and changes of the South African business cycle since 1960. As such, the paper examines changes in volatility as well as the co-movement between several national account variables and real GDP. To examine the co-movements the paper follows Kydland and Prescott, Gavin and Kydland as well as Bergman, Bordo and Jonung and uses correlation coefficients and Granger causality tests. Following Ramos, the paper extends the results of the Granger causality tests using variance decomposition analysis in the context of a VAR (vector auto regression) to establish the contribution that selected national account variables make to the h-period-ahead forecast error variance of themselves and the other variables included in the VARs. The paper indicates that since 1994 volatility in the South African economy decreased significantly, while durable consumption appears to lead the business cycle.
Palabras clave : Volatility; business cycle.