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The Properties of Cycles in South African Financial Variables and Their Relation to the Business Cycle

South African Journal of Economics, Vol. 73, No. 4, pp. 796-804, 2005

Posted: 27 Mar 2010

See all articles by Willem H. Boshoff

Willem H. Boshoff

Stellenbosch University - Department of Economics - Centre for Competition Law and Economics

Date Written: December 1, 2005

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: business fluctuations, cycles, financial markets and the macro-economy, forecasting

JEL Classification: E30, E32, E37, E44, E47

Suggested Citation

Boshoff, Willem H., The Properties of Cycles in South African Financial Variables and Their Relation to the Business Cycle (December 1, 2005). South African Journal of Economics, Vol. 73, No. 4, pp. 796-804, 2005, Available at SSRN: https://ssrn.com/abstract=1576502

Willem H. Boshoff (Contact Author)

Stellenbosch University - Department of Economics - Centre for Competition Law and Economics ( email )

South Africa
+27218082387 (Phone)

HOME PAGE: http://ccle.sun.ac.za

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