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

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Jean-Claude Kouakou Brou Jamal Bouoiyour
• 간행물 정보: 『Journal of Economic Integration』제38권 제4호, 670~697쪽, 전체 28쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2023.12.01

국문 초록

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.

목차

I. Introduction

II. South African Context

III. Methodology

IV. Results

V. Conclusion

Appendix

키워드

public debt long memory effect multifractality South Africa MF-DFA ARFIMA