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- Title
An Alternative Business Cycle Dating Procedure for South Africa.
- Authors
Bosch, Adél; Ruch, Franz
- Abstract
This paper applies a factor-augmented Markov-switching model to the South African economy to provide an alternative classification of the business cycle and its turning points. In the principal components step, 123 variables are used to establish the aggregate cyclicality in all sectors of the economy with the number of factors chosen using a modified Bai and Ng method. By exploiting the rich nature of the dataset, we provide a model with well-defined statistical properties that compares favourably with the South African Reserve Bank ( SARB) dating points. Combining the results of the parametric approach followed in the Markov-switching model and the non-parametric approach followed by the SARB should allow for a robust turning point analysis. A Markov-switching model of real gross domestic product is also estimated because this variable is commonly used in the literature and provides a benchmark for the factor models.
- Subjects
ECONOMIC expansion; ECONOMIC development; ECONOMIC activity; SOUTH African Reserve Bank; GROSS domestic product; STATISTICS
- Publication
South African Journal of Economics, 2013, Vol 81, Issue 4, p491
- ISSN
0038-2280
- Publication type
Article
- DOI
10.1111/j.1813-6982.2012.01339.x