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THE GREAT MODERATION OF THE SOUTH AFRICAN BUSINESS CYCLE

THE GREAT MODERATION OF THE SOUTH AFRICAN BUSINESS CYCLE The international financial crisis that started in 2007 and the subsequent end of the long expansion in South Africa has refocused attention on the business cycle. Prior to the crisis, the economies of both developed and developing countries experienced an extended period of low and stable inflation and stable real economic growth, an episode that has been called the “great moderation”. The disruption of this era by the financial crisis has highlighted the importance of understanding the nature and causes of the great moderation, to assist policy makers in facilitating its resumption. This paper considers the historical evidence for the great moderation in South Africa with the aid of a time-varying stochastic volatility model and various break-point tests. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economic History of Developing Regions Taylor & Francis

THE GREAT MODERATION OF THE SOUTH AFRICAN BUSINESS CYCLE

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Publisher
Taylor & Francis
Copyright
Copyright Economic History Society of Southern Africa
ISSN
2078-0397
eISSN
2078-0389
DOI
10.1080/20780389.2010.505003
Publisher site
See Article on Publisher Site

Abstract

The international financial crisis that started in 2007 and the subsequent end of the long expansion in South Africa has refocused attention on the business cycle. Prior to the crisis, the economies of both developed and developing countries experienced an extended period of low and stable inflation and stable real economic growth, an episode that has been called the “great moderation”. The disruption of this era by the financial crisis has highlighted the importance of understanding the nature and causes of the great moderation, to assist policy makers in facilitating its resumption. This paper considers the historical evidence for the great moderation in South Africa with the aid of a time-varying stochastic volatility model and various break-point tests.

Journal

Economic History of Developing Regions – Taylor & Francis

Published: Jun 1, 2010

Keywords: Business cycles; emerging market economies; quantitative analysis of business cycles; C32; E32

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