Inflation in South Africa: A Time Series View Across Sectors Using Long-Range Dependece
Authors
Pedro Mendi
Rodrigo Costamagna
Type
Article
Publisher
South African Journal of Economics, Vol. 78, Issue 4
Pages
325-343
Date
10-12-2010

In this paper I examine the time-series evolution of the log consumer price index series in South Africa, disaggregating the data by sectors. I examine the time period 1990m1-2008m12, i.e. focusing on the post-apartheid period. I used methodologies based on fractional integration using parametric and semiparametric techniques. The results indicate that the (total) inflation rate in South Africa is long memory, with an order of integration in the range (0, 0.5). The same happens with most of the data disaggregated by sectors with values of d above 1 in the log prices. Evidence of I(0) inflation is obtained in some cases for “fruits and nuts”, “vegetables” and “sugar”, and evidence of mean reversion in the log prices is only obtained in the case of “fish and other seafood”.

Article.