Jel Classification
C22, E31
N° Pages
Inflation in South Africa. A time series view across sectors using long range dependence

In this paper we examine the time series evolution of the log-CPI series in South Africa disaggregating the data by sectors. We examine the time period 1990m1-20008m12, that is, focussing on the post-apartheid period. 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 oather seafood". Policy implications are derived.

Inflation; South Africa; long range dependence