The Properties of Cycles in South African Financial Variables and Their Relation to the Business Cycle

Abstract

The paper describes cyclicality in a range of local and international financial variables and their relation to cyclical behaviour in the South African real economy. Cycles are derived using a dating algorithm similar to that used to determine business cycle turning points and falls within the Burns-Mitchell tradition of business cycle analysis. Co-movement between phases in financial variables and similar phases in the business cycle are described using the concordance statistic, instead of the correlation statistic (which requires stationarity). This is a preliminary step in identifying financial variables that can act as leading indicators of economic activity. Copyright 2005 Economic Society of South Africa.

Rethinking ASGISA and the rand exchange rate

“…This is not due to the specific lag order (six or twelve months), as the results are unaltered for alternative choices of lag order ranging from zero months to eighteen months (Boshoff, 2006). Also, the results are not different for cycles in the levels (instead of the twelve-month growth rate) of the exchange rate.…”

“…• How to implement Blue Ocean strategies through effective leadership and teamwork 1 SAJEMS is an ISI accredited journal…”

“…Research on the relationship between South African financial variables and the business cycle broadly confirm this. Using a turning point cycle framework, similar to the one employed by the South African Reserve Bank (SARB) when dating the business cycle, Boshoff (2005; illustrates the relationship between the exchange rate cycle and the industrial production cycle. Table 1 reports the so-called concordance index (which can be interpreted as a correlation statistic) between these cycles for the period 1986-2004 (see Boshoff (2005; for details).…”

“…Using a turning point cycle framework, similar to the one employed by the South African Reserve Bank (SARB) when dating the business cycle, Boshoff (2005; illustrates the relationship between the exchange rate cycle and the industrial production cycle. Table 1 reports the so-called concordance index (which can be interpreted as a correlation statistic) between these cycles for the period 1986-2004 (see Boshoff (2005; for details). The table contains results for cycles in both the levels and the twelvemonth growth rate of industrial production, and considers a lagged concordance of either six or twelve months between the exchange rate and industrial production cycles: Table 2 reports the results when both the official SARB business cycle and the GDP growth rate cycle are used.…”

Filter selection for countercyclical capital buffers

“…Their data for housing, equity and credit markets and GDP from 44 countries accounting for 90% of global output are grouped into advanced and emerging economies. Similar research by Boshoff (2006) analyses the cyclicality of financial markets in relation to the cyclical behaviour of the South African real economy and identifies turning points for several domestic and international variables. Both Boshoff (2006) and Claessens et al (2011) rely on the fundamental methodological foundations produced by Burns and Mitchell (1946) for business cycle turning-point analyses.…”