The properties of cycles in South African financial variables and their relation to the business cycle
Stellenbosch Working Paper Series No. WP02/2005Publication date: 2005
Author(s):
Linkages between the financial and real sectors of the economy have been studied extensively over the past twenty years to enhance business cycle forecasting on the one hand and improve portfolio allocation on the other. The broad aim of the paper is to investigate the relationship between cycles in the real economy and cycles in several financial variables from the South African money, bond and stock markets for the period from 1986 onwards. The paper will aim to describe the properties of cycles in such financial variables, where cycles were derived using a dating algorithm similar to that used to determine business cycle turning points. This method is consistent with the Burns and Mitchell tradition of business cycle analysis, but in contrast with the dominant approach in academic research, i.e. deviation cycles relying on time-series detrending. Consequently, the paper will attempt to relate phases in the cycles of financial variables with business cycle phases to establish which variables satisfy preliminary requirements for leading indicators of the business cycle. The paper will consider both classical cycles as well as cycles in the growth rate of the different variables and include international variables, due to the potential importance of international developments for financial markets in an open economy.
JEL Classification:E30, E32, E37, E44, E47
Keywords:business cycles, South Africa, financial variables, real economy
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Monday 28 July 202512:00-13:00
Dr Neil Rankin: Ceo Of Predictive Insights & Stellenbosch University
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Prof Willem Boshoff: Stellenbosch University
Topic: "Two competing approaches in South African competition policy: merger control and anti-cartel enforcement over the past 30 years"
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Professor Johan Fourie: Stellenbosch University
Topic: "Economic History: TBC"
BER Weekly
18 Jul 2025 Encouraging data, but messy politics while US tariff deadline loomsThe big global data prints of the week came on Tuesday, with better-than-expected Chinese GDP growth for Q2 and US core CPI coming in lower than expected, but still (finally) reflecting some signs of tariffs being passed on to consumers. Locally, the uptick in mining production and retail sales was positive for Q2 GDP dynamics. In addition to the data,...
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