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South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality
[La dette publique de l'Afrique du Sud : dépendance à long terme, ruptures structurelles et multifractalité]

Author

Listed:
  • Jean-Claude Kouakou Brou

    (UPPA - Université de Pau et des Pays de l'Adour, UO - Université d'Orléans, TREE - Transitions Energétiques et Environnementales - UPPA - Université de Pau et des Pays de l'Adour - CNRS - Centre National de la Recherche Scientifique)

  • Jamal Bouoiyour

    (TREE - Transitions Energétiques et Environnementales - UPPA - Université de Pau et des Pays de l'Adour - CNRS - Centre National de la Recherche Scientifique, UPPA - Université de Pau et des Pays de l'Adour)

Abstract

This paper aims to analyse the evolution of public debt in South Africa using new and original methods. The case of South Africa has been little studied in the literature on debt because the level of debt in this country remains reasonable. Moreover, the use of non-standard methods allows for a fine-grained analysis of the public debt time series and, consequently, to draw unprecedented conclusions. Using the Multifractal Detrended Fluctuation Analysis (MF-DFA) method borrowed from solid-state physics and medicine, we conclude that South Africa's debt has a multifractal character, which originates from the long memory effect. Thus, South Africa's public debt is unsustainable. The inefficiency of this market has been particularly exacerbated by the various shocks throughout the sample period.

Suggested Citation

  • Jean-Claude Kouakou Brou & Jamal Bouoiyour, 2023. "South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality [La dette publique de l'Afrique du Sud : dépendance à long terme, ruptures structurelles et multifractalité]," Post-Print hal-04327950, HAL.
    • Handle: RePEc:hal:journl:hal-04327950
    DOI: 10.11130/jei.2023.38.4.670
    Note: View the original document on HAL open archive server: https://hal.science/hal-04327950
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    References listed on IDEAS

    as
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    2. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
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    6. Charl Jooste & Mr. Alfredo Cuevas & Ian C. Stuart & Philippe Burger, 2011. "Fiscal sustainability and the fiscal reaction function for South Africa," IMF Working Papers 2011/069, International Monetary Fund.
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