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Article Dans Une Revue Journal of Economic Integration Année : 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

Résumé

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.
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Dates et versions

hal-04327950 , version 1 (06-12-2023)

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Jean-Claude Kouakou Brou, Jamal Bouoiyour. South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality. Journal of Economic Integration, 2023, 38 (4), pp.670-697. ⟨10.11130/jei.2023.38.4.670⟩. ⟨hal-04327950⟩
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