Modelling inflation in South Africa

A multivariate cointegration analysis

Research output: Contribution to journalArticle

23 Citations (Scopus)

Abstract

We employ an expectations augmented Phillips curve framework to investigate the link between inflation, unit labour costs, the output gap, the real exchange rate and inflation expectations. Using multivariate cointegration techniques, we find evidence consistent with mark-up behaviour of output prices over unit labour costs. Most importantly, we find that the mark-up in the South African economy is much higher than in the U.S. For South Africa we find a markup of about 30 per cent: three times as high as the 10 per cent markup found for the U.S.

Original languageEnglish (US)
Pages (from-to)79-92
Number of pages14
JournalSouth African Journal of Economics
Volume73
Issue number1
DOIs
StatePublished - Jan 1 2005

Fingerprint

Modeling
South Africa
Cointegration analysis
Multivariate cointegration
Inflation
Markup
Unit labour costs
Inflation expectations
Africa
Real exchange rate
Output gap
Exchange rate expectations
Phillips curve

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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Modelling inflation in South Africa : A multivariate cointegration analysis. / Fedderke, Johannes Wolfgang; Schaling, E.

In: South African Journal of Economics, Vol. 73, No. 1, 01.01.2005, p. 79-92.

Research output: Contribution to journalArticle

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