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Journal of Economic Integration 2023 December;38(4) :670-697.
DOI: https://doi.org/10.11130/jei.2023.38.4.670
South Africa's Public Debt: Long-term Dependence, Structural Breaks and Multifractality

Jean-Claude Kouakou Brou1,2 Jamal Bouoiyour 1

1Université de Pau et des Pays de l’Adour, E2S UPPA, TREE, Pau, France
1,2Université de Pau et des Pays de l’Adour, E2S UPPA, TREE, Pau, France Univ. Orléans, CNRS, LEO
Corresponding Author: Jean-Claude Kouakou Brou ,Email: kouakou.brou@univ-pau.fr / kouakou-jean-claude.brou@univ-orleans.fr
Copyright ©2023 Journal of Economic Integration
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.

JEL Classification
C12: Hypothesis Testing: General
C22: Time Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C65: Miscellaneous Mathematical Tools
F34: International Lending and Debt Problems
H63: Debt; Debt Management; Sovereign Debt
N17: Africa; Oceania
Keywords: public debt | long memory effect | multifractality | South Africa | MF-DFA | ARFIMA
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