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State Space modelling


Measuring and Testing a Modified Version of the South African Financial Cycle

Malibongwe C Nyati, Christian K Tipoy and Paul F Muzindutsi
This study reports on measuring and testing of a Composite Financial Cycle Index (CFCI) as a modified version of a South African Financial Cycle (FC). This is achieved through the adoption of thirteen monthly financial time series indicators observed over the period 2000M1 to 2018M12. In this...
Oct 2021
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