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State Space modelling

publication

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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publication

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
Read more
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