Impact of fiscal consolidation in different states of domestic government debt in South Africa 1979 to 2022

Figures & data

Figure 1. Government debt share to GDP in South Africa.

Table 1. Economic variables used

Variable	Description	Sourced
$g$	Government expenditure	SARB (2022)
$rd$	Government debt service payment	SARB (2022)
$tgr$	Government total revenue	SARB (2022)
$gd$	Domestic government debt	SARB (2022)
$m3$	Money supply	SARB (2022)
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB\mathrm{\_}tgr$	Time-varying elasticity for total government revenue CAPB	Buthelezi and Nyatanga (2023a)
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB\mathrm{\_}g$	Time-varying elasticity for government expenditure CAPB	Buthelezi and Nyatanga (2023a)
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB$	Time-varying elasticity for expenditure and tax CAPB	Buthelezi and Nyatanga (2023a)

Table 2. Descriptive statistics of the data sourced and estimated

Variable	Obs	Mean	Std. Dev.	Min	Max
$gd$	44	37.22682	11.20625	21.99	73.18
$g$	44	27.94886	3.003128	23.3	37.5
$tgr$	44	14.32779	8.754365	−5.2537	36.8419
$m3$	44	12.795	6.120927	1.79	27.3
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB\mathrm{\_}tgr$	44	−1.356591	12.22918	−47.3	49.72
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB\mathrm{\_}g$	44	5.259546	45.5113	−247.4	67.85
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB$	44	6.616136	56.26286	−297.13	115.15

Table 3. Markov-switching dynamic regression from 1979 to 2022

State	State 1				State 2				State 3
Estimation	1	2	3	4	1	2	3	4	1	2	3	4
Economic variables	$gd$	$gd$	$gd$	$gd$
$Regime1$
$rd$		3.101***	0.800	0.860		1.195	3.647	3.782***		7.640**	1.689	2.801***
		(6.08)	(1.17)	(1.61)		(1.36)	(.)	(11.87)		(2.59)	(1.39)	(3.70)
$m3$		−0.401	−0.635***	−0.807***		−0.983*	−0.209	−0.187		−0.136	−0.635**	−0.491**
		(−1.21)	(−3.30)	(−4.58)		(−2.04)	(−0.20)	(−1.03)		(−0.22)	(−2.64)	(−2.65)
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB\mathrm{\_}tgr$		0.0511				−0.456				0.173
		(0.44)				(−1.50)				(0.13)
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB\mathrm{\_}g$			−0.0577				0.0768				0.0935*
			(−1.25)				(1.06)				(2.43)
$tvp\mathrm{\_}elstcy\mathrm{\_}CAPB$				−0.0498				0.0831*				0.0918***
				(−1.90)				(2.05)				(4.08)
	30.15***	−20.35	−24.38***	−15.92**	44.89***	7.364	−43.12	−36.90***	72.39***	−21.55	−16.07	−15.32**
$\mathrm{\_}cons$	(35.72)	(−0.96)	(−4.57)	(−2.62)	(38.25)	(0.32)	(0.25)	(−6.45)	(25.25)	(−1.69)	(0.658)	(−2.93)
g		1.560*	2.215***	1.946***		1.560*	2.215***	1.946***		1.560*	2.215***	1.946***
		(2.15)	(8.19)	(9.84)		(2.15)	(8.19)	(9.84)		(2.15)	(8.19)	(9.84)
tgr		0.635**	0.511***	0.574***		0.635**	0.511***	0.574***		0.635**	0.511***	0.574***
		(2.94)	(4.21)	(4.31)		(2.94)	(4.21)	(4.31)		(2.94)	(4.21)	(4.31)
N	44	44	44	44	44	44	44	44	44	44	44	44

t statistics in parentheses *p < 0.05, **p < 0.01,***p < 0.001.

Figure 2. The regime 1 to 3 filter transition probabilities. Note the economic variables $gd$ domestic government debt $gd\mathrm{\_}pr\mathrm{\_}state\mathrm{\_}1$, $gd\mathrm{\_}pr\mathrm{\_}state\mathrm{\_}2$, and $gd\mathrm{\_}pr\mathrm{\_}state\mathrm{\_}3$, are the government debt transition probabilities from state 1 to 3. Note the state is used interchangeably with the regime. The $mean\mathrm{\_}gd\mathrm{\_}st1,mean\mathrm{\_}gd\mathrm{\_}st2,$and $mean\mathrm{\_}gd\mathrm{\_}st3$, are the average mean of the domestic government debt from state 1 to 3. A state will run for a specific period; therefore, the model can generate the mean or average.

Figure 3. Transition probabilities for domestic government debt regimes. Note the state is used interchangeably with the regime.

Table 4. Expected duration

Regime	Regime1	Regime2	Regime3
Duration	16.03985	6.902488	8.207887

SARB. (2022, 2020). Online statistical query (Historical macroeconomic timeseries information). Retrieved November 3, 2022, from https://www.resbank.co.za/Research/Statistics/Pages/OnlineDownloadFacility.aspx.

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Buthelezi, E. M., & Nyatanga, P. (2023a). Threshold of the CAPB that can be attributed to fiscal consolidation episodes in South Africa. Economies. https://doi.org/10.3390/economies11060152

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