​In this paper we estimate a Phillips curve for South Africa. The slope of the Phillips curve, the inflation persistence, the natural rate of unemployment and the central bank's inflation target band are time-varying. We find that the slope of the Phillips curve has flattened since the mid 2000s - particularly after the Great Recession - which is in line with the findings in most advanced countries. Our results indicate that inflation persistence increased from 1994 to 2001, remained constant from 2001 to 2008, and eventually decreased around 2008. This pattern is different from that of advanced countries where expectations became better anchored relatively early in the inflation targeting (IT) regime and stayed there. Finally, we suggest that the increased stability of inflation expectations after 2008 -- which coincides with the Great Financial crisis - may be a result of "good luck" not just a good policy framework.