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The South African sovereign term premium and its drivers

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Abstract

Discussion Document 15 South Africa’s sovereign yield curve is one of the steepest among large emerging markets. Our estimates suggest that this can be explained by an increase in the term premium embedded in long rates. We argue that a higher term premium reflects a deterioration in market perceptions of South African credit risk and […]

Suggested Citation

  • Daan Steenkamp & Ruan Erasmus, 2022. "The South African sovereign term premium and its drivers," Working Papers 15, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:15
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    File URL: https://econrsa.org/wp-content/uploads/dlm_uploads/2023/11/ERSA-Discussion-Document-15-Steenkamp-Erasmus.pdf
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    Citations

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    Cited by:

    1. Fedderke, J.W. & Perkins, P. & Luiz, J.M., 2006. "Infrastructural investment in long-run economic growth: South Africa 1875-2001," World Development, Elsevier, vol. 34(6), pages 1037-1059, June.
    2. Johannes W. Fedderke & John M. Luiz, 2005. "Does Human Generate Social and Institutional Capital? Exploring Evidence From Time Series Data in a Middle Income Country," Working Papers 029, Economic Research Southern Africa.

    More about this item

    Keywords

    Emerging economies; emerging markets; Inflation; Risk and Uncertainty;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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