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The impact of fiscal risk on the South African yield curve and risk premium

Author

Listed:
  • Luchelle Soobyah

Abstract

Since the global financial crisis, government debt sustainability has become a major concern worldwide.

Suggested Citation

  • Luchelle Soobyah, 2026. "The impact of fiscal risk on the South African yield curve and risk premium," Working Papers 11105, South African Reserve Bank.
    • Handle: RePEc:rbz:wpaper:11105
    as

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    File URL: https://www.resbank.co.za/content/dam/sarb/publications/working-papers/2026/26-14/risk-yield.pdf
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    References listed on IDEAS

    as
    1. Robin Greenwood & Samuel G. Hanson & Jeremy C. Stein, 2015. "A Comparative-Advantage Approach to Government Debt Maturity," Journal of Finance, American Finance Association, vol. 70(4), pages 1683-1722, August.
    2. Mr. Manmohan S. Kumar & Mr. Emanuele Baldacci, 2010. "Fiscal Deficits, Public Debt, and Sovereign Bond Yields," IMF Working Papers 2010/184, International Monetary Fund.
    3. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
    4. Joseph W. Gruber & Steven B. Kamin, 2012. "Fiscal Positions and Government Bond Yields in OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1563-1587, December.
    5. Sheunesu Zhou & David McMillan, 2021. "Macroeconomic determinants of long-term sovereign bond yields in South Africa," Cogent Economics & Finance, Taylor & Francis Journals, vol. 9(1), pages 1929678-192, January.
    6. Afonso, António & Martins, Manuel M.F., 2012. "Level, slope, curvature of the sovereign yield curve, and fiscal behaviour," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1789-1807.
    7. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
    8. Brandao-Marques, Luis & Casiraghi, Marco & Gelos, Gaston & Harrison, Olamide & Kamber, Gunes, 2024. "Is high debt Constraining monetary policy? evidence from inflation expectations," Journal of International Money and Finance, Elsevier, vol. 149(C).
    9. Francesco Giavazzi & Marco Pagano, 1990. "Can Severe Fiscal Contractions Be Expansionary? Tales of Two Small European Countries," NBER Chapters, in: NBER Macroeconomics Annual 1990, Volume 5, pages 75-122, National Bureau of Economic Research, Inc.
    10. Frederic S. Mishkin, 2000. "Inflation Targeting in Emerging-Market Countries," American Economic Review, American Economic Association, vol. 90(2), pages 105-109, May.
    11. Qiang Dai & Thomas Philippon, 2005. "Fiscal Policy and the Term Structure of Interest Rates," NBER Working Papers 11574, National Bureau of Economic Research, Inc.
    12. Manabu Nose & Jeta Menkulasi, 2025. "Fiscal Determinants of Domestic Sovereign Bond Yields in Emerging Market and Developing Economies," IMF Working Papers 2025/059, International Monetary Fund.
    13. Michael Plante & Alexander W. Richter & Sarah Zubairy, 2025. "Revisiting the Interest Rate Effects of Federal Debt," NBER Working Papers 34018, National Bureau of Economic Research, Inc.
    14. Bretscher, Lorenzo & Hsu, Alex & Tamoni, Andrea, 2020. "Fiscal policy driven bond risk premia," Journal of Financial Economics, Elsevier, vol. 138(1), pages 53-73.
    15. Thomas Laubach, 2009. "New Evidence on the Interest Rate Effects of Budget Deficits and Debt," Journal of the European Economic Association, MIT Press, vol. 7(4), pages 858-885, June.
    16. Gabriel Caldas Montes & Tatiana Acar, 2018. "Fiscal credibility and disagreement in expectations about inflation: evidence for Brazil," Economics Bulletin, AccessEcon, vol. 38(2), pages 826-843.
    17. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
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