IDEAS home Printed from https://ideas.repec.org/p/rza/ersawp/07.html

South Africa’s yield curve conundrum

Author

Listed:
  • Daan Steenkamp
  • Ruan Erasmus

Abstract

No abstract is available for this item.

Suggested Citation

  • Daan Steenkamp & Ruan Erasmus, 2022. "South Africa’s yield curve conundrum," ERSA Working Paper Series 07, Economic Research Southern Africa.
    • Handle: RePEc:rza:ersawp:07
    as

    Download full text from publisher

    File URL: https://econrsa.org/download/25125/?tmstv=1668683327
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Allan M. Malz, 1997. "Option-implied probability distributions and currency excess returns," Staff Reports 32, Federal Reserve Bank of New York.
    2. Luchelle Soobyah & Daan Steenkamp, 2021. "Has publication of a repo path provided guidance," Occasional Bulletin of Economic Notes 11008, South African Reserve Bank.
    3. Steenkamp, Daan & Erasmus, Ruan, 2022. "Term premium estimation for South Africa," MPRA Paper 114895, University Library of Munich, Germany.
    4. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "CaninformationonthedistributionofZARreturnsbeusedtoimproveSARBsZARforecasts," Working Papers 11035, South African Reserve Bank.
    5. Lauren Kuhn & Franz Ruch & Rudi Steinbach, 2019. "Reaching for the rstars estimating South Africas neutral real interest rate," Working Papers 9097, South African Reserve Bank.
    6. Luchelle Soobyah & Daan Steenkamp, 2020. "Term premium and rate expectation estimates from the South African yield curve," Working Papers 9998, South African Reserve Bank.
    7. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, "undated". "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," ERSA Working Paper Series v::y:2021:i::id:50, Economic Research Southern Africa.
    8. Tim Olds & Daan Steenkamp, 2021. "Estimates of banklevel funding costs in South Africa," Working Papers 11005, South African Reserve Bank.
    9. Havemann, Roy & Hollander, Hylton, 2024. "Fiscal policy in times of fiscal stress (or what to do when r > g)," Journal of Policy Modeling, Elsevier, vol. 46(5), pages 1020-1054.
    10. Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, Centre for Economic Policy Research.
    11. Ana Aguilar & María Diego-Fernández & Rocio Elizondo & Jessica Roldán-Peña, 2022. "Term premium dynamics and its determinants: the Mexican case," BIS Working Papers 993, Bank for International Settlements.
    12. Luchelle Soobyah & Daan Steenkamp, 2021. "Has publication of a repo path provided guidance," Occasional Bulletin of Economic Notes 11033, South African Reserve Bank.
    13. Michael Callaghan, 2019. "Expectations and the term premium in New Zealand long-term interest rates," Reserve Bank of New Zealand Analytical Notes series AN2019/02, Reserve Bank of New Zealand.
    14. Tim Olds & Daan Steenkamp, "undated". "Estimates of bank-level funding costs in South Africa," ERSA Working Paper Series v::y:2021:i::id:67, Economic Research Southern Africa.
    15. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    16. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2021. "Risk and Return Spillovers in a Global Model of the Foreign Exchange Network," Working Papers 11014, South African Reserve Bank.
    17. Johannes W. Fedderke, 2020. "The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals," ERSA Working Paper Series 830, Economic Research Southern Africa.
    18. 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.
    19. Halil Ibrahim Aydin & Ozgur Ozel, 2019. "Term Premium in Turkish Lira Interest Rates," Working Papers 1933, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    20. Johannes W. Fedderke, "undated". "The South African – United States Sovereign Bond Spread and its Association with Macroeconomic Fundamentals," ERSA Working Paper Series v::y:2020:i::id:99, Economic Research Southern Africa.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Erasmus, Ruan & Steenkamp, Daan, 2022. "South Africa’s yield curve conundrum," MPRA Paper 115398, University Library of Munich, Germany.
    2. Biniam E. Bedasso, 2014. "Addressing structural change issues in the context of South Africa’s political dispensation," ERSA Working Paper Series 15, Economic Research Southern Africa.
    3. Jens H. E. Christensen & Daan Steenkamp, 2026. "A market-based assessment of the outlook for inflation: Expectations and monetary policy in South Africa," WIDER Working Paper Series wp-2026-21, World Institute for Development Economic Research (UNU-WIDER).
    4. Steenkamp, Daan & Erasmus, Ruan, 2022. "Term premium estimation for South Africa," MPRA Paper 114895, University Library of Munich, Germany.
    5. Esteban Méndez-Chacón & Diana Van Patten, 2022. "Voting on a Trade Agreement: Firm Networks and Attitudes Toward Openness," Documentos de Trabajo 2204, Banco Central de Costa Rica.
    6. Gary S. Anderson & Alena Audzeyeva, 2019. "A Coherent Framework for Predicting Emerging Market Credit Spreads with Support Vector Regression," Finance and Economics Discussion Series 2019-074, Board of Governors of the Federal Reserve System (U.S.).
    7. Nguyen, Minh, 2020. "Collateral haircuts and bond yields in the European government bond markets," International Review of Financial Analysis, Elsevier, vol. 69(C).
    8. Ioannis A. Venetis & Avgoustinos Ladas, 2023. "Co-movement and global factors in sovereign bond yields," Bulletin of Applied Economics, Risk Market Journals, vol. 10(2), pages 17-45.
    9. Mohamed Amine Boutabba & Yves Rannou, 2020. "Investor strategies and Liquidity Premia in the European Green Bond market," Post-Print hal-02544451, HAL.
    10. Gauthier, Geneviève & Simonato, Jean-Guy, 2012. "Linearized Nelson–Siegel and Svensson models for the estimation of spot interest rates," European Journal of Operational Research, Elsevier, vol. 219(2), pages 442-451.
    11. repec:adr:anecst:y:1998:i:52:p:01 is not listed on IDEAS
    12. Schertler, Andrea, 2016. "Pricing effects when competitors arrive: The case of discount certificates in Germany," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 84-99.
    13. Guo, Feng & McCulloch, J.H., 2017. "Heterogeneous capital and misintermediation," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 16-41.
    14. Karim Henide, 2026. "Green parachutes: the green bond asymmetric liquidity hypothesis," Journal of Asset Management, Palgrave Macmillan, vol. 27(3), pages 1-15, September.
    15. Marcin Dec, 2021. "Parsimonious yield curve modeling in less liquid markets," GRAPE Working Papers 52, GRAPE Group for Research in Applied Economics.
    16. Kanno, Masayasu, 2024. "Assessing the impact of the COVID-19 crisis on sovereign default risk," Research in International Business and Finance, Elsevier, vol. 68(C).
    17. Valentin Haddad & David Sraer, 2020. "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
    18. Ioannidis, Christos & Ka, Kook, 2018. "The impact of oil price shocks on the term structure of interest rates," Energy Economics, Elsevier, vol. 72(C), pages 601-620.
    19. Esteban Sánchez-Gómez, 2022. "Job Vacancy Index for Costa Rica 2010 - 2021," Notas Técnicas 2202, Banco Central de Costa Rica.
    20. Tong, Xiaojun & He, Zhuoqiong Chong & Sun, Dongchu, 2018. "Estimating Chinese Treasury yield curves with Bayesian smoothing splines," Econometrics and Statistics, Elsevier, vol. 8(C), pages 94-124.
    21. Jiří Hozman & Tomáš Tichý & Hana Dvořáčková, 2024. "Valuation of mining projects under dynamic model framework," Annals of Operations Research, Springer, vol. 337(3), pages 1167-1204, June.

    More about this item

    Keywords

    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rza:ersawp:07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Maggi Sigg (email available below). General contact details of provider: https://ersawps.org/index.php/working-paper-series/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.