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The bond market impact of the South African Reserve Bank bond purchase programme

Author

Listed:
  • Roy Havemann

  • Henk Janse van Vuuren

  • Daan Steenkamp

  • Rossouw van Jaarsveld

Abstract

We use a unique dataset comprising over a million trades and quotes to assess the impact of the unexpected announcement of a bond purchase programme by the South African Reserve Bank on intraday market liquidity, yields and pricing volatility. Our dataset details the timing and order details of individual bonds purchased by the South African Reserve Bank during the COVID-19 pandemic, as well as data from over a million other fixed-coupon bond trades and intraday quotes. We find that the programme was successful at shoring up market confidence and addressing dislocation in the government bond market. We show that bond spreads fell both on announcement and after purchases themselves. Bond pricing adjusted slowly, with effects typically strengthening over the course of the trading day. We find that announcement effects dominated the impact of purchases themselves. Lastly, our intraday dataset enables assessment of the spillovers of central bank announcements in major economies and we show that the Federal Reserve played an important role in stabilising South Africa’s bond market, helping to support the actions of SARB.

Suggested Citation

  • Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, "undated". "The bond market impact of the South African Reserve Bank bond purchase programme," ERSA Working Paper Series v::y:2022:i::id:38, Economic Research Southern Africa.
    • Handle: RePEc:rza:ersawp:v::y:2022:i::id:38
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    File URL: https://ersawps.org/index.php/working-paper-series/article/view/38/24
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    Cited by:

    1. 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).

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