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South Africa’s yield curve conundrum

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Abstract

Discussion Document 07 South Africa’s sovereign yield curve is one of the steepest in the world. We show that South Africa’s curve has steepened over recent years and that this can be explained by an increase in the term premium embedded in long rates. We also show that market- implied long term neutral interest rates […]

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  • Daan Steenkamp & Ruan Erasmus, 2022. "South Africa’s yield curve conundrum," Working Papers 07, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:07
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    Cited by:

    1. Martin Gustafsson & Firoz Patel, 2009. "Managing the teacher pay system: What the local and international data are telling us," Working Papers 26/2009, Stellenbosch University, Department of Economics.
    2. Claire Vermaak, 2010. "The Impact of Multiple Imputation of Coarsened Data on Estimates on the Working Poor in South Africa," WIDER Working Paper Series wp-2010-086, World Institute for Development Economic Research (UNU-WIDER).
    3. Chicoine, Luke, 2012. "AIDS mortality and its effect on the labor market: Evidence from South Africa," Journal of Development Economics, Elsevier, vol. 98(2), pages 256-269.
    4. Reza C. Daniels, 2012. "A Framework for Investigating Micro Data Quality, with Application to South African Labour Market Household Surveys," SALDRU Working Papers 90, Southern Africa Labour and Development Research Unit, University of Cape Town.
    5. Reza C. Daniels, 2012. "Questionnaire Design and Response Propensities for Employee Income Micro Data," SALDRU Working Papers 89, Southern Africa Labour and Development Research Unit, University of Cape Town.
    6. Derek Yu, 2013. "Some factors influencing the comparability and reliability of poverty estimates across household surveys," Working Papers 03/2013, Stellenbosch University, Department of Economics.
    7. Haroon Bhorat & Sumayya Goga, 2012. "The Gender Wage Gap in the Post-apartheid South African Labour Market," Working Papers 12148, University of Cape Town, Development Policy Research Unit.
    8. Claire Vermaak, 2012. "Tracking poverty with coarse data: evidence from South Africa," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 10(2), pages 239-265, June.
    9. Adel Bosch & Steven F. Koch, 2021. "Individual and Household Debt: Does Imputation Choice Matter?," Working Papers 202141, University of Pretoria, Department of Economics.
    10. Dieter Von Fintel, 2007. "Dealing With Earnings Bracket Responses In Household Surveys – How Sharp Are Midpoint Imputations?," South African Journal of Economics, Economic Society of South Africa, vol. 75(2), pages 293-312, June.

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    Keywords

    Emerging economies; South Africa;

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