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The information content of the yield spread about future inflation in South Africa

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  • Manqoba Ntshakala
  • Laurence Harris

Abstract

The proposition that inflation expectations can be extracted as inflation predictions from the government bond yield curve has been tested, with partially positive results, using data from the United States and European countries. Despite the abundance of empirical studies of the proposition, relatively few of these studies relate to emerging markets, as most emerging markets lack bond markets with the liquidity, breadth, information availability, and range of maturities that would permit such studies.

Suggested Citation

  • Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
  • Handle: RePEc:unu:wpaper:wp-2018-63
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    File URL: https://www.wider.unu.edu/sites/default/files/Publications/Working-paper/PDF/wp2018-63.pdf
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    References listed on IDEAS

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    Cited by:

    1. Sheunesu Zhou, 2021. "Examining the Sources of Sovereign Risk for South Africa: A Time Varying Flexible Least Squares Approach," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(1), pages 29-45.
    2. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.

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