Term premium estimation for South Africa

Daan Steenkamp and Ruan Erasmus

MPRA Paper from University Library of Munich, Germany

Abstract: This white paper decomposes sovereign yields into expectations of future average short term rates and a term premium. We estimate that the term premium in South African sovereign bonds is lower than after the onset of the COVID pandemic, but still meaningfully higher than its historical average. Codera uses these estimates to extract market expectations of monetary policy and signals relating to the inflation and economic growth outlook, as well as produce estimates of market perceptions of liquidity premia and sovereign credit risk.

Keywords: term; premium (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2022-10-07
New Economics Papers: this item is included in nep-ban and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:114895

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