Details about Daan Steenkamp

Access statistics for papers by Daan Steenkamp.

Last updated 2025-04-24. Update your information in the RePEc Author Service.

Short-id: pst548

Working Papers

2025

1. Forecasting economic downturns in South Africa using leading indicators and machine learning
   MPRA Paper, University Library of Munich, Germany
2. Gaps in the South African Inflation Targeting Debate
   MPRA Paper, University Library of Munich, Germany
3. Joint estimation of liquidity and credit risk premia in bond prices with an application
   Working Papers, South African Reserve Bank

2022

4. A banklevel analysis of interest rate passthrough in South Africa
   Working Papers, South African Reserve Bank View citations (2)
   See also Journal Article A bank-level analysis of interest rate pass-through in South Africa, Journal of Macroeconomics, Elsevier (2024) View citations (1) (2024)
5. Big data forecasting of South African inflation
   Working Papers, South African Reserve Bank View citations (2)
   Also in School of Economics Macroeconomic Discussion Paper Series, School of Economics, University of Cape Town (2022) View citations (2)
   See also Journal Article Big data forecasting of South African inflation, Empirical Economics, Springer (2023) View citations (1) (2023)
6. Can information on the distribution of ZAR returns be used to improve SARBs ZAR forecasts
   Working Papers, South African Reserve Bank
7. South Africa’s yield curve conundrum
   MPRA Paper, University Library of Munich, Germany View citations (1)
8. Term premium estimation for South Africa
   MPRA Paper, University Library of Munich, Germany View citations (1)
9. The bond market impact of the South African Reserve Bank bond purchase programme
   Working Papers, South African Reserve Bank View citations (2)
   See also Journal Article The bond market impact of the South African Reserve Bank bond purchase programme, ERSA Working Paper Series, Economic Research Southern Africa (2022) (2022)
10. The cost of complying with Basel III liquidity regulations for South African banks
    Working Papers, South African Reserve Bank View citations (1)
11. The macroeconomics of establishing a basic income grant in South Africa
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article The macroeconomics of establishing a basic income grant in South Africa, South African Journal of Economics, Economic Society of South Africa (2024) View citations (1) (2024)

2021

12. A Truckometer for South Africa
    Occasional Bulletin of Economic Notes, South African Reserve Bank
13. Estimates of banklevel funding costs in South Africa
    Working Papers, South African Reserve Bank View citations (6)
    See also Journal Article Estimates of bank-level funding costs in South Africa, ERSA Working Paper Series, Economic Research Southern Africa (2021) (2021)
14. Has publication of a repo path provided guidance
    Occasional Bulletin of Economic Notes, South African Reserve Bank
15. Nowcasting South African GDP using a suite of statistical models
    Working Papers, South African Reserve Bank
16. Risk and Return Spillovers in a Global Model of the Foreign Exchange Network
    Working Papers, South African Reserve Bank View citations (3)
    See also Journal Article Risk and Return Spillovers in a Global Model of the Foreign Exchange Network, ERSA Working Paper Series, Economic Research Southern Africa (2021) (2021)
17. The impact of global FX liquidity on the rand
    MPRA Paper, University Library of Munich, Germany View citations (1)

2020

18. Developments in bank funding costs in South Africa
    Working Papers, South African Reserve Bank View citations (7)
19. Developments in debt issuance costs of South African banks
    Working Papers, South African Reserve Bank View citations (5)
20. Industry TFP estimates for South Africa
    Occasional Bulletin of Economic Notes, South African Reserve Bank View citations (1)
21. Is the Phillips curve framework still useful for understanding inflation dynamics in South Africa
    Working Papers, South African Reserve Bank View citations (5)
22. Occasional Bulletin of Economic Notes 2001 A measure of South African sovereign risk premium June 2020
    Occasional Bulletin of Economic Notes, South African Reserve Bank
23. Term premium and rate expectation estimates from the South African yield curve
    Working Papers, South African Reserve Bank View citations (17)

2019

24. Rand misalignment Evidence from Bayesian Threshold VECMs
    Occasional Bulletin of Economic Notes, South African Reserve Bank
25. The role of the rand as a shock absorber
    Working Papers, South African Reserve Bank View citations (7)

2018

26. Deviations in Real Exchange Rate Levels in the OECD Countries and their Structural Determinants
    Discussion Papers, School of Economics and Finance, Massey University, New Zealand View citations (6)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2018) View citations (6)
    Working Papers, New Zealand Centre of Macroeconomics (2018) View citations (7)
    Working Papers, CEPII research center (2018) View citations (9)
27. Funding cost pass-through to mortgage rates
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (5)
28. Productivity estimates for South Africa from CES production functions
    Working Papers, South African Reserve Bank View citations (6)
29. Reassessing the information content of the Commitments of Traders positioning data for exchange rate changes
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (3)
30. The structure of South Africa s external position
    Occasional Bulletin of Economic Notes, South African Reserve Bank

2017

31. Explosiveness in G11 currencies
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (2)
    See also Journal Article Explosiveness in G11 currencies, Economic Modelling, Elsevier (2018) View citations (3) (2018)
32. How bubbly is the New Zealand dollar?
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (2)

2016

33. Factor substitution and productivity in New Zealand
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (1)
    See also Journal Article Factor Substitution and Productivity in New Zealand, The Economic Record, The Economic Society of Australia (2018) View citations (4) (2018)

2015

34. Constructing cross country estimates of relative industry MFP levels
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (4)

2014

35. Structural adjustment in New Zealand since the commodity boom
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (4)

2013

36. New Zealand’s short- and medium-term real exchange rate volatility: drivers and policy implications
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (3)
37. Productivity and the New Zealand Dollar: Balassa-Samuelson tests on sectoral data
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (7)
38. What happens when the Kiwi flies? Sectoral effects of the exchange rate shocks
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (9)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (9)

2012

39. Extending the Reserve Bank’s macroeconomic balance model of the exchange rate
    Reserve Bank of New Zealand Analytical Notes series, Reserve Bank of New Zealand View citations (5)

Journal Articles

2025

1. Risk and return spillovers among developed and emerging market currencies
   Journal of International Financial Markets, Institutions and Money, 2025, 98, (C)

2024

2. A bank-level analysis of interest rate pass-through in South Africa
   Journal of Macroeconomics, 2024, 82, (C) View citations (1)
   See also Working Paper A banklevel analysis of interest rate passthrough in South Africa, Working Papers (2022) View citations (2) (2022)
3. The macroeconomics of establishing a basic income grant in South Africa
   South African Journal of Economics, 2024, 92, (1), 57-68 View citations (1)
   Also in ERSA Working Paper Series, 2022 (2022)
   See also Working Paper The macroeconomics of establishing a basic income grant in South Africa, MPRA Paper (2022) View citations (1) (2022)

2023

4. Big data forecasting of South African inflation
   Empirical Economics, 2023, 65, (1), 149-188 View citations (1)
   Also in ERSA Working Paper Series, 2022 (2022)
   See also Working Paper Big data forecasting of South African inflation, Working Papers (2022) View citations (2) (2022)

2022

5. The bond market impact of the South African Reserve Bank bond purchase programme
   ERSA Working Paper Series, 2022
   See also Working Paper The bond market impact of the South African Reserve Bank bond purchase programme, Working Papers (2022) View citations (2) (2022)

2021

6. Estimates of bank-level funding costs in South Africa
   ERSA Working Paper Series, 2021
   See also Working Paper Estimates of banklevel funding costs in South Africa, Working Papers (2021) View citations (6) (2021)
7. Nowcasting South African gross domestic product using a suite of statistical models
   South African Journal of Economics, 2021, 89, (4), 526-554 View citations (6)
8. Risk and Return Spillovers in a Global Model of the Foreign Exchange Network
   ERSA Working Paper Series, 2021
   See also Working Paper Risk and Return Spillovers in a Global Model of the Foreign Exchange Network, Working Papers (2021) View citations (3) (2021)

2018

9. Explosiveness in G11 currencies
   Economic Modelling, 2018, 68, (C), 388-408 View citations (3)
   See also Working Paper Explosiveness in G11 currencies, Reserve Bank of New Zealand Discussion Paper Series (2017) View citations (2) (2017)
10. Factor Substitution and Productivity in New Zealand
    The Economic Record, 2018, 94, (304), 64-79 View citations (4)
    See also Working Paper Factor substitution and productivity in New Zealand, Reserve Bank of New Zealand Discussion Paper Series (2016) View citations (1) (2016)

2016

11. What happens when the Kiwi flies? Sectoral effects of exchange rate shocks on the New Zealand economy
    Economic Modelling, 2016, 52, (PB), 945-959 View citations (8)

2014

12. How volatile are New Zealand’s terms of trade? An international comparison
    Reserve Bank of New Zealand Bulletin, 2014, 77, 3-14 View citations (2)
13. Measuring New Zealand’s effective exchange rate
    Reserve Bank of New Zealand Bulletin, 2014, 77, 1-15 View citations (4)

2012

14. The economic impact of the Canterbury earthquakes
    Reserve Bank of New Zealand Bulletin, 2012, 75, 13-25 View citations (27)

2010

15. New Zealand’s imbalances in a cross-country context
    Reserve Bank of New Zealand Bulletin, 2010, 73, 37-49 View citations (1)