Local-Currency sovereign risk on South African government bonds

Mulalo Mamburu ()

No 20, ERSA Working Paper Series from Economic Research Southern Africa

Abstract: While local-currency bond markets have become a dominant source of emerging-market financing and an integral component of the global financial system, market-observed measures of sovereign default risk are still based on foreign-currency denominated debt. This note replicates and assesses the Du-Schreger credit risk spread on local-currency debt for South Africa for the period between January 2008 and December 2021. This credit spread is found to be a good measure of local-currency sovereign risk for South Africa during the period under review as it captures the evolution in key developments relevant to domestic sovereign risk while being less responsive than market-based measures to global developments that are not directly linked to fiscal risk.

Keywords: bond markets; currency; debt; sovereign risk (search for similar items in EconPapers)
JEL-codes: F43 G12 G15 H63 (search for similar items in EconPapers)
Date: 2024-08
References: Add references at CitEc
Citations:

Published in ERSA Working Paper Series, August 2024

Downloads: (external link)
https://ersawps.org/index.php/working-paper-series/article/view/20/3 First version, 2024 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rza:ersawp:20

Access Statistics for this paper

More papers in ERSA Working Paper Series from Economic Research Southern Africa
Bibliographic data for series maintained by Maggi Sigg ().