The bond market impact of the South African Reserve Bank bond purchase programme

Roy Havemann (), Henk Janse van Vuuren (), Daan Steenkamp () and Rossouw van Jaarsveld ()
Additional contact information
Roy Havemann: Western Cape Treasury
Henk Janse van Vuuren: South African Reserve Bank
Daan Steenkamp: Codera
Rossouw van Jaarsveld: Codera

No 38, ERSA Working Paper Series from Economic Research Southern Africa

Abstract: We use a unique dataset comprising over a million trades and quotes to assess the impact of the unexpected announcement of a bond purchase programme by the South African Reserve Bank on intraday market liquidity, yields and pricing volatility. Our dataset details the timing and order details of individual bonds purchased by the South African Reserve Bank during the COVID-19 pandemic, as well as data from over a million other fixed-coupon bond trades and intraday quotes. We find that the programme was successful at shoring up market confidence and addressing dislocation in the government bond market. We show that bond spreads fell both on announcement and after purchases themselves. Bond pricing adjusted slowly, with effects typically strengthening over the course of the trading day. We find that announcement effects dominated the impact of purchases themselves. Lastly, our intraday dataset enables assessment of the spillovers of central bank announcements in major economies and we show that the Federal Reserve played an important role in stabilising South Africa’s bond market, helping to support the actions of SARB.

Keywords: bond purchase programme; liquidity; Yield curve (search for similar items in EconPapers)
JEL-codes: E43 E58 G12 G14 (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/38/24 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:38

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 ().