A market-based assessment of the outlook for inflation: Expectations and monetary policy in South Africa

Jens H. E. Christensen and Daan Steenkamp

No wp-2026-21, WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER)

Abstract: Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific liquidity risk premia, this paper provides estimates of bond investors' inflation expectations and associated inflation risk premia in South African sovereign bonds. The results suggest that investors' long-term inflation expectations have gradually been declining towards the tolerance band adopted by the South African Reserve Bank in 2000.

Keywords: Inflation; Liquidity; Risk; Financial institutions; Capital market (search for similar items in EconPapers)
Date: 2026
New Economics Papers: this item is included in nep-afr and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.wider.unu.edu/sites/default/files/Publ ... utlook-inflation.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
Working Paper: A Market-Based Assessment of the Outlook for Inflation Expectations and Monetary Policy in South Africa (2026)
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:unu:wpaper:wp-2026-21

Access Statistics for this paper

More papers in WIDER Working Paper Series from World Institute for Development Economic Research (UNU-WIDER) Contact information at EDIRC.
Bibliographic data for series maintained by Siméon Rapin ().