Term Premium Estimation for South Africa
Term Premium Estimation for South Africa
Author(s): Ruan Erasmus, Daan SteenkampSubject(s): Economy, National Economy, Business Economy / Management
Published by: ASERS Publishing
Keywords: term premium; yield curve; Nelson-Siegel-Svensson;
Summary/Abstract: This paper decomposes South African 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. We also show that the steepening of South Africa's curve over recent years can be explained by an increase in the term premium.
Journal: Journal of Applied Economic Sciences (JAES)
- Issue Year: XVII/2022
- Issue No: 78
- Page Range: 347-350
- Page Count: 4
- Language: English