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yield curve


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
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...
Mar 2022
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