G12 | Economic Research Southern Africa

JEL code: G12

Asset Pricing; Trading volume; Bond Interest Rates

Local-Currency sovereign risk on South African government bonds

While local-currency bond markets have become a dominant source of ...

Mulalo Mamburu

Working Paper

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

We use a unique dataset comprising over a million trades and quotes...

Roy Havemann, Rossouw van Jaarsveld, Henk Janse van Vuuren, Daan Steenkamp

Working Paper

Policy Bulletin 04: Electricity reforms: Experience and approach

South Africa has been experiencing electricity shortages since 2008...

Christopher Loewald, Konstantin Makrelov, Andreas Wörgötter

Policy Bulletin

Chris Loewald on the Monetary Policy response to the Coronavirus pandemic in South Afri...

Amidst the Coronavirus Pandemic and an economic downgrade, we speak...

Christopher Loewald

Podcast

Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market

This paper investigates empirically the integration of bond markets...

Anmar Pretorius, Alain Kabundi

Working Paper

The Equity Price Channel in a New-Keynesian DSGE Model with Financial Frictions and Ban...

This paper studies the role of the equity price channel in business...

Hylton Hollander, Guangling Dave Liu

Working Paper

A decision-theoretic model of asset-price underreaction and overreaction to dividend news

We combine new developments in decision theory with a standard cons...

Alexander Zimper, Alexander Ludwig

Working Paper

No-Arbitrage One-Factor Models of the South African Term-Structure of Interest Rates

Short-term interest rate processes determine the term-structure of ...

Shakill Hassan, Peter Aling

Working Paper

Risk-return tradeoff and the behaviour of volatility on the South African stock market:...

The study analyses the nature and behaviour of volatility, the risk...

‪Neville Z. Mandimika, Zivanemoyo Chinzara

Working Paper

The Equity Premium and Risk-Free Rate Puzzles in a Turbulent Economy: Evidence from 105...

This paper presents a detailed empirical examination of the South A...

Andrew van Biljon, Shakill Hassan

Working Paper

Value, Size and Momentum Portfolios in Real Time: The Cross-Section of South African St...

We implement a recursive out-of-sample method to examine anomalies-...

Shakill Hassan, Ryans Bartens

Working Paper

The Price of Risk on the JSE

This paper investigates domestic risk-return behaviour by focussing...

Nick Samouilhan

Working Paper