JEL code: F31

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...
24 March 2022
Working Paper
Contagion across financial markets during COVID-19: A look at volatility spillovers between the stock and f...
The onset of the novel coronavirus pandemic (COVID-19) and previous...
8 February 2022
Working Paper
Risk and return spillovers in a global model of the Foreign Exchange Network
We developed a network model to capture the dynamic interactions am...
25 August 2021
Working Paper
Dr Rossouw van Jaarsveld on developing a forex network model: how to highlight risk transmission channels i...
Have you ever wondered how sensitive the South African Rand is to s...
7 May 2021
Podcast
A financial stress index for South Africa: A time-varying correlation approach
This paper develops a new index of financial market stress for Sout...
14 November 2019
Working Paper
A New Keynesian DSGE model for low income economies with foreign exchange constraints
The existing literature is clear that low income economies tend to ...
23 September 2019
Working Paper