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...
Published: 24 March 2022
Working Paper
Contagion across financial markets during COVID-19: A look at volatility spillovers bet...
The onset of the novel coronavirus pandemic (COVID-19) and previous...
Published: 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...
Published: 25 August 2021
Working Paper
Dr Rossouw van Jaarsveld on developing a forex network model: how to highlight risk tra...
Have you ever wondered how sensitive the South African Rand is to s...
Published: 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...
Published: 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 ...
Published: 23 September 2019
Working Paper
The role of the rand as a shock absorber
This paper investigates the impact of rand shocks on industry outpu...
Published: 23 July 2019
Working Paper
Order flow and rand/dollar exchange rate dynamic
This study investigates the impact of order flow on the rand/dollar...
Published: 9 April 2019
Policy Brief