[1] Aizenman J., Hutchison, M., and Jinjarak, Y., 2013, What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk, Journal of International Money and Finance, 34, 37-59.
[100] Shu, H-C., Chang, J-H., and Lo, T-Y., 2018, Forecasting the Term Structure of South African Government Bond Yields, Emerging Markets Finance and Trade, 54, 41– 53.
[101] Siklos, P., 2011, Emerging market yield spreads: Domestic, external determinants, and volatility spillovers, Global Finance Journal, 22(2), 83– 100, doi:10.1016/j.gfj.2011.10.001
- [102] Soobyah, L., 2018, Fiscal announcements and movements in the yield curve, SARB Economic Note, 2018-17.
Paper not yet in RePEc: Add citation now
[103] Soobyah, L., and Steenkamp, D., 2019, Term premium and rate expectation estimates from the South African yield curve, South African Reserve Bank Working Paper Series WP/19/XX.
[104] Viceira, L.M., 2012, Bond risk, bond return volatility, and the term structure of interest rates, International Journal of Forecasting, 28,97-117.
[105] Von Hagen, J., Schuknecht, L., and Wolswijk, G., 2011, Government Bond Risk Premiums in the EU Revisited: The Impact of the Financial Crisis, European Journal of Political Economy, 27(1), 36– 43.
[106] Zivot, E. and Andrews, K., 1992, Further Evidence On The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis, Journal of Business and Economic Statistics, 10(10), 251– 70.
[11] Bansal, R., and Yaron, A., 2004, Risks for the long run: a potential resolution of asset pricing puzzles, Journal of Finance, 59, 1481– 1509.
[12] Barbosa, L., and Costa, S., 2010, Determinants of Sovereign Bond Yield Spreads in the Euro Area in the Context of the Economic and Financial Crisis, Economic Bulletin (Banco de Portugal), (Autumn), 131– 50.
[13] Barndor-Nielsen, O.E., and Shephard, N., 2004, Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in …nancial economics, Econometrica, 72, 885– 925.
[14] Baxter, M., and King, R.G., 1999, Measuring business cycles: approximate band-pass …lters for economic time series, Review of Economics and Statistics, 81(4), 575-593.
[15] Beber, A., Brandt, M., and Kavajecz, K. , 2009, Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market, Review of Financial Studies, 22(3), 925– 57.
[16] Bekaert, G., Ehrmann, M., Fratzscher, M. and Mehl, A., 2014, The Global Crisis and Equity Market Contagion, Journal of Finance, 69(6), 2597-2649.
- [17] Bernoth, K., and Erdogan, B., 2012, Sovereign Bond Yield Spreads: A Time-Varying Coe cient Approach, Journal of International Money and Finance, 31(3), 639– 56.
Paper not yet in RePEc: Add citation now
[18] Bernoth, K., Von Hagen, J., and Schuknecht, L., 2012, Sovereign Risk Premiums in the European Government Bond Market, Journal of International Money and Finance, 31(5), 975– 95.
[19] Blanchard, O., 2019, Public Debt and Low Interest Rates, American Economic Review, 109(4), 1197– 1229.
[2] Andersen, T.G., Bollerslev, T., Christoersen, P.F., and Diebold, F.X., 2006a, Volatility and correlation forecasting, in G. Elliott, C.W.J. Granger, & A.Timmermann (eds.), Handbook of economic forecasting, Amsterdam: North-Holland. 778– 878.
[20] Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307-327.
[21] Bollerslev, T., Engle, R.F., and Wooldridge, J.M., 1988, A capital asset pricing model with time varying covariances, Journal of Political Economy, 96, 116– 131.
- [23] Borgy, V., Laubach, T., Mésonnier, J.-S., and Renne, J.-P., 2011, Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads, Working Paper No. 350, Banque de France.
Paper not yet in RePEc: Add citation now
[24] Botha, F., and Keeton, G., 2014, A note on the (Continued) ability of the yield curve to forecast economic downturns in South Africa, South African Journal of Economics, 82, 468– 73.
[25] Boyd, J.H., Hu, J., and Jagannathan, R., 2005, The stock market’ s reaction to unemployment news: why bad news is usually good for stocks, Journal of Finance, 60(2), 649– 672.
[26] Braun, P.A., Nelson, D.B., and Sunier, A.M., 1995, Good news, bad news, volatility, and betas, Journal of Finance, 50, 1575– 1603.
[27] Caceres, C., Guzzo, V., and Segoviano, M., 2010, Sovereign Spreads: Global Risk Aversion, Contagion or Fundamentals? IMF Working Paper No. 10/120.
[28] Campbell, J.Y., and Cochrane, J.H., 1999, By force of habit: a consumption-based explanation of aggregate stock market behavior, Journal of Political Economy, 107, 205– 251.
- [29] Campbell, J.Y., Pfueger, C., and Viceira, L.M., 2019, Macroeconomic Drivers of Bond and Equity Risks, Harvard Business School Working Paper 14-031.
Paper not yet in RePEc: Add citation now
- [3] Andersen, T.G., Bollerslev, T., Christoersen, P.F., and Diebold, F.X., 2006b, Practical volatility and correlation modeling for …nancial market risk management, in M. Carey, & R. Stulz (eds.), Risks of …nancial institutions, University of Chicago Press for NBER, 513– 548.
Paper not yet in RePEc: Add citation now
[31] Cantor, R., and Packer, F., 1996, Determinants and Impact of Sovereign Credit Ratings, FRBNY Economic Policy Review, October, 37-53.
[32] Cho, Y., and Engle, R.F., 1999, Time-varying betas and asymmetric eects of news: empirical analysis of blue chip stocks, NBER working paper 7330, Cambridge, MA.
- [33] Christiano, L.J., and Fitzgerald,T.J., 2003, The band pass …lter, International Economic Review, 44(2), 435-465.
Paper not yet in RePEc: Add citation now
- [34] Clay, R., and Keeton, G., 2011, The South African yield curve as a predictor of economic downturns: An update, African Review of Economics and Finance, 2, 167– 93.
Paper not yet in RePEc: Add citation now
[35] Clemente, J., Montañés, A., and Reyes, M., 1998, Testing for a unit root in variables with a double change in the mean, Economics Letters, 59, 175-182.
[36] Cooper, I. and Priestley, R., 2009, Time-Varying Risk Premiums and the Output Gap, Review of Financial Studies, 22(7), 2801-2833.
[37] Comelli, F., 2012, Emerging Market Sovereign Bond Spreads: Estimation and Back-testing, IMF Working Paper, WP/12/212.
- [38] Curran, P., 2019, Drivers of South Africa’ s yield curve steepening, SARB Research Brief, 2019-1.
Paper not yet in RePEc: Add citation now
- [39] Diamond, P.A., 1965, National Debt in a Neoclassical Growth Model, American Economic Review, 55(5), 1126-50.
Paper not yet in RePEc: Add citation now
[4] Andersen, T., Bollerslev, T., Diebold, F.X., and Labys, P., 2003, Modeling and forecasting realized volatility, Econometrica, 71, 529– 626.
- [40] Dickey, D.A., and Fuller, W.A., 1979, Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427– 431.
Paper not yet in RePEc: Add citation now
[41] Dickey, D.A., and Fuller, W.A., 1981, The Likelihood Ratio Statistics For Autoregressive Time Series With a Unit Root, Econometrica, 49(4),1057-72.
[42] Eichengreen, B., and Mody, A., 1998, What Explains Changing Spreads On Emerging-Market Debt: Fundamentals Or Market Sentiment?. National Bureau of Economic Research (NBER) Working Paper Series, No. 6408. Cambridge, Massachussets.
[43] Engle, R.F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of UK in‡ ation, Econometrica, 50, 987– 1008.
- [44] Engle, R.F., 2002, Dynamic conditional correlation: a simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 20, 339– 350.
Paper not yet in RePEc: Add citation now
[45] Engle, R. E., Lilien, D., and Robins, R., 1987, Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica, 55, 391-407.
[46] Engle, R. E., and Ng, V,K., 1993, Measuring and Testing the Impact of News on Volatility, Journal of Finance, 48(5), 1749-78.
- [47] Erb, C.B., Harvey, C.R., and Viskanta, T.E., 1996, Expected Returns and Volatility in 135 Countries, The Journal of Portfolio Management, 22(3), 46-58; DOI: https://doi.org/10.3905/jpm.1996.409554
Paper not yet in RePEc: Add citation now
[48] Fama, E., and French, K., 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23– 49.
- [49] Favero, C., Pagano, M., and Von Thadden, E.-L., 2010, How Does Liquidity Aect Government Bond Yields? Journal of Financial and Quantitative Analysis, 45(1), 107– 34.
Paper not yet in RePEc: Add citation now
[5] Andersen, T., Bollerslev, T., and Meddahi, N., 2005, Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities, Econometrica, 73, 279– 296.
- [50] Fedderke, J.W., 2015, Promotion and Relegation between Country Risk Classes as Maintained by Country Risk Rating Agencies, Procedia Economics and Finance, Bank of International Settlements and World Bank, 29, 158 –182.
Paper not yet in RePEc: Add citation now
[51] Fedderke, J.W., De Kadt, R., and Luiz, J., 2001, Indicators of Political Liberty, Property Rights and Political Instability in South Africa, International Review of Law and Economics, 21(1), 103-34.
[52] Fedderke, J.W., and Marinkov, M., 2018, Diagnosing the Source of Financial Market Shocks: an application to the Asian Financial Crisis, Paci…c Economic Review, 23(5), 742-77.
[53] Fedderke, J.W., and Mengisteab, D., 2017, Estimating South Africa’ s output gap and potential growth rate, South African Journal of Economics, 85(2), 161-77.
[54] Fedderke, J.W., and Pillay, N., 2010, Theory-Consistent Formal Risk Measures: Using Financial Market Data from a Middle Income Context, Oxford Bulletin of Economics and Statistics, 72(6), 769-93.
[55] Fontaine, J.-S., and Garcia, R., 2011, Bond Liquidity Premia, Review of Financial Studies, 25(4), 1207-1254.
[56] Fontana, A., and Scheicher, M., 2010, An Analysis of Euro Area Sovereign CDS and their Relation with Government Bonds, ECB Working Paper No. 1271.
[57] French, K.R., Schwert, G.W., and Stambaugh, R.F., 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3– 29.
- [58] Gagnon, J., Raskin, M., Remache, J., and Sack, B., 2011, The Financial Market Eects of the Federal Reserve’ s Large-Scale Asset Purchases, International Journal of Central Banking, 7(1), 3– 43.
Paper not yet in RePEc: Add citation now
[59] Gapen, M., Gray, D., Lim, C., and Xiao, Y., 2008, Measuring and Analyzing Sovereign Risk with Contingent Claims, IMF Sta Papers, 55(1), 109– 148.
[6] Arghyrou, M., and Kontonikas, A., 2012, The EMU Sovereign-Debt Crisis: Fundamentals, Expectations and Contagion, Journal of International Financial Markets, Institutions and Money, 22(4), 658– 77.
[60] Garcia, J.A. and Gimeno, R., 2014, Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis, Banco de Espana Working Paper No 1429.
[62] Gerlach, S., Schulz, A., and Wol, G., 2010, Banking and Sovereign Risk in the Euro Area, CEPR Discussion Paper No. 7833.
- [63] Glynn, J., Perera, N., and Verma, R., 2007, Unit root tests and structural breaks: a survey with applications, Revista de Métodos Cuantitativos para la EconomÃa y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 3(1), 63-79.
Paper not yet in RePEc: Add citation now
[64] Gómez-Puig, M., 2009, Systemic and Idiosyncratic Risk in EU-15 Sovereign Yield Spreads after Seven Years of Monetary Union, European Financial Management, 15(5), 971– 1000.
- [65] Grandes, M., and Peter, M., 2004, The Determinants of Corporate Bond Yield Spreads in South Africa: Firm-Speci…c or Driven by Sovereign Risk?Mimeo.
Paper not yet in RePEc: Add citation now
[66] Hamilton, J., and Wu, C., 2012, The Eectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, Journal of Money, Credit and Banking, 44(s1), 3– 46.
- [67] Hassan, S., and Soobyah, L., 2016. Sovereign credit ratings and cost of funding, SARB Economic Note, EN 16/01.
Paper not yet in RePEc: Add citation now
[68] Haugh, D., Ollivaud, P., and Turner, D., 2009, What Drives Sovereign Risk Premiums? An Analysis of Recent Evidence from the Euro Area, OECD Economics Department Working Paper No. 718.
[69] Hodrick, R.J., and Prescott, E.C., 1997, Postwar US business cycles: an empirical investigation, Journal of Money, Credit, and Banking, 29(1), 1-16.
[7] Aß mann, C., and Boysen-Hogrefe, J., 2012, Determinants of Government Bond Spreads in the Euro Area: In Good Times as in Bad, Empirica, 39(3), 341– 56.
[70] Holden, D., and Perman, R., 1994, Unit Roots and Cointegration for the Economist, in B.B. Rao, (ed.), Cointegration for the Applied Economist, London: Macmillan.
- [71] Huang, J., and Shi, Z., 2012, Determinants of Bond Risk Premia, Penn State University mimeo.
Paper not yet in RePEc: Add citation now
[72] Khomo, M.M., and Aziakpono, M.J., 2007, Forecasting recession in South Africa: A comparison of the yield curve and other economic indicators, South African Journal of Economics, 75, 194– 212.
[73] Kilp, J., Anvari, V., Spring…eld, S., and Roberts, C., 2018, The Impact of the Global Financial Safety Net of Emerging Market Bond Spreads, South African Reserve Bank Working Paper, WP/18/03.
[74] Kilponen, J., Laakkonen, H., and Vilmunen, J., 2015, Sovereign Risk, European Crisis-Resolution Policies, and Bond Spreads, International Journal of Central Banking, 11(2), 285-323.
[75] Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y, 1992, Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.
[76] Krishnamurthy, A., and Vissing-Jorgensen, A., 2011, The Eects of Quantitative Easing on Interest Rates: Channels and Implications for Policy, Brooking Papers on Economic Activity (Fall), 215– 87.
[77] Krishnamurthy, A., and Vissing-Jorgensen, A., 2013, The Ins and Outs of LSAPs, in Global Dimensions of Unconventional Monetary Policy, Proceedings of an Annual Economic Policy Symposium sponsored by the Federal Reserve Bank, 57– 111.
[78] Ludvigson, S.C., and Ng, S., 2009, Macro Factors in Bond Risk Premia, Review of Financial Studies, 22(12), 5027-5067.
[79] Manganelli, S., and Wolswijk, G., 2009, What Drives Spreads in the Euro Area Government Bond Market? Economic Policy, 24(58), 191– 240.
[80] Merton, R.C., 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, 29(2), 449– 70.
[81] Merton, R.C., 1980, On estimating the expected return on the market: an exploratory investigation, Journal of Financial Economics, 8, 323– 361.
- [82] Mojapelo, ., and Soobyah, L., 2019, Determinants of sovereign credit ratings, SARB Research Brief, 2019-15.
Paper not yet in RePEc: Add citation now
- [83] Moolman, E., 2002, The term structure as a predictor of recessions, Journal for Studies in Economics and Econometrics, 26, 43– 51.
Paper not yet in RePEc: Add citation now
- [84] Moolman, E., 2003, Predicting turning points in the South African economy. South African Journal of Economics and Sciences, 6, 289– 303.
Paper not yet in RePEc: Add citation now
[85] Nel, H., 1996, The term structure of interest rates and economic activity in South Africa, South African Journal of Economics, 63, 161– 74.
[86] Nelson, D.B., 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica, 59, 347– 370.
- [87] O cer, R., 1973, The variability of the market factor in the New York Stock Exchange, Journal of Business, 46, 434– 453.
Paper not yet in RePEc: Add citation now
[88] Oliveira, L., Curto, J., and Nunes, J., 2012, The Determinants of Sovereign Credit Spread Changes in the Euro-Zone, Journal of International Financial Markets, Institutions and Money, 22(2), 278– 304.
[89] Perron, P., 1988, Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a New Approach, Journal of Economic Dynamics and Control, 12, 297-332.
[9] Aye, G.C., Christou, C., Gil-Alana, L.A., and Gupta, R., 2019, Forecasting the Probability of Recessions in South Africa: The Role of Decomposed Term Spread and Economic Policy Uncertainty, Journal of International Development, 31, 101-16.
[90] Perron, P., 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361-1401.
[91] Perron, P., 1994, Trend, Unit Root Hypothesis and Structural Change in Macroeconomic Time Series, in R.B.Bhasakara (ed.), Cointegration for Applied Economists, St. Martin’ s Press.
[92] Peter, M. and Grandes, M., 2005, How Important is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa, IMF Working Paper No. 05/217. Washington: IMF.
- [93] Phillips, P.C.B., and Perron, P., 1988, Testing for a unit root in time series regression, Biometrika, 75, 335– 346.
Paper not yet in RePEc: Add citation now
[94] Pollock, D.S.G., 2000, Trend estimation and de-trending via rational square-wave …lters, Journal of Econometrics, 99(2), 317-334.
[95] Pozzi, L., and Wolswijk, G., 2012, The Time-Varying Integration of Euro Area Government Bond Markets, European Economic Review, 56(1), 35– 53.
[97] Rapapali, M., and Steenkamp, D., 2019, Developments in bank funding costs in South Africa, South African Reserve Bank Working Paper Series WP/19/06.
- [98] Robinson, Z., 2015, An analysis of sovereign risk in South Africa with the focus on …scal determinants, Southern African Business Review, 19(3), 154-73.
Paper not yet in RePEc: Add citation now
- [99] Schwert, G.W., 1989, Why does stock market volatility change over time? Journal of Finance, 44, 1207– 1239.
Paper not yet in RePEc: Add citation now