Template-Type: ReDIF-Paper 1.0
Author-Name: Luchelle Soobyah
Author-Name: Daan Steenkamp 
Title: Term premium and rate expectation estimates from the South African yield curve
Abstract: Long-term interest rates have two major drivers: expectations of future short term interest rates and the term premium. We show that the term premium embedded in South African long rates has risen over the last year and is significantly higher than in advanced economies like the United States. Our modelling results suggest that a higher term premium tends to have adverse impacts on domestic activity and the currency. Higher short rate expectations, on the other hand, tend to have the opposite effect on the economic slack, consistent with such expectations being informative about theoutlook for domestic growth and inflation.
Creation-Date: 2020-06-12
File-URL: http://www.resbank.co.za/content/dam/sarb/publications/working-papers/2020/9998/WP-2003.pdf
File-Format: application/pdf
File-Function: Revision
Number: 9998
Handle: RePEc:rbz:wpaper:9998