EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH
This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread....
Gespeichert in:
| Veröffentlicht in: | Eurasian journal of economics and finance 2021, Vol.9 (1), p.29-45 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 45 |
|---|---|
| container_issue | 1 |
| container_start_page | 29 |
| container_title | Eurasian journal of economics and finance |
| container_volume | 9 |
| creator | Zhou, Sheunesu |
| description | This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread. Our results show that the short-term interest rate is positively related to the bond yield spread both in the short and long run. We also establish a long-run positive influence of government debt on the bond yield spread whilst on the other hand, economic growth, the nominal effective exchange rate, stock market returns and bank credit all have a negative impact on the bond yield spread in the long run. We examine the time varying coefficient of government debt and reveal that the long-run impact of government debt has varied over the period under analysis. Time varying coefficients capture some important periods in the history of the South African economy, indicatingthat underlying economic conditions and exogenous shocks influence the determination of sovereign risk. Our results imply the need for synchronization of fiscal and monetary policy. In addition, economic policy should address economic growth and macroeconomic instability to complement deleveraging efforts aimed at curbing sovereign credit risk. |
| doi_str_mv | 10.15604/ejef.2021.09.01.003 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2542475800</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2542475800</sourcerecordid><originalsourceid>FETCH-LOGICAL-c1193-b27aed7c351ae458749a263ea0a53f6e49c994e736e259f102b04e5d271a27f93</originalsourceid><addsrcrecordid>eNpNkE9Pg0AQxTdGE5vab-BhE8_g7D_oelvJUoi0VKBNPW22dIk2ahXswW8vWA9e3rxkZt5LfghdE_CJCIDfur1rfAqU-CB96BXYGRpRwqceEEnP__lLNOm6PQAQwQMayBF61hs1TxfpYoarROMyXxWRLnEe93atC53OFrhIywcc58WwrRKs4iKN1B1WuErnGq9V8TS8x5nepPeZxplWZYXLx5Uq-iS1XBa5ipIrdNHY185N_uYYrWJdRYmX5bM-LvNqQiTztjS0bhfWTBDruJiGXFoaMGfBCtYEjstaSu5CFjgqZEOAboE7saMhsTRsJBujm1PuR3v4PLruy-wPx_a9rzRUcMpDMe0BjRE_XdXtoeta15iP9uXNtt-GgPnFagasZsBqQBroFRj7AVMDYUA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2542475800</pqid></control><display><type>article</type><title>EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH</title><source>PAIS Index</source><source>Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals</source><creator>Zhou, Sheunesu</creator><creatorcontrib>Zhou, Sheunesu ; University of Zululand, South Africa</creatorcontrib><description>This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread. Our results show that the short-term interest rate is positively related to the bond yield spread both in the short and long run. We also establish a long-run positive influence of government debt on the bond yield spread whilst on the other hand, economic growth, the nominal effective exchange rate, stock market returns and bank credit all have a negative impact on the bond yield spread in the long run. We examine the time varying coefficient of government debt and reveal that the long-run impact of government debt has varied over the period under analysis. Time varying coefficients capture some important periods in the history of the South African economy, indicatingthat underlying economic conditions and exogenous shocks influence the determination of sovereign risk. Our results imply the need for synchronization of fiscal and monetary policy. In addition, economic policy should address economic growth and macroeconomic instability to complement deleveraging efforts aimed at curbing sovereign credit risk.</description><identifier>ISSN: 2148-0192</identifier><identifier>EISSN: 2148-0192</identifier><identifier>DOI: 10.15604/ejef.2021.09.01.003</identifier><language>eng</language><publisher>Istanbul: Eurasian Publications</publisher><subject>Banking ; Bond markets ; Bond ratings ; Bonds ; Coronaviruses ; Corporate bonds ; Corporate debt ; COVID-19 ; Credit risk ; Currency instability ; Debt ; Economic conditions ; Economic growth ; Economic policy ; Foreign exchange rates ; GDP ; Government ; Government bonds ; Gross Domestic Product ; Interest rates ; International finance ; Investments ; Macroeconomics ; Monetary policy ; Public debt ; Risk ; Risk premiums ; Securities markets ; Sovereign debt ; Stock exchanges ; Variables</subject><ispartof>Eurasian journal of economics and finance, 2021, Vol.9 (1), p.29-45</ispartof><rights>2021. This work is published under https://creativecommons.org/licenses/by/4.0/ (the“License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,780,784,4024,27866,27923,27924,27925</link.rule.ids></links><search><creatorcontrib>Zhou, Sheunesu</creatorcontrib><creatorcontrib>University of Zululand, South Africa</creatorcontrib><title>EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH</title><title>Eurasian journal of economics and finance</title><description>This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread. Our results show that the short-term interest rate is positively related to the bond yield spread both in the short and long run. We also establish a long-run positive influence of government debt on the bond yield spread whilst on the other hand, economic growth, the nominal effective exchange rate, stock market returns and bank credit all have a negative impact on the bond yield spread in the long run. We examine the time varying coefficient of government debt and reveal that the long-run impact of government debt has varied over the period under analysis. Time varying coefficients capture some important periods in the history of the South African economy, indicatingthat underlying economic conditions and exogenous shocks influence the determination of sovereign risk. Our results imply the need for synchronization of fiscal and monetary policy. In addition, economic policy should address economic growth and macroeconomic instability to complement deleveraging efforts aimed at curbing sovereign credit risk.</description><subject>Banking</subject><subject>Bond markets</subject><subject>Bond ratings</subject><subject>Bonds</subject><subject>Coronaviruses</subject><subject>Corporate bonds</subject><subject>Corporate debt</subject><subject>COVID-19</subject><subject>Credit risk</subject><subject>Currency instability</subject><subject>Debt</subject><subject>Economic conditions</subject><subject>Economic growth</subject><subject>Economic policy</subject><subject>Foreign exchange rates</subject><subject>GDP</subject><subject>Government</subject><subject>Government bonds</subject><subject>Gross Domestic Product</subject><subject>Interest rates</subject><subject>International finance</subject><subject>Investments</subject><subject>Macroeconomics</subject><subject>Monetary policy</subject><subject>Public debt</subject><subject>Risk</subject><subject>Risk premiums</subject><subject>Securities markets</subject><subject>Sovereign debt</subject><subject>Stock exchanges</subject><subject>Variables</subject><issn>2148-0192</issn><issn>2148-0192</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><sourceid>GNUQQ</sourceid><recordid>eNpNkE9Pg0AQxTdGE5vab-BhE8_g7D_oelvJUoi0VKBNPW22dIk2ahXswW8vWA9e3rxkZt5LfghdE_CJCIDfur1rfAqU-CB96BXYGRpRwqceEEnP__lLNOm6PQAQwQMayBF61hs1TxfpYoarROMyXxWRLnEe93atC53OFrhIywcc58WwrRKs4iKN1B1WuErnGq9V8TS8x5nepPeZxplWZYXLx5Uq-iS1XBa5ipIrdNHY185N_uYYrWJdRYmX5bM-LvNqQiTztjS0bhfWTBDruJiGXFoaMGfBCtYEjstaSu5CFjgqZEOAboE7saMhsTRsJBujm1PuR3v4PLruy-wPx_a9rzRUcMpDMe0BjRE_XdXtoeta15iP9uXNtt-GgPnFagasZsBqQBroFRj7AVMDYUA</recordid><startdate>2021</startdate><enddate>2021</enddate><creator>Zhou, Sheunesu</creator><general>Eurasian Publications</general><scope>AAYXX</scope><scope>CITATION</scope><scope>0-V</scope><scope>3V.</scope><scope>7RO</scope><scope>7TQ</scope><scope>7XB</scope><scope>88J</scope><scope>8AI</scope><scope>8BJ</scope><scope>8FK</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ALSLI</scope><scope>AXJJW</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>CCPQU</scope><scope>COVID</scope><scope>DHY</scope><scope>DON</scope><scope>DWQXO</scope><scope>FQK</scope><scope>FREBS</scope><scope>FRNLG</scope><scope>GNUQQ</scope><scope>JBE</scope><scope>K60</scope><scope>K6~</scope><scope>M2R</scope><scope>PIMPY</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>Q9U</scope></search><sort><creationdate>2021</creationdate><title>EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH</title><author>Zhou, Sheunesu</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c1193-b27aed7c351ae458749a263ea0a53f6e49c994e736e259f102b04e5d271a27f93</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Banking</topic><topic>Bond markets</topic><topic>Bond ratings</topic><topic>Bonds</topic><topic>Coronaviruses</topic><topic>Corporate bonds</topic><topic>Corporate debt</topic><topic>COVID-19</topic><topic>Credit risk</topic><topic>Currency instability</topic><topic>Debt</topic><topic>Economic conditions</topic><topic>Economic growth</topic><topic>Economic policy</topic><topic>Foreign exchange rates</topic><topic>GDP</topic><topic>Government</topic><topic>Government bonds</topic><topic>Gross Domestic Product</topic><topic>Interest rates</topic><topic>International finance</topic><topic>Investments</topic><topic>Macroeconomics</topic><topic>Monetary policy</topic><topic>Public debt</topic><topic>Risk</topic><topic>Risk premiums</topic><topic>Securities markets</topic><topic>Sovereign debt</topic><topic>Stock exchanges</topic><topic>Variables</topic><toplevel>online_resources</toplevel><creatorcontrib>Zhou, Sheunesu</creatorcontrib><creatorcontrib>University of Zululand, South Africa</creatorcontrib><collection>CrossRef</collection><collection>ProQuest Social Sciences Premium Collection</collection><collection>ProQuest Central (Corporate)</collection><collection>Asian Business Database</collection><collection>PAIS Index</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>Social Science Database (Alumni Edition)</collection><collection>Asian Business Database (Alumni Edition)</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Social Science Premium Collection</collection><collection>Asian & European Business Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>Coronavirus Research Database</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>ProQuest Central Korea</collection><collection>International Bibliography of the Social Sciences</collection><collection>Asian & European Business Collection (Alumni)</collection><collection>Business Premium Collection (Alumni)</collection><collection>ProQuest Central Student</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>Social Science Database</collection><collection>Access via ProQuest (Open Access)</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ProQuest Central Basic</collection><jtitle>Eurasian journal of economics and finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Zhou, Sheunesu</au><aucorp>University of Zululand, South Africa</aucorp><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH</atitle><jtitle>Eurasian journal of economics and finance</jtitle><date>2021</date><risdate>2021</risdate><volume>9</volume><issue>1</issue><spage>29</spage><epage>45</epage><pages>29-45</pages><issn>2148-0192</issn><eissn>2148-0192</eissn><abstract>This paper analyzes the determinants of the South African long-term sovereign bond yield spread using 10-year bond yield spread. We employ the Auto-Regressive Distributed Lag and Flexible Least Squares techniques to demonstrate the impact of macroeconomic and financial variables on the yield spread. Our results show that the short-term interest rate is positively related to the bond yield spread both in the short and long run. We also establish a long-run positive influence of government debt on the bond yield spread whilst on the other hand, economic growth, the nominal effective exchange rate, stock market returns and bank credit all have a negative impact on the bond yield spread in the long run. We examine the time varying coefficient of government debt and reveal that the long-run impact of government debt has varied over the period under analysis. Time varying coefficients capture some important periods in the history of the South African economy, indicatingthat underlying economic conditions and exogenous shocks influence the determination of sovereign risk. Our results imply the need for synchronization of fiscal and monetary policy. In addition, economic policy should address economic growth and macroeconomic instability to complement deleveraging efforts aimed at curbing sovereign credit risk.</abstract><cop>Istanbul</cop><pub>Eurasian Publications</pub><doi>10.15604/ejef.2021.09.01.003</doi><tpages>17</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 2148-0192 |
| ispartof | Eurasian journal of economics and finance, 2021, Vol.9 (1), p.29-45 |
| issn | 2148-0192 2148-0192 |
| language | eng |
| recordid | cdi_proquest_journals_2542475800 |
| source | PAIS Index; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals |
| subjects | Banking Bond markets Bond ratings Bonds Coronaviruses Corporate bonds Corporate debt COVID-19 Credit risk Currency instability Debt Economic conditions Economic growth Economic policy Foreign exchange rates GDP Government Government bonds Gross Domestic Product Interest rates International finance Investments Macroeconomics Monetary policy Public debt Risk Risk premiums Securities markets Sovereign debt Stock exchanges Variables |
| title | EXAMINING THE SOURCES OF SOVEREIGN RISK FOR SOUTH AFRICA: A TIME VARYING FLEXIBLE LEAST SQUARES APPROACH |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-29T20%3A34%3A42IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=EXAMINING%20THE%20SOURCES%20OF%20SOVEREIGN%20RISK%20FOR%20SOUTH%20AFRICA:%20A%20TIME%20VARYING%20FLEXIBLE%20LEAST%20SQUARES%20APPROACH&rft.jtitle=Eurasian%20journal%20of%20economics%20and%20finance&rft.au=Zhou,%20Sheunesu&rft.aucorp=University%20of%20Zululand,%20South%20Africa&rft.date=2021&rft.volume=9&rft.issue=1&rft.spage=29&rft.epage=45&rft.pages=29-45&rft.issn=2148-0192&rft.eissn=2148-0192&rft_id=info:doi/10.15604/ejef.2021.09.01.003&rft_dat=%3Cproquest_cross%3E2542475800%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2542475800&rft_id=info:pmid/&rfr_iscdi=true |