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South Africa’s yield curve conundrum - Codera Analytics

South Africa’s yield curve conundrum

The term premium should be influenced by the domestic macroeconomic outlook and global financial market volatility.  However, simple models of the term premium struggle to explain its dynamics.  In our recent note, we argue that the answer to resolving South Africa’s yield curve conundrum lies in improving our understanding of inflation and sovereign credit premia, as well as foreign exchange depreciation risk.