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Author
Mashoene Mmakganya (University of Kwa-Zulu Natal, Durban, South Africa), Doorasamy Mishelle (University of Kwa-Zulu Natal, Durban, South Africa)
Title
The Effect of COVID-19 in Estimating the South African Real Spot-Rate Curve
Source
Economics, Management and Sustainability, 2023, vol. 8, nr 2, s. 53-68, rys., tab., bibliogr. 25 poz.
Keyword
Pandemia, COVID-19, Inflacja, Obligacje skarbowe, Stopa procentowa
Pandemic, COVID-19, Inflation, Treasury bond, Interest rate
Note
JEL Classification: G12, G32, H63
summ.
Country
Republika Południowej Afryki (RPA)
Republic of South Africa
Abstract
This study investigates the dynamism of different mathematical term-structure models during COVID-19 to estimate the South African real spot-rate curve. The study is based on term-structure models following Nelson-Siegel framework; and further incorporates the recalibration process on static term-structure models over different economic environments. It was found that the recalibration methodology resulted in no improvements on Linear-parametric and Cubic-splines term-structure models. However, the recalibration effect on Nelson-Siegel and Svensson models resulted in an improved fit for South African inflation-indexed spot rates even in periods of heightened market risk.(original abstract)
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Bibliography
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ISSN
2520-6303
Language
eng
URI / DOI
http://dx.doi.org/10.14254/jems.2023.8-2.5
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