- Title
- Determinants of the yield curve in South Africa
- Creator
- Ngonyama, Nomasomi
- Date
- 2014
- Type
- Thesis
- Type
- Masters
- Type
- M Com
- Identifier
- vital:11496
- Description
- The yield curve has been the subject of many studies for some time, mainly in predicting recessions, economic growth and inflation. However, scant work is available on what drives the yield spread. Given this, the paper examines the determinants of the yield curve in South Africa by using time series econometric analysis over the period 2000-2012. Some key variables considered include inflation, economic growth, budget deficit, and monetary policy. To separate the long and short run effects, VECM was employed after ensuring stationarity of the series. The study found that a long run relationship exist between the yield spread, inflation, GDP, budget deficit, Repo rate, Real effective exchange rate and a money supply (M1). The Results of this thesis have implications for policy and academic work.
- Format
- 129 leaves; 30 cm
- Format
- Publisher
- University of Fort Hare
- Publisher
- Faculty of Management & Commerce
- Language
- English
- Rights
- University of Fort Hare
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UFH Department of Economics
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