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Local-Currency sovereign risk on South African government bonds

Author

Listed:
  • Mulalo Mamburu

Abstract

While local-currency bond markets have become a dominant source of emerging-market financing and an integral component of the global financial system, market-observed measures of sovereign default risk are still based on foreign-currency denominated debt. This note replicates and assesses the Du-Schreger credit risk spread on local-currency debt for South Africa for the period between January […]

Suggested Citation

  • Mulalo Mamburu, 2022. "Local-Currency sovereign risk on South African government bonds," Working Papers 882, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:882
    as

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    More about this item

    Keywords

    capital market; Emerging economies; South Africa;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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