The South African–United States sovereign bond spread and its association with macroeconomic fundamentals

Keyphrases

• Class of Estimators 33%
• Debt-to-GDP Ratio 33%
• Economic Growth 33%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 33%
• Government Bonds 33%
• Large Shocks 33%
• Low Inflation 33%
• M-class 33%
• Macroeconomic Fundamentals 100%
• Multivariate GARCH Models 33%
• Negative Shocks 66%
• Positive Shocks 33%
• Private Debt 33%
• Public Debt 66%
• Shock 33%
• Shock Impact 33%
• Size Bias 33%
• South Africa 33%
• South African 66%
• Sovereign Bond Spreads 100%
• Strong Impact 33%
• United States 33%
• Volatility 33%
• Yield Spread 100%
• Yield Volatility 66%

Economics, Econometrics and Finance

• Generalized Autoregressive Conditional Heteroskedasticity 66%
• Inflation 33%
• Macroeconomics 100%
• Private Debt 33%
• Private Sector 33%
• Public Bond 100%
• Public Debt 66%
• Volatility 100%
• Yield Curve 100%