The effect of monetary policy regime switches on the application of different term structure models to estimate South African real spot rate curve = Umthelela womthetho wenqubomgomo yezimali ekusetshenzisweni kwezindlelakwenza ezahlukene zesakhiwo sethemu ukuhlawumbisela indawo ngqo yesilinganiso.

Abstract

The global economy was recently brought to a standstill due to the Covid-19 pandemic. This resulted in a '1-in-100 years' stress in the global economy which saw the application of drastic monetary and fiscal policy adjustments to cushion the economy against this stress. South African bond market was also negatively affected, thus negatively affecting the ability to finance the increasing primary deficit due to increased funding costs and lower liquidity. South Africa uses inflation-indexed bonds as part of government funding; however, they are less tradable in the market, translating to inadequate bond pricing/valuation data. As such, this study aims to explore dynamism of different mathematical term-structure models during the heightened Covid-19 stress in estimating the South African inflation indexed/real spot-rate curve. This study follows previous studies on the South African inflation-indexed bonds by Reid (2009) and Mashoene et al. (2021) where Nelson-Siegel and Svensson models posed a limitation in estimating spot-rates during a period of high volatility. As such, this study explores dynamic term-structure models, which follow the Nelson-Siegel framework, and static term-structure models with the option of recalibration of model parameters to account for a change in macro-economic dynamics brought by the effect of the Covid-19 pandemic. A recalibration methodology has proven beneficial for Nelson-Siegel and Svensson term structure models for model fitting and model forecasting process during the high volatility/period of total economic shutdown due to the Covid-19 pandemic. However, no improvements were observed in the Linear-parametric and Cubic-splines term-structure models. The effect of a dynamic decay rate (λ) on the Dynamic Nelson-Siegel also did not improve the performance of the Dynamic Nelson-Siegel. As such, it is recommended that the South African national government's debt managers and other bond fund managers explore this methodology for improved/enhanced estimations of debt management risk indicators. Compared to the current econometric methodology used by the Nationally Treasury which is only able to produce two points on the entire term-structure; this methodology will enable the estimation of the entire curve and the bond pricing in longer maturities where most of government funding is based.

Iqoqa.

Umnotho womhlaba zolo lokhu ubumiswe nse ngenxa yobhubhane iKhovidi-19. Lokhu kuholele engcindezini ‘yo-1 kweyi-100 iminyaka emnothweni womhlaba lapho ubone khona ukusetshenziswa kwezingunquko ezinzima zenqubomgomo yezezimali nakwezezimali ukuvikela ukufadabala komnotho ngokumelana nengcindezi. Imakethe yemalimboleko eNingizimu Afrikha nayo yachaphazeleka kabi, ngakholo-ke kwaba nomthelela omubi emandleni okukhokhela isamba ngqangi esingenele esikhulayo ngenxa yokwanda kwezindleko zezimali nokwehliswa kwemali. INingizimu Afrikha isebenzisa izimalimboleko ezinenkomba yokwehla kwamandla emali njengengxenye yosizomali lukahulumeni, ezithengisa kancane emakethe, ekuhumusheleni kumininingo yentengo/yokulinganisa yemalimboleko enganele. Ngalokho-ke, lolu cwaningo luhlose ukuhlola amandla ahlukahlukene ezibalo ezindlelakwenza zesakhiwo sesigaba ngesikhathi sokwanda kwengcindezi yeKhovidi-19 ekuhlawumbiseleni indawo elikuwo izinga eliyinkomba ngqo yokwehla kwamandla emali. Lolu cwaningo lulandele izifundo zaphambilini zezimalimboleko zaseNingizimu Afrikha ezinezinkomba zokwehla kwamandla emali zikaReid (2009) kuthi indlelakwenza kaSvensson yenza kangcono kakhulu uma kuqhathaniswa ngaphambi kwenhlekele yezimali emhlabeni yowezi-2008 kanye noMashoene nabanye (2021) lapho izindlelakwenza zikaNelson-Siegel noSvensson zibe nomkhawulo ekuhlawumbiseleni amanani amanje ngesikhathi soguquguquko olukhulu. Ngokuguquguquka masinyane okukhulu, okujwayelekile kuvame ukunqamuka, lokho kungase kudale isidingo sokulungisa kabusha indlela yamanje esetshenziswayo noma uguquko oluphelele endleleni yokwenza. Kanjalo-ke, lolu cwaningo luhlole izindlelakwenza zesakhiwo samathemu, alandela uhlaka lukaNelson-Siegel nezindlelakwenza zesakhiwo samathemu angaguquki ngokukhetha kokwenza kabusha kwendlelakwenza yemikhawulo ukulandisa ngoguquko lwamandla emnothweni omkhulu olulethwa umphumela wobhubhane iKhovidi-19. Indlela yolulungisa kabusha ibonakalise inzuzo ezindlelenikwenza isakhiwo sethemu sikaNelson-Siegel noSvensson ukufaka indlelakwenza nenqubo yokubikezela indlelakwenza ngesikhathi/ngenkathi sokuguquguquka masinyane okukhulu sokuvalwa thaqa komnotho ngenxa yobhubhane iKhovidi-19. Ngakho-ke, kuyaphakanyiswa ukuthi abaphathi bezikweletu zikahulumeni kuzwelonke eNingizimu Afrika nabanye abaphathi bemalimboleko bahlole le ndlela ukwenza ngcono/ukuthuthukisa izilinganiso zokuphathwa kwesikweletu ngezinkomba ezibucayi. Ngokuqhathanisa indlela yamanje yezomnotho esetshenziswa nguMnyango Wezimali Kuzwelonke okwazi kuphela ukukhiqiza amaphuzu amabili kuyo yonke ithemu yesakhiwo; le ndlela izokwenza ukulinganisa kwakho konke ukugwija nenani lemalimboleko ekuvuthweni esikhathini eside lapho iningi loxhaso lukahulumeni luzinze khona.