The yield spread of South African to United States 10-year government bonds over the last 5 years has increased substantially to levels approaching those last seen during the mid-1980s. This paper examines the association between the spread and macroeconomic fundamentals over the 1960–2019 sample period, under the GARCH and GARCH-M class of estimators. We find that higher South African economic growth, lower inflation, public and private debt, as well as rand–dollar appreciation are all associated with a statistically significantly lower South African–United States yield spread. The strongest impact is associated with the public debt-to-GDP ratio. Mean spread levels do not appear to be influenced by yield volatility. Finally, while there is no evidence of sign bias in the impact of shocks on yield volatility (negative shock impacts are no different than positive), there is evidence of size bias for both positive and negative shocks: larger shocks have a larger impact on volatility than small, regardless of their sign. Collectively, and even ignoring the impact of private sector leveraging, South Africa’s performance in these macroeconomic fundamentals is associated with an increase in the South African–United States yield spread of 363 basis points (since 2012).

中文翻译：

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南非-美国主权债券利差及其与宏观经济基本面的关联

过去 5 年，南非与美国 10 年期政府债券的收益率差大幅增加，接近 1980 年代中期的水平。本文在 GARCH 和 GARCH-M 类估计量下检验了 1960-2019 年样本期间的价差与宏观经济基本面之间的关联。我们发现，较高的南非经济增长、较低的通货膨胀、较低的公共和私人债务以及兰特兑美元升值都与统计上显着降低的南非-美国收益率差相关。最强烈的影响与公共债务与 GDP 的比率有关。平均价差水平似乎不受收益率波动的影响。最后，虽然没有证据表明冲击对收益率波动的影响存在符号偏差（负面冲击影响与正面冲击没有区别），但有证据表明正面和负面冲击的规模偏差：较大的冲击对波动性的影响大于较小的冲击，不管他们的标志是什么。总的来说，即使忽略私营部门杠杆的影响，南非在这些宏观经济基本面方面的表现与南非-美国收益率差扩大 363 个基点（自 2012 年以来）有关。