The Price of Not Knowing
The finale. Three posts established that South African deposits are permanent, inert and behaviourally identical across banks, whi...
Shorter Than You Booked
Post 3/4 of the No Gut Feelings Bank series. A rolling swap ladder is a filter, so I estimated the South African rate spectrum and...
Banking on Deposits That Can Leave
Post 2/4 of the No Gut Feelings Bank series. How much maturity transformation does an SA deposit base license, and is the behaviou...
What Is a Deposit Actually Worth When Rates Move?
Post 1/4 of the No Gut Feelings Bank series. I build a behavioural model of non-maturing deposits - current accounts, notice, fixe...
Do Macro Variables Help Forecast the Yield Curve? Three Honest Experiments
A follow-up to the yield-curve forecasting post. I add inflation, the repo rate, the rand and the VIX to the forecasts in three wa...
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