Sanctions & Macro Data¶
Financial market data for studying the economic impact of sanctions, divestment, and political events on South Africa.
Sanctions Event Study (sanctions/)¶
| File | Rows | Description |
|---|---|---|
financial_rand_usd_monthly.csv |
114 | Newly acquired (2026-04) — SARB monthly financial-rand series, Sept 1985–Feb 1995 |
dual_exchange_rates_monthly.csv |
114 | Merged commercial + financial rand panel with discount |
sanctions_with_credit_spreads.csv |
51 | Sanctions events with market reactions |
event_study_with_gold_prices.csv |
51 | Event study dataset with gold price controls |
credit_spreads_monthly.csv |
432 | SA credit spreads vs US treasuries |
sa_bond_yields_monthly.csv |
765 | SA government bond yields |
exchange_rates_daily_extended.csv |
15,590 | Daily ZAR/USD exchange rate (commercial rand only) |
exchange_rates_monthly_extended.csv |
526 | Monthly exchange rate (commercial rand only) |
us_treasury_yields_monthly.csv |
432 | US benchmark yields |
gold_prices_monthly.csv |
300 | Monthly gold price |
Sources: SARB, FRED, IMF, World Bank
Note on the financial-rand series: The monthly financial-rand–USD series was obtained from the South African Reserve Bank in April 2026 in response to a direct data request. The series covers the entire dual-currency window (September 1, 1985 through March 13, 1995, with the file extending to February 1995) at monthly frequency. Daily quotes for the financial rand are not currently in this archive; researchers interested in higher-frequency analysis would need to consult Reuters, Standard Bank, or Financial Times historical archives.
Macro/Finance (macro/)¶
| File | Rows | Description |
|---|---|---|
goldprice.csv |
11,259 | Daily gold price (London fix) |
randperdollar-avgdaily-clean.csv |
10,857 | Daily USD/ZAR exchange rate |
SA_indices.csv |
10,596 | Daily JSE stock market indices |
ceic_macro_panel.csv |
— | CEIC panel (gold, equities, GDP by sector/province) |
macro_controls_monthly.csv |
— | Monthly subset for event study controls |
Sources: CEIC, Datastream, SARB
Research Applications¶
- Sanctions impact: Did credit spreads widen after specific sanctions events?
- Dual-rate insulation: Did the financial rand absorb capital-account pressure that the commercial rand was insulated from? (See findings below.)
- Divestment effects: How did foreign divestment campaigns affect JSE valuations?
- Gold dependence: How did gold price movements interact with political instability?
- Capital flight: ZAR depreciation as a measure of investor confidence
Key Findings (Naidu, Turban & Wilse-Samson sanctions paper)¶
Using the SARB monthly financial-rand series (114 months, September 1985–February 1995), the paper documents the dual-rate-system mechanism that protected the commercial rand from sanctions-induced capital flight while channelling pressure into the financial rand and the sovereign credit spread.
| Finding | Magnitude | Significance |
|---|---|---|
| Commercial-rand insulation (descriptive) | $+0.00\%$ across 36 post-1985 sanctions events | $p = 0.99$ — precisely the result the dual-currency system was designed to produce |
| Bai-Perron credit-spread structural break | August 1984, $+683$ basis points | Sup-$F = 2{,}758$ — strongest single empirical anchor in the paper; predates Chase Manhattan by 11 months |
| Post-unbanning discount collapse | $-13.8$ percentage points around Feb 1990 | $p = 0.030$, HAC-robust |
| Arms-embargo sign flip on discount | $-17.1$ pp | $p = 0.002$ — opposite sign from finance sanctions; consistent with arms embargoes operating through trade rather than capital channels |
| Pooled financial-rand response | $+6.7\%$ across 36 events | $p = 0.13$ — marginally significant; honestly disclosed |
| Trade-subsample financial-rand response | $+9.2\%$ across 27 events | $p = 0.08$ |
The paper does not advance a strike-sanctions complementarity claim. Granger causality tests between monthly strike and sanctions counts are null in both directions, consistent with both pressures responding to common political shocks rather than with one driving the other.