The impact of the US yield curve on sub-Saharan African equities
Source of Publication
Finance Research Letters
We study the impact of the components of the US yield curve on sub-Saharan African (SSA) equities. In a time-varying parameter vector auto-regressions connectedness model, we find that the short- and long-term maturities of the US yield curve significantly drive the connectedness between SSA equities whilst serving as the main sources of contagious spillovers in crisis periods. We find that the responses of SSA equities to returns and volatility spillovers in a system containing the yield curve's components are nonhomogeneous, rekindling the need for cross-market/asset hedging using SSA equities. Our findings have implications for international investors, regulators, and practitioners alike.
Term structure of interest rates, Yield curve, Sub-saharan Africa, Emerging equity markets, Financial contagion, Spillover connectedness, Delayed contagion
Bossman, Ahmed; Umar, Zaghum; Agyei, Samuel Kwaku; and Teplova, Tamara, "The impact of the US yield curve on sub-Saharan African equities" (2023). All Works. 5567.
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