The impact of the US yield curve on sub-Saharan African equities

Ahmed Bossman, Zaghum Umar, Samuel Kwaku Agyei and Tamara Teplova

Finance Research Letters, 2023, vol. 53, issue C

Abstract: 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.

Keywords: Term structure of interest rates; Yield curve; Sub-saharan Africa; Emerging equity markets; Financial contagion; Spillover connectedness; Delayed contagion (search for similar items in EconPapers)
JEL-codes: C22 C32 C58 E43 E44 G12 G15 N27 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000107

DOI: 10.1016/j.frl.2023.103636

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