Emerging market riskiness and uncertainty spillovers: Evidence from the COVID-19 pandemic

Burcin Kisacikoglu

Central Bank Review, 2025, vol. 25, issue 4

Abstract: This paper investigates the effects of uncertainty spillovers on emerging markets. We focus on COVID-19-related news as news about global uncertainty and estimate the dynamic response of high-frequency risk measures in emerging markets. Using heteroskedasticity-based estimation and aggregate emerging market indices, we show that heightened uncertainty increases government bond and CDS spreads and decreases stock prices. Using seven emerging markets, we show that country-level risk measures respond to uncertainty consistently with aggregate measures. We argue that the results are consistent with standard consumption-based asset pricing theory.

Keywords: Uncertainty; Emerging markets; Heteroskedasticity-based identification; COVID-19 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:cebare:v:25:y:2025:i:4:article:100221

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