Transmission channels of international financial crises to African stock markets: the case of the euro sovereign debt crisis

Canaux de transmission des crises financières internationales aux marchés financiers africains: le cas de la dette souveraine européenne

Akassi Kablan and Olfa Kaabia
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Olfa Kaabia: INSEEC - Institut des hautes études économiques et commerciales | School of Business and Economics

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Abstract: This article investigates the effects of the European sovereign debt crisis on African stock markets within a Bayesian shrinkage VAR framework. This method allows us to consider both North African and Sub-Saharan African stock markets, and provides a flexible parsimonious specification. The results reveal varying reactions of the impulse response functions. The most exposed African stock markets are those of Egypt, South Africa and Mauritius, while the least affected stock market is, surprisingly, that of Ivory Coast. Our analysis shows that, in addition to direct transmission, several macroeconomic and market channels, such as commodities, exports, and exchange rates, are relevant. Specifically, countries with strong commercial links to European countries will be most impacted by the crisis. The severity of transmission also depends on the country's dependence on commodities.

Keywords: African Stock Market; European Sovereign Debt Crisis; Transmission effects; Bayesian Vector Autoregression (search for similar items in EconPapers)
Date: 2017-10-11
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Published in Applied Economics, 2017, 50 (18), pp.1992-2011. ⟨10.1080/00036846.2017.1383597⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04281441

DOI: 10.1080/00036846.2017.1383597

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