Spillovers in Sub-Saharan Africa’s sovereign Eurobond yields

Christian Senga and Danny Cassimon

No 124, BeFinD Working Papers from University of Namur, Department of Economics

Abstract: This paper investigates the possibility of spillovers among Sub-Saharan African (SSA) eurobonds. Twelve SSA countries are examined from January 1, 2015 to June 30, 2017. Following the methodology of Diebold and Yilmaz (2012), we proceed as in Antonakakis and Vergos (2013) to compute both the overall and time-varying total spillover index and directional spillovers using secondary market daily yields. Ours results indicate significant contagion effects among these bonds as, on average, 66.37% of the forecast error variance in our model come from spillovers. The results of the time-varying analysis shows that the total spillover index has been sensitive to major economic events and news announcements over this period. More important, they suggest that less resilient economies transmit more to and receive less from their peers, but that this relationship is not linear: cases of extreme fragility such as that of Mozambique do no translate into higher spillovers to peers. This non-linear relationship between countries’ macroeconomic performance and spillover levels confirms to some extent the market discipline hypothesis in the case of SSA eurobonds as markets have proven able to factor-in and discriminate against issuers’ salient abnormal behaviors.

Keywords: Spillover index; VAR models; Sub-Saharan Africa; Eurobonds (search for similar items in EconPapers)
JEL-codes: C33 E44 G15 H63 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2018-04
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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http://www.befind.be/Documents/WPs/wp24 First version, 2018 (application/pdf)

Related works:
Journal Article: Spillovers in Sub-Saharan Africa’s Sovereign Eurobond Yields (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:nam:befdwp:0124

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