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The impact of the US yield curve on sub-Saharan African equities
Finance Research Letters. 2023. Vol. 53. Article 103636.
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 ratesyield curveкривая доходностиsub-Saharan Africafinancial contagionфинансовое заражениевременная структура процентных ставокEmerging equity marketsSpillover connectednessdelayed contagionАфрика к югу от Сахарыразвивающиеся рынки акцийвзаимосвязь спилловер-эффектовотсроченное заражение
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