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Response of Africa to global sovereign bond volatility spillover

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  • Kalu O. Emenike

    (University of Eswatini)

Abstract

Evidence-based knowledge of the direction and magnitude of sovereign bond volatility spillover between African and international sovereign bond markets is relevant for credit risk management and reduction in domestic bond market uncertainties in the region. The purpose of this paper is to evaluate the sovereign bond volatility linkage between Africa and the international sovereign bond market. Specifically, the study evaluates the response of African sovereign bond market to volatility spillover from the Global developed countries, the Eurozone and the China sovereign bond markets using the bivariate BEKK-GARCH model. The results indicate evidence of bidirectional volatility spillover between Africa and Global developed countries as well as between Africa and Eurozone, but the magnitude of Africa’s response is negligible. The results further indicate an absence of volatility spillover between the African and China sovereign bond markets. Overall, the findings suggest that Africa is slightly integrated into the global sovereign bond market. Policy implications of the findings are discussed.

Suggested Citation

  • Kalu O. Emenike, 2023. "Response of Africa to global sovereign bond volatility spillover," SN Business & Economics, Springer, vol. 3(11), pages 1-15, November.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:11:d:10.1007_s43546-023-00575-5
    DOI: 10.1007/s43546-023-00575-5
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    References listed on IDEAS

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    More about this item

    Keywords

    International sovereign bond; Volatility spillover; Bond markets integration; Africa and global economy;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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