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

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  • Burcin Kisacikoglu

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.

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  • Burcin Kisacikoglu, 2025. "Emerging market riskiness and uncertainty spillovers: Evidence from the COVID-19 pandemic," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 25(4).
    • Handle: RePEc:tcb:cebare:v:25:y:2025:i:4:article:100221
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