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Spillovers in Sub-Saharan Africa’s sovereign Eurobond yields


  • Christian Senga

    () (Institute of Development Policy (IOB), University of Antwerp
    Institut Supérieur de Commerce de Goma (ISC))

  • Danny Cassimon

    () (Institute of Development Policy (IOB), University of Antwerp)


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.

Suggested Citation

  • Christian Senga & Danny Cassimon, 2018. "Spillovers in Sub-Saharan Africa’s sovereign Eurobond yields," BeFinD Working Papers 0124, University of Namur, Department of Economics.
  • Handle: RePEc:nam:befdwp:0124

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    References listed on IDEAS

    1. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    2. Christian Senga & Danny Cassimon & Dennis Essers, 2018. "Sub-Saharan African Eurobond yields: What really matters beyond global factors?," BeFinD Working Papers 0123, University of Namur, Department of Economics.
    3. Aleksandr V. Gevorkyan & Ingrid Harvold Kvangraven, 2016. "Assessing Recent Determinants of Borrowing Costs in Sub-Saharan Africa," Review of Development Economics, Wiley Blackwell, vol. 20(4), pages 721-738, November.
    4. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
    5. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    6. Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
    7. Gande, Amar & Parsley, David C., 2005. "News spillovers in the sovereign debt market," Journal of Financial Economics, Elsevier, vol. 75(3), pages 691-734, March.
    8. D. Collins & N. Biekpe, 2003. "Contagion And Interdependence In African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 71(1), pages 181-194, March.
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    Cited by:

    1. repec:afj:journl:v:20:y:2018:i:2:p:45-65 is not listed on IDEAS
    2. Simplice A. Asongu & Nicholas M. Odhiambo, 2018. "ICT, Financial Access and Gender Inclusion in the Formal Economic Sector: Evidence from Africa," The African Finance Journal, Africagrowth Institute, vol. 20(2), pages 45-65.
    3. Christian Senga & Danny Cassimon & Dennis Essers, 2018. "Sub-Saharan African Eurobond yields: What really matters beyond global factors?," BeFinD Working Papers 0123, University of Namur, Department of Economics.

    More about this item


    Spillover index; VAR models; Sub-Saharan Africa; Eurobonds;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • 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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