Exploring Volatility and Spillover Effects between African Sovereign Bond Markets and Global Long-Term Interest Rates
The study investigated the existence of volatility and spillover effects between sovereign bond returns of South Africa and Ethiopia and the world’s long-term interest rate using multivariate generalized autoregressive conditional heteroskedasticity model. The results showed that volatility from the long-term world interest rate negatively affects the Ethiopian sovereign bond market. The results also showed a one-way spillover from South Africa's market to the U.S. long-term market, then from the U.S. to Ethiopia's market, and further from Ethiopia's to South Africa's market. However, no bidirectional spillover was observed within these markets. Besides, both African markets display high volatility persistence. Besides, the markets have a weak or insignificant correlation with the world’s long-term interest rate. Volatility in the markets is significantly affected by their respective past shocks or volatilities. Finally, it has forwarded policy inputs that should be tailored to the specific economic and financial context of each country.
Debalke, N. M. (2023). Exploring Volatility and Spillover Effects between African Sovereign Bond Markets and Global Long-Term Interest Rates. Journal of Applied Economic Sciences, Volume XVIII, Fall, 3(81), 137 – 152. https://doi.org/10.57017/jaes.v18.3(81).01
Article’s history:
Received 1st of August, 2023; Received in revised form 13th of August, 2023; Accepted 19th of September, 2023; Available online: 21st of September, 2023. Published 30th of September, 2023 as article in the Volume XVIII, Fall, Issue 3(81)
Copyright© 2023 The Author(s). This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited.
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