COVID-19 crisis and risk spillovers to developing economies : Evidence from Africa

Journal article

Akhtaruzzaman, Md, Benkraiem, Ramzi, Boubaker, Sabri and Zopounidis, Constantin. (2022). COVID-19 crisis and risk spillovers to developing economies : Evidence from Africa. Journal of International Development. 34(4), pp. 898-918. https://doi.org/10.1002/jid.3634
AuthorsAkhtaruzzaman, Md, Benkraiem, Ramzi, Boubaker, Sabri and Zopounidis, Constantin
Abstract

This study provides new evidence on how risk spillovers occur from the United States to developing economies in Africa during the COVID-19 pandemic. The results show that downside risk exposures of African markets, financial firms and banks particularly increased during Phase I (30 January to 30 April 2020). The nature and magnitude of downside risk exposures of African financial markets were similar to those of the United States. Our results also reveal that the United States is a net transmitter of risk spillovers while Nigeria, South Africa, Egypt and Morocco are net recipients. Our conclusions offer guidance to risk managers, policymakers and investors.

KeywordsAfrica; COVID-19; developing economies; risk spillovers; spectral risk measure; value at risk
Year2022
JournalJournal of International Development
Journal citation34 (4), pp. 898-918
PublisherJohn Wiley & Sons Ltd
ISSN1099-1328
0954-1748
Digital Object Identifier (DOI)https://doi.org/10.1002/jid.3634
PubMed ID35571228
Scopus EID2-s2.0-85124887930
PubMed Central IDPMC9088603
Page range898-918
Publisher's version
License
All rights reserved
File Access Level
Controlled
Output statusPublished
Publication dates
Online21 Feb 2022
Publication process dates
Accepted25 Jan 2022
Deposited15 May 2023
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