Autore:
RODRIGUE S. C. DOSSOU-CADJA, RITA L. D’ECCLESIA
Abstract:
We model the dynamics of African financial markets’ behaviour, in the current global context of international financial integration. In a framework of financial idiosyncratic shocks that takes for reference the last 2008 global financial crisis (GFC), the continent’s main financial market indices have been linked to those of a representative sample of developed countries. A dynamic panel Probit model shows the existence of a fundamentals-based contagion, which occurs from developed markets to African markets, through financial and commercial links, foreign exchange markets, and several domestic economic performance variables. A DCC-GARCH and SVAR detect some asymmetric dynamics in the conditional correlations of returns, between developed and African markets, which is hence an evidence of a psychological or pure contagion game. A determined rule setting policy by African monetary Authorities, should strengthen resilience of the continent’s financial markets to contagion from developed markets disorders.
Parole Chiave:
African financial markets, developed markets, fundamentals- based contagion, pure contagion, financial shocks, dynamic panel Probit, DCC-GARCH, SVAR,
Tipo di pubblicazione:
Rapporto Tecnico
Codice Pubblicazione:
9
Allegato Pubblicazione:
Contatto:
ISSN:
2279-798X