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

Akhtaruzzaman Md, Benkraiem, Ramzi, Boubaker, Sabri, 1974-, Zopounidis Konstantinos

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URI: http://purl.tuc.gr/dl/dias/936CA171-0131-4FEB-8009-135C86AA6522
Year 2022
Type of Item Peer-Reviewed Journal Publication
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Bibliographic Citation M. Akhtaruzzaman, R. Benkraiem, S. Boubaker and C. Zopounidis, “COVID‐19 crisis and risk spillovers to developing economies: evidence from Africa,” J. Int. Dev., vol. 34, no. 4, pp. 898–918, May 2022, doi: 10.1002/jid.3634. https://doi.org/10.1002/jid.3634
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Summary

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.

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