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

Md Akhtaruzzaman, Ramzi Benkraiem, Sabri Boubaker and Constantin Zopounidis
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Ramzi Benkraiem: Audencia Business School
Constantin Zopounidis: Audencia Business School

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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.

Date: 2022-05-01
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Published in Journal of International Development, 2022, 34 (4), 898-918, Special Issue: Long run effects of Covid‐19 on developing countries. ⟨10.1002/jid.3634⟩

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Journal Article: COVID‐19 crisis and risk spillovers to developing economies: Evidence from Africa (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03629658

DOI: 10.1002/jid.3634

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