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首页> 外文期刊>Applied Economics >Transmission channels of international financial crises to African stock markets: the case of the euro sovereign debt crisis
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Transmission channels of international financial crises to African stock markets: the case of the euro sovereign debt crisis

机译：国际金融危机对非洲股票市场的传导渠道：欧元主权债务危机的案例

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摘要

This article investigates the effects of the European sovereign debt crisis on African stock markets within a Bayesian shrinkage VAR framework. This method allows us to consider both North African and Sub-Saharan African stock markets, and provides a flexible parsimonious specification. The results reveal varying reactions of the impulse response functions. The most exposed African stock markets are those of Egypt, South Africa and Mauritius, while the least affected stock market is, surprisingly, that of Ivory Coast. Our analysis shows that, in addition to direct transmission, several macroeconomic and market channels, such as commodities, exports, and exchange rates, are relevant. Specifically, countries with strong commercial links to European countries will be most impacted by the crisis. The severity of transmission also depends on the country's dependence on commodities.
机译：本文在贝叶斯收缩VAR框架内调查了欧洲主权债务危机对非洲股票市场的影响。这种方法使我们可以同时考虑北非和撒哈拉以南非洲的股票市场，并提供了一种灵活的简约规范。结果揭示了脉冲响应函数的不同反应。非洲受到冲击最大的股票市场是埃及，南非和毛里求斯，而受影响最小的是象牙海岸。我们的分析表明，除了直接传导外，商品，出口和汇率等多种宏观经济和市场渠道也很重要。特别是，与欧洲国家有紧密商业联系的国家将受到此次危机的最大影响。传播的严重性还取决于该国对商品的依赖。

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