Time-varying connectedness and contagion between commodity prices and exchange rate in Sub-Saharan Africa

References

• Adam, M. (2013). Spillovers and contagion in the sovereign CDS market. Bank i Kredyt, 44(6), 571–31. https://bankikredyt.nbp.pl/content/2013/06/bik_06_2013_01_art.pdf
   Google Scholar
• Agyei, S. K., & Bossman, A. (2023). Exploring the dynamic connectedness between commodities and African equities. Cogent Economics & Finance, 11(1), 2186035. https://doi.org/10.1080/23322039.2023.2186035
   Web of Science ®Google Scholar
• Alagidede, I. P., Boako, G., & Sjo, B. (2021). African equity markets’ exposure to oil and other commodities - implications for global portfolio diversification. Journal of Economics & Finance, 45(2), 288–315. https://doi.org/10.1007/s12197-020-09527-3
   Google Scholar
• Anas, M., Mujtaba, G., Nayyar, S., & Ashfaq, S. (2020). Time-frequency based dynamics of decoupling or integration between Islamic and conventional equity markets. Journal of Risk and Financial Management, 13(7), 156. https://doi.org/10.3390/jrfm13070156
   Web of Science ®Google Scholar
• Antonakakis, N. (2012). Exchange return Co-movements and volatility spillovers before and after the introduction of euro. Journal of International Financial Markets, Institutions and Money, 22(5), 1091–1109. https://doi.org/10.1016/j.intfin.2012.05.009
   Web of Science ®Google Scholar
• Atenga, E. M., & Mougoué, M. (2021). Return and volatility spillovers to African currencies markets. Journal of International Financial Markets, Institutions and Money, 73, 101348. https://doi.org/10.1016/j.intfin.2021.101348
   Web of Science ®Google Scholar
• Athari, S. A., & Hung, N. T. (2022). Time–frequency return Co-movement among asset classes around the COVID-19 outbreak: Portfolio implications. Journal of Economics & Finance, 46(4), 736–756. https://doi.org/10.1007/s12197-022-09594-8
   Google Scholar
• Athari, S. A., Kondoz, M., & Kirikkaleli, D. (2021). Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries. Journal of Economics and Business, 116, 105984. https://doi.org/10.1016/j.jeconbus.2021.105984
   Web of Science ®Google Scholar
• Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of Financial Econometrics, 16(2), 271–296. https://doi.org/10.1093/jjfinec/nby001
   Web of Science ®Google Scholar
• Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217–229. https://doi.org/10.1111/j.1540-6288.2010.00244.x
   Google Scholar
• Bekaert, G., Campbell, R. H., & Ng, A. (2005). Market integration and contagion. The Journal of Business, 78(1), 39–69. https://doi.org/10.1086/426519
   Web of Science ®Google Scholar
• Benhmad, F. (2012). Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach. Economic Modelling, 29(4), 1505–1514. https://doi.org/10.1016/j.econmod.2012.01.003
   Web of Science ®Google Scholar
• Boako, G., & Alagidede, P. (2017). Examining evidence of ‘shift-contagion’ in African stock markets: A covar-copula approach. Review of Development Finance, 7(2), 142–156. https://doi.org/10.1016/j.rdf.2017.09.001
   Google Scholar
• Bouri, E., Jain, A., Biswal, P., & Roubaud, D. (2017). Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. Resources Policy, 52, 201–206. https://doi.org/10.1016/j.resourpol.2017.03.003
   Web of Science ®Google Scholar
• Bubák, V., Kočenda, E., & Žikeš, F. (2011). Volatility transmission in emerging European foreign exchange markets. Journal of Banking & Finance, 35(11), 2829–2841. https://doi.org/10.1016/j.jbankfin.2011.03.012
   Web of Science ®Google Scholar
• Caporin, M., Pelizzon, L., Ravazzolo, F., & Rigobon, R. (2018). Measuring sovereign contagion in Europe. Journal of Financial Stability, 34, 150–181. https://doi.org/10.1016/j.jfs.2017.12.004
   Web of Science ®Google Scholar
• Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202–211. https://doi.org/10.1016/j.irfa.2012.12.001
   Web of Science ®Google Scholar
• Dai, X., Wang, Q., Zha, D., & Zhou, D. (2020). Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. Energy Economics, 88, 104774. https://doi.org/10.1016/j.eneco.2020.104774
   Web of Science ®Google Scholar
• Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427. https://doi.org/10.2307/2286348
   Web of Science ®Google Scholar
• Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158–171. https://doi.org/10.1111/j.1468-0297.2008.02208.x
   Web of Science ®Google Scholar
• Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57{66. https://doi.org/10.1016/j.ijforecast.2011.02.006
   Web of Science ®Google Scholar
• Diebold, F. X., & Yilmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial frms. Journal of Econometrics, 182(1), 119–134. https://doi.org/10.1016/j.jeconom.2014.04.012
   Web of Science ®Google Scholar
• Dornbusch, R., Park, Y. C., & Claessen, S. (2000). Contagion: understanding how it spreads. The World Bank Research Observer, 15(2), 177–197. https://doi.org/10.1093/wbro/15.2.177
   Web of Science ®Google Scholar
• Fernández-Macho J. (2012). Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets. Physica A: Statistical Mechanics and its Applications, 391(4), 1097–1104. 10.1016/j.physa.2011.11.002
   Web of Science ®Google Scholar
• Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market Comovements. The Journal of Finance, 57(5), 2223–2261. https://doi.org/10.1111/0022-1082.00494
   Web of Science ®Google Scholar
• Gulko, L. (2002). Decoupling. The Journal of Portfolio Management, 28(3), 59–66. https://doi.org/10.3905/jpm.2002.319843
   Web of Science ®Google Scholar
• Huynh, T. L., Nasir, M. A., & Nguyen, D. K. (2020). Spillovers and connectedness in foreign exchange markets: The role of trade policy uncertainty. The Quarterly Review of Economics & Finance. https://doi.org/10.1016/j.qref.2020.09.001
   PubMed Web of Science ®Google Scholar
• Jiang, Z., Arreola Hernandez, J., McIver, R. P., & Yoon, S. (2022). Nonlinear dependence and spillovers between currency markets and global financial market variables. Systems. https://doi.org/10.20944/preprints202205.0265.v1
   PubMed Web of Science ®Google Scholar
• Ji, Q., & Fan, Y. (2012). How does oil price volatility affect non-energy commodity markets? Applied Energy, 89(1), 273–280. https://doi.org/10.1016/j.apenergy.2011.07.038
   Web of Science ®Google Scholar
• Kaminsky, G. L., Reinhart, C. M., & Végh, C. A. (2003). The unholy trinity of financial contagion. Journal of Economic Perspectives, 17(4), 51–74. https://doi.org/10.1257/089533003772034899
   Web of Science ®Google Scholar
• Katusiime, L. (2018). Investigating spillover effects between foreign exchange rate volatility and commodity price volatility in Uganda. Economies, 7(1), 1. https://doi.org/10.3390/economies7010001
   Web of Science ®Google Scholar
• Kirikkaleli, D., & Athari, S. A. (2020). Time-frequency Co-movements between bank credit supply and economic growth in an emerging market: Does the bank ownership structure matter? The North American Journal of Economics & Finance, 54, 101239. https://doi.org/10.1016/j.najef.2020.101239
   Web of Science ®Google Scholar
• Kočenda, E., & Moravcová, M. (2019). Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. Journal of International Financial Markets, Institutions and Money, 58, 42–64. https://doi.org/10.1016/j.intfin.2018.09.009
   Web of Science ®Google Scholar
• Kose, M., Otrok, C., & Prasad, E. S. (2008). Global Business Cycles: Convergence or Decoupling? NBER Working Paper No. 14292.
   Google Scholar
• Kose, M., & Prasad, E. S. (2010). Emerging markets: Resilience and growth amid global turmoil. Brookings Institution Press.
   Google Scholar
• Lin, C. (2012). The comovement between exchange rates and stock prices in the Asian emerging markets. International Review of Economics & Finance, 22(1), 161–172. https://doi.org/10.1016/j.iref.2011.09.006
   Web of Science ®Google Scholar
• Lo, A. W. (2004). The adaptive markets hypothesis. The Journal of Portfolio Management, 30(5), 15–29. https://doi.org/10.3905/jpm.2004.442611
   Web of Science ®Google Scholar
• Maund, C. (2007, April 1). The gold bull market remembers how Gordon Brown sold half of Britain reserves at the lowest price. The Market Oracle. http://www.marketoracle.co.uk/Article670.html
   Google Scholar
• Moore, T., & Wang, P. (2014). Dynamic linkage between real exchange rates and stock prices: Evidence from developed and emerging Asian markets. International Review of Economics & Finance, 29, 1–11. https://doi.org/10.1016/j.iref.2013.02.004
   Web of Science ®Google Scholar
• Muller, U. A., Dacorogna, M. M., Dav´e, R. D., Pictet, O. V., Olsen, R. B., & Ward, J. R. (1993). Fractals and intrinsic time: A challenge to econometricians. In Unpoblished Manuscript, Olsen & Associate, Zurich, (p. 130). O&A Research Group.
   Google Scholar
• Nyang`oro Owen, (2017). “Working Paper 285 - capital inflows and economic growth in Sub-Saharan Africa,” Working Paper Series 2409, African Development Bank.
   Google Scholar
• Owusu Junior, P., Alagidede, I., & Tweneboah, G. (2020). Shape-shift contagion in emerging markets equities: Evidence from frequency- and time-domain analysis. Economics & Business Letters, 9(3), 146–156. https://doi.org/10.17811/ebl.9.3.2020.146-156
   Web of Science ®Google Scholar
• Owusu Junior, P., & Gherghina, S. C. (2022). Dynamic connectedness, spillovers, and delayed contagion between Islamic and conventional bond markets: Time- and frequency-domain approach in COVID-19 era. Discrete Dynamics in Nature and Society, 2022, 1–18. https://doi.org/10.1155/2022/1606314
   Web of Science ®Google Scholar
• Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://doi.org/10.1093/biomet/75.2.335
   Web of Science ®Google Scholar
• Polanco-Martínez, J. M. (2019). Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods. Nonlinear Dynamics, 97(1), 369–389. https://doi.org/10.1007/s11071-019-04974-y
   Web of Science ®Google Scholar
• Polanco-Martínez, J., Fernández-Macho, J., Neumann, M., & Faria, S. (2018). A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test. Physica A: Statistical Mechanics and Its Applications, 490, 1211–1227. https://doi.org/10.1016/j.physa.2017.08.065
   Web of Science ®Google Scholar
• Pritsker, M. (2000). The channels of Contagion. The Contagion Conference, Available at: siteresources.worldbank.org/INTMACRO/Resources.
   Google Scholar
• Reboredo, J. C., & Rivera-Castro, M. A. (2013). A wavelet decomposition approach to crude oil price and exchange rate dependence. Economic Modelling, 32, 42–57. https://doi.org/10.1016/j.econmod.2012.12.028
   Web of Science ®Google Scholar
• Reboredo, J. C., & Rivera-Castro, M. A. (2014). Can gold hedge and preserve value when the US dollar depreciates? Economic Modelling, 39, 168–173. https://doi.org/10.1016/j.econmod.2014.02.038
   Web of Science ®Google Scholar
• Saiti, B., Bacha, O. I., & Masih, M. (2015). Testing the conventional and Islamic financial market contagion: Evidence from wavelet analysis. Emerging Markets Finance and Trade, 52(8), 1832–1849. https://doi.org/10.1080/1540496x.2015.1087784
   Web of Science ®Google Scholar
• Salisu, A. A., Oyewole, O. J., & Fasanya, I. O. (2018). Modelling return and volatility spillovers in global foreign exchange markets. Journal of Information and Optimization Sciences, 39(7), 1417–1448. https://doi.org/10.1080/02522667.2017.1367507
   Web of Science ®Google Scholar
• Shen, H., Pan, Q., Zhao, L., & Ng, P. (2022). Risk contagion between global commodities from the perspective of volatility spillover. Energies, 15(7), 2492. https://doi.org/10.3390/en15072492
   Web of Science ®Google Scholar
• Tiwari, A. K., Trabelsi, N., Alqahtani, F., & Bachmeier, L. (2019). Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches. Energy Economics, 81(C), 1011–1028. https://doi.org/10.1016/j.eneco.2019.06.008
   Google Scholar
• United Nations Conference on Trade and Development. (2021) . State of commodity dependence 2021. United Nations.
   Google Scholar
• Wen, F., Xiao, J., Huang, C., & Xia, X. (2017). Interaction between oil and US dollar exchange rate: Nonlinear causality, time-varying influence and structural breaks in volatility. Applied Economics, 50(3), 319–334. https://doi.org/10.1080/00036846.2017.1321838
   Web of Science ®Google Scholar
• World Bank Group. (2018). Migration and Remittances, April 2018: Recent Developments and Outlook. https://doi.org/10.1596/30280
   Google Scholar
• World Economic Outlook. (2007). Spillovers and cycles in the global economy. IMF.
   Google Scholar
• Yıldırım, D. Ç., Erdoğan, F., & Tarı, E. N. (2022). Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies. Resources Policy, 76, 102586. https://doi.org/10.1016/j.resourpol.2022.102586
   Web of Science ®Google Scholar
• Yilmaz, K. (2010). Return and volatility spillovers among the East Asian equity markets. Journal of Asian Economics, 21(3), 304–313. https://doi.org/10.1016/j.asieco.2009.09.001
   Google Scholar