Abstract
Purpose – We study the contemporaneous effects of US monetary policy normalization on African stock market using panel data from six African countries. Design/methodology/approach – Dai ly data from May 1, 201 3 t o Dec em ber 31 , 20 18 were used in order to accommo date the announcement effects since the US moneatry policy normalization announcement was made in May 2013, while the rate hike was in December 2015. The study used the FE, RE and PMG models. Findings – The results revealed that US 10-year bond yield and Treasury bill rate shocks negatively affect stock prices in Africa. S$P500 shock positively affects African stock prices.The result revealed that the integration of African financial market to the global financial market is a major source of vulnerability. The finding that US Treasury bill rate is a major depressant of the African stock prices reveals the short-termism of foreign polio inflows into African economies. Originality/value – We provide inexorably insight into the interplay of financial systems globally. It can be useful for the purposes of generalization in developing economies in the shape of African countries. More so, this study could be replicated in another economic bloc or region with the aim of further exposing the farreaching spillover effects of the US monetary policy normalization.
Keywords
US monetary policy, Spillover effects, Normalization, Africa Paper type Research
Publisher
Kinh Tế Quốc Dân???dc.relation.reference???
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Ahmed, S. and Zlate, A. (2014), “Capital flows to emerging market economies: a brave new world?”, Journal of International Money and Finance, Vol. 48, pp. 221-248. Albagli, E., Ceballos, L., Claro., S. and Romero, D. (2019), “Channels of US monetary policy spillovers to international bond markets”, Journal of Financial Economics, Vol. 134 No. 2, pp. 447-473 Avdjiev, S. and Hale, G. (2019), “ U.S. monetary policy and fluctuations of international bank lending” , Journal of International Money and Finance, Vol. 95, pp. 251-268. Apostolou, A. and Beirne, J.&#...See More
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