International transmission of shocks and African forex markets
研究了石油价格和地缘政治风险如何影响非洲外汇市场中的冲击国际传导，发现传导效应在金融压力时期更显著，对市场参与者和监管者有参考价值。
We explore the influence of oil price and geopolitical risk (GPR) on the international transmission of shocks within African forex markets. To gauge the dynamics of shock transmission we employ the TVP-VAR connectedness model using daily data in 2000–2023. We show that shock transmission between oil-exporting and oil-importing countries heterogeneously depends on oil and GPR innovations. We also provide empirical evidence that return and volatility shock transmission between oil, GPR and African forex rates depends upon economic events and is more pronounced during financial stresses, which can alter the transmission-receiver roles of the system variables. In pairs, we find that foreign exchange spillovers within and across African exporters and importers depend on oil and GPR shocks. This emphasizes the importance of utilizing the partial connectedness model to assess the linkages shared by African forex markets in the face of oil and GPR. Our results are potentially insightful for market players and forex market regulators.