The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa

55 Pages Posted: 12 Dec 2018

See all articles by Joe Delvaux

Joe Delvaux

City University London - Sir John Cass Business School

Kate Phylaktis

City University London - Sir John Cass Business School

Steve Thomas

City University London - Sir John Cass Business School

Date Written: November 12, 2018

Abstract

We investigate the impact of local and global macroeconomic factors on Eurobonds and local currency issued bonds in Sub-Saharan Africa, at different points on the yield curve. Using a unique proprietary data set collected from local authorities, central banks and independent international sources over the period 2001-2016, we find the local monetary policy interest rate and the balance of trade to impact both local currency bond yields and Eurobonds; global risk aversion, as proxied by the VIX index, to impact only the Eurobonds and much more the commodity importing countries; and the explanatory power of most models to be high.

Keywords: yield curve, bond markets, emerging market economies, Sub-Saharan Africa

JEL Classification: E43; E44; F34; G15; H63

Suggested Citation

Delvaux, Joe and Phylaktis, Kate and Thomas, Stephen H., The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa (November 12, 2018). Available at SSRN: https://ssrn.com/abstract=3283342 or http://dx.doi.org/10.2139/ssrn.3283342

Joe Delvaux

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Kate Phylaktis (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 70408735 (Phone)
+44 20 70408881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/k.phylaktis/

Stephen H. Thomas

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0) 20 7040 5271 (Phone)
+44 (0) 20 7040 8881 (Fax)

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