Amewu Godfred, Akosah Nana Kwame, Armah Mohammed
Department of Finance, University of Ghana Business School, University of Ghana, Legon, Accra, Ghana.
Research Department, Bank of Ghana, Accra, Ghana.
Heliyon. 2024 Nov 6;10(21):e40194. doi: 10.1016/j.heliyon.2024.e40194. eCollection 2024 Nov 15.
Using the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023. The empirical results primarily reveal a high level of coherence between global market assets and Africa's sovereign CDS and yield-to-maturity, although varying across countries and time-frequency domain. Notably, the high degree of coherence and the positive co-movement between sovereign CDS and global market assets are more concentrated at the medium and upper frequency bands. The observed intensity of co-movements between global market assets and sovereign CDS/yield-to-maturity (YTM) of bond spread, with global market assets broadly serving as leading variables, suggests that an increased global investor's risk aversion positively affects the yields on Africa market bonds. Among the global market assets, we identified that VIX (which is implied volatility of S&P500) has the dominant influence on Africa sovereign CDS/YTM compared to that emanating from Bitcoin and Godman Sachs Commodity Index. This is highly conceivable as VIX gauges bubbling global risks and uncertainties which considerably influences investor's risk aversion. The heterogeneous lead/lag dynamics also provide useful information to global investors, including by utilizing African markets to rebalance their portfolios for risk management purposes. The empirical findings thus provide further critical information to investors for hedging purposes, and to policymakers in formulating sovereign risk management policies oriented towards minimizing sovereign default risks.
本文运用小波多尺度相干技术，研究了2019年1月至2023年3月期间非洲经济体全球市场资产、主权信用违约互换（CDS）与债券利差到期收益率之间的相互依存关系。实证结果主要表明，全球市场资产与非洲主权CDS及到期收益率之间存在高度的相干性，尽管在不同国家和时频域有所差异。值得注意的是，主权CDS与全球市场资产之间的高度相干性和正向共同变动更多集中在中高频频段。全球市场资产与主权CDS/债券利差到期收益率（YTM）之间观察到的共同变动强度，且全球市场资产大致作为领先变量，这表明全球投资者风险厌恶情绪的增加对非洲市场债券收益率产生了积极影响。在全球市场资产中，我们发现与比特币和高盛商品指数相比，VIX（标准普尔500指数的隐含波动率）对非洲主权CDS/YTM具有主导影响。这是完全可以想象的，因为VIX衡量的是全球风险和不确定性的涌动，这对投资者的风险厌恶情绪有很大影响。这种异质的领先/滞后动态也为全球投资者提供了有用信息，包括利用非洲市场出于风险管理目的重新平衡其投资组合。因此，实证结果为投资者进行套期保值以及政策制定者制定旨在最小化主权违约风险的主权风险管理政策提供了进一步的关键信息。
