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Data for: Dynamic Spillover Effects of Geopolitical, Oil Price, and Monetary Policy Uncertainties on African Financial Markets

Domaine:

socioeconomic

Type de record:

dataset
Créateur:
Boa
Éditeur:
Uni
Éditeur:
Men
Hôte:avatar
This dataset contains monthly observations spanning January 2007 to July 2024 (211 observations) for 14 African financial markets. It includes seven equity market indices — Egypt (EGX), Ghana (GSE), Nigeria (NSE & NGX), Côte d'Ivoire (CSE), South Africa (JSE), and Tanzania (DSE) — and seven bilateral exchange rates against the US dollar (EGP/USD, GHS/USD, KES/USD, MAD/USD, NGN/USD, ZAR/USD, TZS/USD). The dataset also includes three uncertainty indices: Geopolitical Risk (GPR), Oil Price Uncertainty (OPU), and Monetary Policy Uncertainty (MPU). The data are used to examine asymmetric spillover dynamics under normal, bearish, and bullish market conditions using Quantile Vector Autoregressions (QVAR).

Tags

FinanceFinancial EconometricsEmerging MarketEconomic Uncertainty

Licenses

info:eu-repo/semantics/openAccessCreative Commons Attribution 4.0 Internationalhttps://creativecommons.org/licenses/by/4.0/legalcode

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