Replication Data for: When the World Worries, Africa Feels It

Description

This dataset supports the paper "When the World Worries, Africa Feels It: Evidence of Global Economic Uncertainty Transmission Across Fourteen African Financial Markets" (Boateng, 2026). The dataset contains monthly observations from January 2007 to July 2024 (211 level observations; 210 log-return observations after differencing) for 14 African financial market series and 3 global economic uncertainty indices. Equity markets: Egyptian Exchange (EGX), Ghana Stock Exchange (GSE), Nairobi Securities Exchange (NSE), Casablanca Stock Exchange (CSE), Nigerian Exchange (NGX), Johannesburg Stock Exchange (JSE), Dar es Salaam Stock Exchange (DSE). Foreign exchange rates (local currency per USD): EGP/USD, GHS/USD, KES/USD, MAD/USD, NGN/USD, ZAR/USD, TZS/USD. Uncertainty indices: Geopolitical Risk Index (Caldara and Iacoviello, 2022), Oil Price Uncertainty Index (Abiad and Qureshi, 2023), Monetary Policy Uncertainty Index (Husted, Rogers, and Sun, 2020). All uncertainty indices sourced from policyuncertainty.com. Market data sourced from Thomson Reuters DataStream and national stock exchange publications. Files included: 1. Boateng2026_Data.xlsx — cleaned dataset with Data Dictionary sheet 2. Boateng2026_Replication_Notebook_FINAL.ipynb — full replication code (Google Colab)

Steps to reproduce

1. Download all three files from this repository. 2. Open Boateng2026_Replication_Notebook_FINAL.ipynb in Google Colab (colab.research.google.com). Upload the Excel data file when prompted in Block 2. 3. Run all cells in order (Runtime > Run all). The notebook will produce all tables, figures, and robustness results and download a ZIP of outputs automatically. Requirements: Python 3.9+, packages arch, statsmodels, pandas, numpy, scipy, matplotlib, seaborn, python-docx (all installed automatically by Block 1). The full replication takes approximately 3 to 4 minutes. All results match the tables and figures reported in the manuscript.

Institutions

• University of Ghana

  Greater Accra, Accra

Categories

Licence