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

Description

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).

Steps to reproduce

The dataset covers January 2007 to July 2024 (210 monthly observations), capturing major crisis episodes including the 2008 Global Financial Crisis, the COVID-19 pandemic, and the Russia-Ukraine war. The study includes 14 African markets: seven emerging equity markets and their corresponding foreign exchange markets (each country's currency relative to the US dollar). These markets were selected based on data availability and market significance, collectively representing approximately 95% of Africa's total market capitalization and covering all major regional blocs (Korsah & Mensah, 2024). Equity market and foreign exchange rate data were sourced from DataStream at monthly frequency. The monthly frequency was determined by the availability of the economic uncertainty indices from policyuncertainty.com. Three global economic uncertainty indices are included. The Geopolitical Risk (GPR) index (Caldara & Iacoviello, 2022) captures adverse geopolitical events — wars, terrorism, and political tensions — via automated text-search of international newspapers. The Monetary Policy Uncertainty (MPU) index (Husted et al., 2017) measures unpredictability surrounding Federal Reserve policy decisions, particularly during unconventional monetary policy periods. The Oil Price Uncertainty (OPU) index (Abiad & Qureshi, 2023) captures oil price unpredictability arising from supply disruptions, demand fluctuations, and geopolitical tensions in oil-producing regions, with particular relevance for African economies dependent on oil exports or imports.

Institutions

• University of Ghana

  Greater Accra, Accra

Categories

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