Contagion between developed and emerging markets

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dc.contributor.authorBhagwandin, Asheen
dc.date.accessioned2020-12-06T13:11:58Z
dc.date.available2020-12-06T13:11:58Z
dc.date.issued2020
dc.descriptionA research report submitted in partial fulfilment of the requirements for the degree of Master of Management in Finance and Investment to the Faculty of Commerce, Law and Management, Wits Business School, University of the Witwatersrand, Johannesburg, 2020en_ZA
dc.description.abstractThis study examines the existence of contagion effects between the developed global economy and the BRICS economies (Brazil, Russia, India, China and South Africa) through the examination of linkages between global risk shocks and these markets. A structural vector autoregressive model with block exogeneity restrictions was estimated using macroeconomic and financial data for the BRICS markets and United States data (specifically the Volatility Index and the Federal Fund Rate) as proxies for global risk, all of a monthly frequency. Our primary findings are that contagion effects are present in exchange rates (besides China), sovereign credit default swap spreads and equity prices of our emerging domestic markets as a response of these variables to global risk shocks, although the magnitude of these effects varies by variable type and country. We do not observe significant responses to global risk shocks in government bond yields (besides Russian bonds) and exchange rates, and are thus unable to conclude, from our analysis, whether contagion effects affect these emerging market variables.en_ZA
dc.description.librarianTL (2020)en_ZA
dc.facultyFaculty of Commerce, Law and Managementen_ZA
dc.identifier.urihttps://hdl.handle.net/10539/30342
dc.language.isoenen_ZA
dc.rights.holderUniversity of the Witswatersrand, Johannesburg
dc.schoolWits Business Schoolen_ZA
dc.subjectContagion
dc.subjectBRICS
dc.subjectGlobal risk
dc.subjectEmerging Markets
dc.subject.otherSDG-8: Decent work and economic growth
dc.titleContagion between developed and emerging marketsen_ZA
dc.typeDissertationen_ZA
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