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Emerging market riskiness and uncertainty spillovers: Evidence from the COVID-19 pandemic

Burçin Kısacıkoğlu

Central Bank Review2025https://doi.org/10.1016/j.cbrev.2025.100221article
ABDC C
Weight
0.50

What the paper says

This paper investigates the effects of uncertainty spillovers on emerging markets. We focus on COVID-19-related news as news about global uncertainty and estimate the dynamic response of high-frequency risk measures in emerging markets. Using heteroskedasticity-based estimation and aggregate emerging market indices, we show that heightened uncertainty increases government bond and CDS spreads and decreases stock prices. Using seven emerging markets, we show that country-level risk measures respond to uncertainty consistently with aggregate measures. We argue that the results are consistent with standard consumption-based asset pricing theory.

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https://doi.org/https://doi.org/10.1016/j.cbrev.2025.100221

Or copy a formatted citation

@article{burçin2025,
  title        = {{Emerging market riskiness and uncertainty spillovers: Evidence from the COVID-19 pandemic}},
  author       = {Burçin Kısacıkoğlu},
  journal      = {Central Bank Review},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1016/j.cbrev.2025.100221},
}

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Emerging market riskiness and uncertainty spillovers: Evidence from the COVID-19 pandemic

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.