The Impact of Macroeconomic Factors on the Yield Curve in Emerging Markets: The Case of Sub-Saharan Africa

Abstract

We investigate the impact of local and global macroeconomic factors on Eurobonds and local currency issued bonds in Sub-Saharan Africa, at different points on the yield curve. Using a unique proprietary data set collected from local authorities, central banks and independent international sources over the period 2001-2016, we find the local monetary policy interest rate and the balance of trade to impact both local currency bond yields and Eurobonds; global risk aversion, as proxied by the VIX index, to impact only the Eurobonds and much more the commodity importing countries; and the explanatory power of most models to be high.