Drawing from the experience of the global financial crisis that sprang forth from the US stock market, an empirical assessment of the dynamic correlation analysis of financial contagion with evidence from (5) African countries (South African, Nigeria, Egypt, Kenya, Tunisia) is presented. Monthly stock prices indices from 2004 to 2018 was analyzed using the dynamic conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By analyzing the correlation coefficient series, three phases of the crisis periods were identified {pre-crisis (2004–2007); crisis (2007–2009) and post-crisis (2009–2018), respectively}. The study revealed that a significant relationship exists between the returns of the US market and the African markets. The inspection of the pre-crisis, crisis, post-crisis mean and variance estimation shows that the crisis period is characterized by substantial increases in volatility, establishing that the shock experienced in the US posed a threat to the African markets being examined. Further, evidence revealed that in the crisis period, an increase in correlation (contagion) existed, while a continued correlation (herding) existed in the post-crisis period.

This paper investigates the asymmetric oil price-inflation nexus in Nigeria covering the period of 2009Q1 and 2018Q4. We adopt the Nonlinear Autoregressive Distributed Lags (NARDL) model approach. The result of the study indicates that there exists a nonlinear long run connection between international oil price and inflation in Nigeria which suggests that fluctuations in oil price influence domestic inflation in Nigeria asymmetrically. Further, the result of the study indicates that in the long run, both increase and decrease in global oil price exerts a negative effect on inflation, that is, rise and fall in global oil price will lead to decline in inflation. However, in the short run, increase in global oil price exerts a positive influence on inflation which implies that positive oil price shock is inflationary. The study therefore recommends that government need to source for alternative energy in order to minimize the influence of international oil price shocks on domestic price level.Contribution/ Originality: This study contributes to the existing literature by examining the asymmetric effect of oil price on inflation in Nigeria. Using the Nonlinear Autoregressive Distributed Lags (NARDL) model, the study established that in the long run, both increase and decrease in global oil price exerts a negative effect on inflation in Nigeria.

The study examined the role of monetary policy in the stock price-exchange rate nexus in the three major financial markets in Africa between 2005 and 2017. Essentially, the study attempted to validate the trade balance approach (TBA) for the African stock markets and conducted analyses in the periods before and after the global financial crisis (GFC). The study focused on Nigeria, South Africa and Egypt and utilized data on nominal exchange rate, stock price, nominal interest rate and consumer price index sourced from the International Financial Statistics of the International Monetary Fund. The trend analysis revealed that stock price and exchange rate in South Africa moved in the same direction while the variables moved in different directions in Nigeria and Egypt. With the aid of the panel autoregressive distributed lag technique (PARDL), the study showed negative and significant relationship between exchange rate and stock price, validating the TBA for the full sample and the post GFC periods while the theory cannot be substantiated for the pre-GFC period. Contribution/ Originality: This study contributes to the existing literature by examining the role of monetary policy in the stock price-exchange rate nexus in Africa's three largest economies. Using the Panel Autoregressive Distributed Lag Model, the study validates the TBA for the full sample in African stock markets.