Assessing the extent of contagion of sovereign credit risk among BRICS countries

Lumengo Bonga-Bonga, Mathias mandla Manguzvane

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


This paper conducts an ex ante analysis to assess how sovereign credit risk is transmitted among BRICS countries. To this end, the conditional value-at-risk (CoVaR) methodology is used. Moreover, the paper makes use of the generalised forecast error decomposition to assess the contribution of key economic and financial variables of each of the BRICS countries to credit risk transmitted from China, the biggest economy among the BRICS. The findings of this paper show the existence of cross-transmission of credit risk shocks among BRICS countries, with China affecting the most other BRICS countries. However, the channel through which credit risk distress in China is transmitted to the other BRICS countries is not homogenous.

Original languageEnglish
Pages (from-to)1017-1032
Number of pages16
JournalEconomics Bulletin
Issue number2
Publication statusPublished - 2020

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (all)


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