Assessing the asymmetric interrelationships between sovereign bond yields and selected potential determinants: The...

The spot of frontier market economies in the global financial arena continues to be significant for many market participants because of their size, diversification advantage, and interconnectedness. Financial market innovations, globalization and pandemics have made it even more urgent to explore their dynamics. This paper focuses on analysing the risks associated with investing in frontier West African monetary zone bonds by appropriately modelling them in relation to cultural, administrative/political, geographic, economic and financial indicators that are specific to these countries, primarily due to their locations and interlinkages. This study employed the nonlinear autoregressive distributed lag model to investigate the asymmetric effects of different economic factors on sovereign bond yields in Ghana and Nigeria from July 2014 to September 2022 with 99 observations. Period selection allows researchers to unravel the complexities of market behaviour, investor sentiment, and policy effectiveness in the face of economic turmoil and uncertainty. The results provide valuable insights into how these factors affect bond yields differently in the two countries.