Table A1 Variables description Variable... | Emerald Publishing

Table A1

Variables description

Variable	Code	Computation or type	Explanation	Source
$ρ$	Correlation	MGARCH, Equation (1)	The correlation of the log returns for South Africa and each of the BRIC countries (Brazil, Russia, India and China)	Stock indices sourced from the OECD online database
$z$	Trade	Equation (2)	The extent of trade intensity between South Africa and each of the BRIC countries	The Quantec database
	Surplus-deficit	Dummy	An indicator of trade surplus or deficit. Takes value 1 if at month t trade is surplus and zero if deficit	The Quantec database
	BRICSexp	Equation (4)	BRIC age since establishment (or duration) weighted by South Africa-BRIC distance	BRIC website
	BRIClead	Scale	The number of times that each country changed leaders in the past	BRIC annual meetings – BRIC website
	BRICSexist	Dummy	Indicator variable taking a value of zero for the period before BRIC existence, and 1 from the establishment date onwards	The BRIC website
$x$	Rate	Scale	Short-term interest rate differential between South Africa and each of the BRIC countries	Federal Reserve Bank of St. Louis
	VIX	Scale	Volatility index based on the S&P500 option index	Finance.yahoo.com
	Geopolitics	Scale	An index to measure country-specific political risk based on newspaper-published events	Caldara and Iacoviello (2019)

Variable	Code	Computation or type	Explanation	Source
$ρ$	Correlation	MGARCH, Equation (1)	The correlation of the log returns for South Africa and each of the BRIC countries (Brazil, Russia, India and China)	Stock indices sourced from the OECD online database
$z$	Trade	Equation (2)	The extent of trade intensity between South Africa and each of the BRIC countries	The Quantec database
	Surplus-deficit	Dummy	An indicator of trade surplus or deficit. Takes value 1 if at month t trade is surplus and zero if deficit	The Quantec database
	BRICSexp	Equation (4)	BRIC age since establishment (or duration) weighted by South Africa-BRIC distance	BRIC website
	BRIClead	Scale	The number of times that each country changed leaders in the past	BRIC annual meetings – BRIC website
	BRICSexist	Dummy	Indicator variable taking a value of zero for the period before BRIC existence, and 1 from the establishment date onwards	The BRIC website
$x$	Rate	Scale	Short-term interest rate differential between South Africa and each of the BRIC countries	Federal Reserve Bank of St. Louis
	VIX	Scale	Volatility index based on the S&P500 option index	Finance.yahoo.com
	Geopolitics	Scale	An index to measure country-specific political risk based on newspaper-published events	Caldara and Iacoviello (2019)

Source(s): Author's compilation