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Full-Text Articles in Business
Portfolio Balance Approach To Asymmetries, Structural Breaks And Financial Crisis: Testing A Model For Nigeria, Portfolio Balance Theory, Oluwasegun B. Adekoya
Portfolio Balance Approach To Asymmetries, Structural Breaks And Financial Crisis: Testing A Model For Nigeria, Portfolio Balance Theory, Oluwasegun B. Adekoya
CBN Journal of Applied Statistics (JAS)
This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September 1997 to September 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the impact of the 2008 global financial crisis on the PBT to determine its stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks matter in the nexus between stock price and exchange rate. However, the impact of stock price on exchange rate diminished in the long-run with …
Impact Of Trade Openness On Economic Growth Among Ecowas Countries: 1975-2017, Victor U. Ijirshar
Impact Of Trade Openness On Economic Growth Among Ecowas Countries: 1975-2017, Victor U. Ijirshar
CBN Journal of Applied Statistics (JAS)
This study assesses the impact of trade openness on economic growth among ECOWAS countries using secondary data from 1975 to 2017. The study uses non-stationary heterogeneous dynamic panel models through the application of Pooled Mean Group (PMG) and Mean Group (MG) estimators since time dimension was more than cross-sections. Using the Hausman test, PMG estimator was preferred. Results show that trade openness has positive effects on growth in ECOWAS countries in the long-run but mixed effects in the short-run. The study therefore recommends that ECOWAS member countries improve cooperation among economic actors by using export consortia so as to help …
Modelling Volatility Persistence And Asymmetry Of Naira-Dollar Exchange Rate, Mutiu A. Oyinlola
Modelling Volatility Persistence And Asymmetry Of Naira-Dollar Exchange Rate, Mutiu A. Oyinlola
CBN Journal of Applied Statistics (JAS)
This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Threshold GARCH [TGARCH (1,1)] and Exponential GARCH [EGARCH (1,1)]. The results of Bai-Perron (2003) structural break identified two significant breaks in each market. Interestingly, the breaks, particularly for the interbank exchange rate(December, 2014 and January, 2015), seem to have coincided with the period of depreciation in the country’s exchange rate which could be linked to the precipitous movement in the international crude oil …
Day-Of-The-Week Anomaly: An Illusion Or A Reality? Evidence From Naira/Dollar Exchange Rates, Osarumwense Osabuohien-Irabor
Day-Of-The-Week Anomaly: An Illusion Or A Reality? Evidence From Naira/Dollar Exchange Rates, Osarumwense Osabuohien-Irabor
CBN Journal of Applied Statistics (JAS)
This study examines the day-of-the-week effect in the Nigerian foreign exchange market (Naira against the US dollars), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day-of-the-week effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day goes with the influence of these models. Thus this study clearly support the argument of Charles (2010), that, the days of the week anomalies lies on …
Nexus Of Exchange Rate Deregulation And Agricultural Share Of Gross Domestic Product In Nigeria, Oyakhilomen Oyinbo, Falola Abraham, Grace Z. Rekwot
Nexus Of Exchange Rate Deregulation And Agricultural Share Of Gross Domestic Product In Nigeria, Oyakhilomen Oyinbo, Falola Abraham, Grace Z. Rekwot
CBN Journal of Applied Statistics (JAS)
The kernel of this study was to examine the causal relationship between exchange rate deregulation and the agricultural share of gross domestic product in Nigeria from an econometric perspective using time series data spanning a period of 26 years (1986 – 2011). Data on exchange rate and gross domestic product were analysed using augmented dickey fuller unit root test, unrestricted vector autoregression, pairwise granger causality and vector error correction model. The results showed the existence of unidirectional causality from exchange rate to agricultural share of gross domestic production and also, exchange rate deregulation had negative influence on agricultural share of …
Exchange–Rates Volatility In Nigeria: Application Of Garch Models With Exogenous Break, Bala A. Dahiru, Joseph O. Asemota
Exchange–Rates Volatility In Nigeria: Application Of Garch Models With Exogenous Break, Bala A. Dahiru, Joseph O. Asemota
CBN Journal of Applied Statistics (JAS)
This paper examines exchange–rate volatility with GARCH models using monthly exchange–rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through standard information criteria, volatility persistence and the log likelihood …