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Social and Behavioral Sciences Commons™
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- Volatility (3)
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- ANOVA (1)
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- ARIMA (1)
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- Agricultural output growth (1)
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- Inflation forecasting (1)
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Articles 1 - 15 of 15
Full-Text Articles in Social and Behavioral Sciences
Determinants Of Fdi And Fpi Volatility: An E-Garch Approach, Philip I. Nwosa, Omolade Adeleke
Determinants Of Fdi And Fpi Volatility: An E-Garch Approach, Philip I. Nwosa, Omolade Adeleke
CBN Journal of Applied Statistics (JAS)
This study examined the determinants of Foreign Direct Investment (FDI) and Foreign Portfolio Investment (FPI) volatility in Nigeria. The study used annual data covering the periods 1986 to 2016 and the EGARCH approach was employed. The study observed that trade openness and world GDP were the significant determinants of FDI volatility, while domestic interest rate and stock market capitalization were significant determinants of FPI volatility in Nigeria. Other variables were insignificant in influencing volatility in FDI and FPI. Consequently, the study recommends the need for the prudent management of these determinants (with particular reference to indigenous variables) to ensure reduced …
The Consumption-Oriented Capital Asset Pricing Model In The Nigerian Stock Exchange, Abidemi C. Adegboye
The Consumption-Oriented Capital Asset Pricing Model In The Nigerian Stock Exchange, Abidemi C. Adegboye
CBN Journal of Applied Statistics (JAS)
In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering returns on investments in the Nigerian Stock Exchange market and other financial assets for the period 1993: Q1 to 2016:Q4. Three tests are conducted. The first test examines forecast performance of excess returns for the selected portfolios in predicting future consumption; the second test estimates the consumption betas for the set of assets using two alternative formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with the basic CAPM formulations. The empirical results indicates …
On The Properties Of The Weibull-Burr Iii Distribution And Its Application To Uncensored And Censored Survival Data, Aliyu Yakubu, Sani I. Doguwa
On The Properties Of The Weibull-Burr Iii Distribution And Its Application To Uncensored And Censored Survival Data, Aliyu Yakubu, Sani I. Doguwa
CBN Journal of Applied Statistics (JAS)
Twelve different families of cumulative distributions that are used to model real life data were introduced by Burr (1942). Burr III distribution is among these families of cumulative distributions. In this work, a four-parameter distribution is introduced to model real life scenarios called Weibull-Burr III distribution. The limiting behavior of the proposed distribution, hazard function, moments, skewness, kurtosis and quantile function is investigated; order statistics and entropy are also derived. The method of Maximum Likelihood Estimation technique was used in estimating the parameters of the proposed distribution. To prove the flexibility and performance of the distribution and Weibull-G family of …
Forecasting The Volatilities Of The Nigeria Stock Market Prices, Sikiru O. Ibrahim
Forecasting The Volatilities Of The Nigeria Stock Market Prices, Sikiru O. Ibrahim
CBN Journal of Applied Statistics (JAS)
The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the capability to show the asymmetric effect. The assessment of volatilities in prices for 1985 to 2014 shows clustering, over the years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the …
Determinants Of Financial Inclusion In Sub-Saharan Africa Countries: Does Institutional Infrastructure Matter?, Kazeem B. Ajide
Determinants Of Financial Inclusion In Sub-Saharan Africa Countries: Does Institutional Infrastructure Matter?, Kazeem B. Ajide
CBN Journal of Applied Statistics (JAS)
The paper examines the determinants of financial inclusion by specially accounting for the role of institutions in a panel of eighteen (18) subSaharan Africa (SSA) countries using a dynamic system of Generalized Method of Moments (SYS-GMM). The emanated findings consistently stress the importance of institutions together with other control variables like GDP per capita, inflation, bank concentration and z-score as key drivers of FI. In the final analysis, the paper emphasizes the importance of using dimension by dimension indicators of governance as well as a composite governance index instead of relying solely on the latter as a basis of informing …
The Impact Of Private Sector Credit On Economic Growth In Nigeria, Ganiyu B.A. Amoo, Matthew I. Eboreime, Yusuf Adamu, Maximillian C. Belonwu
The Impact Of Private Sector Credit On Economic Growth In Nigeria, Ganiyu B.A. Amoo, Matthew I. Eboreime, Yusuf Adamu, Maximillian C. Belonwu
CBN Journal of Applied Statistics (JAS)
The paper determines empirically the local conditions and policy environment that influence the absorptive capacity of credit in the Nigerian economy for the period 1993:Q1 to 2013:Q4 using fully modified least squares. Findings show that credit is growth-enhancing, even when trade openness, monetary policy, investment climate and infrastructure are low. Also, the composite local condition index analysis revealed that private sector credit increased economic growth when domestic or local conditions were favourable and the absorptive capacity of the domestic economy for credit was estimated at 29% of the GDP in 2013. These results suggest that there is ample room for …
An Assessment Of The Impact Of Banking Reforms On Economic Growth And Bank Performance In Nigeria, Matthew O. Gidigbi
An Assessment Of The Impact Of Banking Reforms On Economic Growth And Bank Performance In Nigeria, Matthew O. Gidigbi
CBN Journal of Applied Statistics (JAS)
This study assesses the impact of banking reforms on banks’ performance and economic growth for the period 1981 to 2015 by fitting an ANOVA model into Stepwise Regression. Using dummy variables to isolate reform periods, results show that banking reforms contribute positively to economic growth, especially in the period 1999 to 2004. Also, banking reforms are found to contribute negatively to banks’ performance, following the 1993 reforms. The study confirms that banking system reforms in Nigeria have dual impact on the economy and banks’ performance. The banking reforms are capable of promoting growth in the economy. Thus, the study recommends …
Improving Accuracy With Forecast Combination: The Case Of Inflation And Currency In Circulation In Nigeria, Alvan E. Ikoku, Chukwunonso T. Okany
Improving Accuracy With Forecast Combination: The Case Of Inflation And Currency In Circulation In Nigeria, Alvan E. Ikoku, Chukwunonso T. Okany
CBN Journal of Applied Statistics (JAS)
This study shows how the application of forecast combination improves the accuracy of forecasts of economic variables. Using data from January 2009 to December 2014 on the Nigerian inflation rate, and forecasts of currency in circulation (see Ikoku, (2014)) as examples, we find that by combining forecasts of both variables using the regressionbased method, the mean absolute percent errors of the combined forecasts were lower than the forecast errors from the individual models of the variables.
An Application Of Asymmetric Garch Models On Volatility Of Banks Equity In Nigeria’S Stock Market, Omorogbe J. Asemota, Uchenna C. Ekejiuba
An Application Of Asymmetric Garch Models On Volatility Of Banks Equity In Nigeria’S Stock Market, Omorogbe J. Asemota, Uchenna C. Ekejiuba
CBN Journal of Applied Statistics (JAS)
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated models using standard criteria, EGARCH (1, 1) and CGARCH (1, 1) model in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered for robustness of results. We …
Exchange Rate Misalignment Under Different Exchange Rate Regimes In Nigeria, Sunday N. Essien, Stephen O.U. Uyaebo, Babatunde S. Omotosho
Exchange Rate Misalignment Under Different Exchange Rate Regimes In Nigeria, Sunday N. Essien, Stephen O.U. Uyaebo, Babatunde S. Omotosho
CBN Journal of Applied Statistics (JAS)
This study examines the dynamics of naira real exchange rate (RER) during the period 2000Q1 – 2016Q1 as well as the extent to which it deviated from its long run equilibrium path. To achieve this, we adopt the Behavioural Equilibrium Exchange Rate (BEER) model approach and incorporate the effects of an endogenously determined breakpoint in the cointegrating vector of the RER model. We found empirical support for the existence of a long-run relationship between RER and its determinants that is subject to a structural break in 2011Q1. Also, model results showed that exchange rate policy, productivity and interest rate differentials …
Agricultural Sector Credit And Output Relationship In Nigeria: Evidence From Nonlinear Ardl1, Oloronsola E. Olowofeso, Adeyemi A. Adeboye, Valli T. Adejo, Kufre J. Bassey, Ochoche Abraham
Agricultural Sector Credit And Output Relationship In Nigeria: Evidence From Nonlinear Ardl1, Oloronsola E. Olowofeso, Adeyemi A. Adeboye, Valli T. Adejo, Kufre J. Bassey, Ochoche Abraham
CBN Journal of Applied Statistics (JAS)
This paper investigates the relationship between credit to agriculture and agricultural output in Nigeria by means of nonlinear autoregressive distributed lag (NARDL) model using a time series data from 1992Q1 to 2015Q4. Results show no evidence of asymmetry in the impact of credit to output growth in the agricultural sector (positive and negative changes) in the short-run, but different equilibrium relationships exist in the long-run. The dynamic adjustments show that the cumulative agricultural output growth is mostly attracted by the impact of the positive changes in credit to agriculture with a lag of four quarters of the prediction horizon. This …
Modelling Inflation Rate Volatility In Nigeria With Structural Breaks, Ismail O. Fasanya, Oluwasegun B. Adekoya
Modelling Inflation Rate Volatility In Nigeria With Structural Breaks, Ismail O. Fasanya, Oluwasegun B. Adekoya
CBN Journal of Applied Statistics (JAS)
This study compares the performance of GARCH-Type models in modelling inflation volatility in Nigeria covering the period 1995M01 to 2016M10. In the paper, we provide two main innovations: (i) we analyze inflation rate of two pronounced consumer prices indices namely headline and core consumer price indices using the Augmented DickeyFuller break point test which allow for structural breaks in the data series; and (ii) the method is modified to include both symmetric and asymmetric volatility models. The empirical examination observes evidence of volatility persistence in the consumer price indices, but only headline is consistent with leverage effects. Thus, applying one-modelfits-all …
Testing For The Stability And Persistence Of The Phillips Curve For Nigeria, Chuku Chuku, Johnson Atan, Felix Obioesio
Testing For The Stability And Persistence Of The Phillips Curve For Nigeria, Chuku Chuku, Johnson Atan, Felix Obioesio
CBN Journal of Applied Statistics (JAS)
In this study, we describe the problem of testing for the stability and persistence of the Phillips curve for Nigeria when there are nonstationarities in the marginal distribution of the regressors. We test for unknown break dates using the 𝑆𝑢𝑝𝐹,𝐴𝑣𝑔𝐹 and 𝐸𝑥𝑝𝐹 approaches. After reviewing the relevant asymptotic distribution theory we replicate Hansen’s fixed-regressor bootstraping scheme, which shows that Andrews’ tabulated critical values for the test statistics are oversized, and are not robust to the presence of nonstationarities in the marginal distribution of the regressors. In search of alternative bootstraping schemes, we experiment with the sieve, wild, and Rademacher schemes …
Testing Validity Of Observed Indicators Of Local Content Policy In Nigeria: Evidence From Four-Factor Measurement Model, Abdulkabir N. Adedeji, Muhammad O. Lawan, Shaufiq F. Sidique
Testing Validity Of Observed Indicators Of Local Content Policy In Nigeria: Evidence From Four-Factor Measurement Model, Abdulkabir N. Adedeji, Muhammad O. Lawan, Shaufiq F. Sidique
CBN Journal of Applied Statistics (JAS)
This paper tests validity property of the indicators that measured local content policy (LCP) in Nigeria’s oil sector. Survey data were obtained for the test, using confirmatory factor analysis (CFA) method. The results obtained from a four-factor measurement model confirmed the LCP indicators to be valid. This reflects that the policy can achieve its developmental targets on local value creation with particular reference to increased local firms’ participation, backward linkages, and job creation in Nigeria’s oil sector. Hence, government should focus on effective implementation and compliance of the policy rather than “labour clause” as contained in the local content Act. …
The Impact Of Trade On Economic Growth In Ecowas Countries: Evidence From Panel Data, Milton Iyoha, Ajan Okim
The Impact Of Trade On Economic Growth In Ecowas Countries: Evidence From Panel Data, Milton Iyoha, Ajan Okim
CBN Journal of Applied Statistics (JAS)
The poor economic performance and growth of ECOWAS economies have become so challenging and this has necessitated research and discussions. Experts have argued that the relationship between trade and economic growth in the ECOWAS region is unclear and the question of whether trade promotes growth and development is controversial. In this paper, an attempt is made to analyse the impact of trade on economic growth both from a theoretical perspective and using econometric evidence from ECOWAS countries. In particular, an attempt is made to econometrically test the hypothesis of a positive relationship between trade and growth in ECOWAS countries during …