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Full-Text Articles in Social and Behavioral Sciences
Testing The Fisher Hypothesis In The Presence Of Structural Breaks And Adaptive Inflationary Expectations: Evidence From Nigeria, Yakubu A. Bello, Babatunde S. Omotosho, Suleiman Karu, Satumari A. Stephen, Raymond O. Ogbuka, Balarabe F. Usman, Oluwaseun D. Mimiko
Testing The Fisher Hypothesis In The Presence Of Structural Breaks And Adaptive Inflationary Expectations: Evidence From Nigeria, Yakubu A. Bello, Babatunde S. Omotosho, Suleiman Karu, Satumari A. Stephen, Raymond O. Ogbuka, Balarabe F. Usman, Oluwaseun D. Mimiko
CBN Journal of Applied Statistics (JAS)
This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 – 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In addition, the obtained Fisher coefficient in the cointegrating relation was 0.08, implying a weak form of Fisher effect in the long-run. On the basis of these findings, we upheld a weak Fisher effect in the long-run and non-existence of Fisher effect in the short-run. This implied that short term nominal interest rate is a …
A Kalman Filter Approach To Fisher Effect: Evidence From Nigeria, Omorogbe J. Asemota, Dahiru A. Bala
A Kalman Filter Approach To Fisher Effect: Evidence From Nigeria, Omorogbe J. Asemota, Dahiru A. Bala
CBN Journal of Applied Statistics (JAS)
This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and Kalman filter methodologies, the study did not find evidence of a full Fisher effect from 1961:1-2009:4. This result indicates that nominal interest rates do not respond one-for-one to changes in inflation rates in the long run despite the presence of positive relationship among the variables. Our study recommends the adoption of potent policies aimed at checking inflation …
Relationship Between Inflation And Stock Market Returns: Evidence From Nigeria, Omotor G. Douglason
Relationship Between Inflation And Stock Market Returns: Evidence From Nigeria, Omotor G. Douglason
CBN Journal of Applied Statistics (JAS)
The linkage between stock prices and inflation has been subjected to extensive research in the past decades and has arouse the interests of academics, researchers, practitioners and policy makers globally, particularly since the 1990s. The issue has been the apparent anomaly of the negative relationship between inflation and stock market returns as most studies in the industrialized economies have shown. This paper investigates this relationship using monthly and quarterly data of Nigeria for the period 1985 to 2008. The findings of this paper seem to suggest that stock market returns may provide an effective hedge against inflation in Nigeria.