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Economics

CBN Journal of Applied Statistics (JAS)

2016

Articles 1 - 25 of 25

Full-Text Articles in Social and Behavioral Sciences

Determining The Optimal Public Debt Threshold For Nigeria, Babatunde S. Omotosho, Sani Bawa, Sani I. Doguwa Dec 2016

Determining The Optimal Public Debt Threshold For Nigeria, Babatunde S. Omotosho, Sani Bawa, Sani I. Doguwa

CBN Journal of Applied Statistics (JAS)

This paper investigates the existence of threshold effects in the relationship between public debt and economic growth in Nigeria using quarterly data. Generally, we found empirical support for an inverted U-shape relationship between public debt types and economic growth. For total public debt as percentage of GDP, model results identified a threshold level of 73.70 per cent, while the estimated inflexion points for external and domestic debts were 49.4 and 30.9 per cent, respectively. The implication of this finding is that debt accumulation in excess of the estimated threshold levels could hurt economic growth. A retrospective examination of the country’s …

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On Building Inference For The Statistical Neural Network With Application To Naira-Dollar Exchange Rate Efficiency: A Bootstrap Approach, Christopher Godwin Udomboso Dr, Francisco U. Saliu Dec 2016

On Building Inference For The Statistical Neural Network With Application To Naira-Dollar Exchange Rate Efficiency: A Bootstrap Approach, Christopher Godwin Udomboso Dr, Francisco U. Saliu

CBN Journal of Applied Statistics (JAS)

In this study, we developed an inference procedure for the neural network using the bootstrap approach, and applied it to the market efficiency of the Nigerian exchange rate. Data used are exchange rate values from 2001 to 2015. We conducted a test on the market efficiency hypothesis, including test for relevance of individual and joint network inputs using method of partial derivative. The network architecture used is the multilayer perceptron. A valid statistical inference based on the estimated Statistical Neural Network was conducted using a well-known statistical resampling technique. Test of hypothesis that input or groups of inputs are relevant …

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Volatility In The Nigerian Stock Market: Empirical Application Of Beta-T-Garch Variants, Olaoluwa S. Yaya, Abiodun S. Bada, Victor N. Atoi Dec 2016

Volatility In The Nigerian Stock Market: Empirical Application Of Beta-T-Garch Variants, Olaoluwa S. Yaya, Abiodun S. Bada, Victor N. Atoi

CBN Journal of Applied Statistics (JAS)

The Generalized Autoregressive Score (GAS), Exponential GAS (EGAS) and Asymmetric Exponential GAS (AEGAS) are new classes of volatility models that simultaneously account for jumps and asymmetry. Using these models, we estimate the dynamic pattern of the Nigeria All Share Index (ASI) from January 3, 2006 to July 22, 2014. Parameter estimates of the models were obtained using the Quasi Maximum Likelihood (QML) approach, and in-sample conditional volatility forecasts from each of the models were evaluated using the minimum loss function approach. Among the classical volatility models, the initial results detected IGARCH-t as the best model for predicting volatility in the …

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The Causes Of Persistent Inflation In Nigeria, Victor O. Asekunowo Dec 2016

The Causes Of Persistent Inflation In Nigeria, Victor O. Asekunowo

CBN Journal of Applied Statistics (JAS)

This study sought to identify the traditional and institutional inflation variables responsible for inflation phenomenon and the magnitude of the contribution of the identified variables to the rise in general price level. Secondary data on key macroeconomic variables in the economy from 1974 to 2013 were used. The data collected were analysed using the Autoregressive Distributed Lag (ARDL) bounds test. The results showed that there existed a longrun co-movement among the variables. Also, the ordinary least squares estimate showed that Real Effective Exchange Rate, Lagged Consumer Price Index, Real Broad Money and Real Profits were statistically significant in influencing Consumer …

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A Three-State Markov Model For Predicting Movements Of Asset Returns Of A Nigerian Bank, Maruf A. Raheem, Patrick O. Ezepue Dec 2016

A Three-State Markov Model For Predicting Movements Of Asset Returns Of A Nigerian Bank, Maruf A. Raheem, Patrick O. Ezepue

CBN Journal of Applied Statistics (JAS)

We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in states classified as rising (positive) (𝑅𝑘), falling (negative) state (𝑅𝑚) or stable (zero) state (𝑅𝑙). Related goodness-of-fit tests show that the Markov model fits the data adequately with an error rate of approximately 0.1. The maximum expected lengths of successively being in either positive or negative regime is 4 days, while that of …

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Dynamic Effects Of Fiscal Policy On Output And Unemployment In Nigeria: An Econometric Investigation, Attahir B. Abubakar Dec 2016

Dynamic Effects Of Fiscal Policy On Output And Unemployment In Nigeria: An Econometric Investigation, Attahir B. Abubakar

CBN Journal of Applied Statistics (JAS)

This study investigates the effect of fiscal policy shocks on output and unemployment in Nigeria under the Keynesian framework by employing the Structural Vector Autoregression (SVAR) methodology to analyse annual series on the relevant variables for the period 1981-2015. Augmented Dickey Fuller (ADF) test for unit root result shows all variables to be integrated of order one and Johansen Cointegration test confirms the presence of long run association among the variables. Findings of the SVAR model shows shock in public expenditure as having a positive long- lasting effect on output. Revenue shock was found to exert a positive effect (lower …

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Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe Dec 2016

Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe

CBN Journal of Applied Statistics (JAS)

The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1,1) and its asymmetric variants. Three of the four returns series showed heteroscedasticity. The results of the fitted models indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results of the asymmetric model indicate different impacts for both negative and …

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Modelling Nigerian Banks’ Share Prices Using Smooth Transition Garch Models, Olaoluwa S. Yaya, Damola M. Akinlana, Olanrewaju I. Shittu Dec 2016

Modelling Nigerian Banks’ Share Prices Using Smooth Transition Garch Models, Olaoluwa S. Yaya, Damola M. Akinlana, Olanrewaju I. Shittu

CBN Journal of Applied Statistics (JAS)

This paper examined the application of nonlinear Smooth Transition-Generalized Autoregressive Conditional Heteroscedasticity (ST-GARCH) model of Hagerud on prices of banks’ shares in Nigeria. The methodology is informed by the failure of the conventional GARCH model to capture the asymmetric properties of the banks’ daily share prices. The asymmetry and non-linearity in the model dynamics make it useful for generating nonlinear conditional variance series. From the empirical analysis, we obtained the conditional volatility of each bank’s share price return. The highest volatility persistence was observed in Bank 6, while Bank 12 had the least volatility. Evidently, about 25% of the investigated …

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Empirical Model For Forecasting Exchange Rate Dynamics: The Go-Garch Approach, Godknows Isenah, Olusanya E. Olubusoye Jun 2016

Empirical Model For Forecasting Exchange Rate Dynamics: The Go-Garch Approach, Godknows Isenah, Olusanya E. Olubusoye

CBN Journal of Applied Statistics (JAS)

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and four estimators of the GO-GARCH model were considered for fitting the models. Forecast performance tests were conducted using the Diebold-Mariano (DM) and the model confidence set (MCS) tests procedures. The DM test indicates preference for the GO-GARCH model estimated with nonlinear least squares (NLS) estimator – denoted as GOGARCH-NLS, while the MCS test determined a set of superior models (SSM) …

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Exchange Rate And External Reserves In Nigeria: A Threshold Cointegration Analysis, Ngozi E. Nwachukwu, Abdulkadir I. Ali, Ismaila S. Abdullahi, Mohammed A. Shettima, Solomon S. Zirra, Bola S. Falade, Michael J. Alenyi Jun 2016

Exchange Rate And External Reserves In Nigeria: A Threshold Cointegration Analysis, Ngozi E. Nwachukwu, Abdulkadir I. Ali, Ismaila S. Abdullahi, Mohammed A. Shettima, Solomon S. Zirra, Bola S. Falade, Michael J. Alenyi

CBN Journal of Applied Statistics (JAS)

This paper models the long-run relationship between the Bureau De Change exchange rate and external reserves in Nigeria in a Threshold Vector Error Correction Model (TVECM) framework using daily data that spans from Jan 1, 2014 to Jul 31, 2015. Modeling BDC exchange rate and external reserves within this context can be motivated by the fact that the transition mechanism between the variables is controlled by the degree of BDC exchange rates premium which is within central bank of Nigeria’s policy oversight. The supLM test result indicates that there is a non-linear long-run relationship between the series, providing empirical support …

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Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem Jun 2016

Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem

CBN Journal of Applied Statistics (JAS)

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered (real gross domestic product, interest rate, exchange rate and oil price) are highly volatile; the asymmetric models (TGARCH and EGARCH) outperform the symmetric models (GARCH (1 1) and GARCH – M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is vulnerable to both internal shocks (interest rate volatility, real …

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Day-Of-The-Week Anomaly: An Illusion Or A Reality? Evidence From Naira/Dollar Exchange Rates, Osarumwense Osabuohien-Irabor Jun 2016

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 …

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Monetary Policy And Unemployment In Nigeria: Is There A Dynamic Relationship?, Sunday N. Essien, Garba A. Manya, Mary O.A. Arigo, Kufre J. Bassey, Suleiman F. Ogunyinka, Deborah G. Ojegwo, Francisca Ogbuehi Jun 2016

Monetary Policy And Unemployment In Nigeria: Is There A Dynamic Relationship?, Sunday N. Essien, Garba A. Manya, Mary O.A. Arigo, Kufre J. Bassey, Suleiman F. Ogunyinka, Deborah G. Ojegwo, Francisca Ogbuehi

CBN Journal of Applied Statistics (JAS)

This paper examines the link between unemployment and monetary policy in Nigeria using a vector autoregressive (VAR) framework for the period 1983q1 – 2014q1. The paper investigates the effect of structural change by identifying three structural breakpoints and incorporating them into the VAR model as dummy variables. The results show that a positive shock to policy rate raises unemployment over a 10 quarter period. In addition, all the variables used as proxy in the model jointly Granger cause unemployment, implying the existence of a dynamic relationship between monetary policy and unemployment in Nigeria.

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Fiscal Policy And Private Investment In Selected West African Countries, Joseph A. Omojolaibi, Tochi-Nze P. Okenesi, Ekundayo P. Mesagan Jun 2016

Fiscal Policy And Private Investment In Selected West African Countries, Joseph A. Omojolaibi, Tochi-Nze P. Okenesi, Ekundayo P. Mesagan

CBN Journal of Applied Statistics (JAS)

This study sets out to examine the nexus between fiscal policy and private investment in five selected West African countries using annual data from 1993 to 2014. Employing Fixed Effect Model for Panel data ordinary least square approach, the results showed the existence of a significant crowding in effect of government capital expenditure and tax revenue while non-tax revenue showed a crowding out effect. Recurrent expenditure and external debt also showed crowding out effects but these were insignificant. The accelerator effect of output growth was also found to be insignificant across the countries over the time period. The study called …

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Analysis Of Inflation Dynamics In Nigeria (1981 – 2015), Sani Bawa, Ismaila S. Abdullahi, Adamu Ibrahim Jun 2016

Analysis Of Inflation Dynamics In Nigeria (1981 – 2015), Sani Bawa, Ismaila S. Abdullahi, Adamu Ibrahim

CBN Journal of Applied Statistics (JAS)

This study examined the dynamics of inflationary process in Nigeria over the period 1981 – 2015, using the bounds testing approach to cointegration. Empirical results indicated that inflation in Nigeria proxied by CPI exhibited a strong degree of inertia. The econometric results showed that past inflation and average rainfall appeared to have been the main determinants of inflationary process in Nigeria over the study period. We also found strong evidence of the importance of money supply in the inflation process, lending credence to the dominance of the monetarist proposition on inflation dynamics in Nigeria. Thus, the paper recommended among others, …

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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 Jun 2016

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 …

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Exchange Rate Pass-Through To Inflation In Nigeria, Abiodun S. Bada, Ajibola I. Olufemi, Inuwa A. Tata, Idowu Peters, Sani Bawa, Anigwe J. Onwubiko, Udoko C. Onyowo Jun 2016

Exchange Rate Pass-Through To Inflation In Nigeria, Abiodun S. Bada, Ajibola I. Olufemi, Inuwa A. Tata, Idowu Peters, Sani Bawa, Anigwe J. Onwubiko, Udoko C. Onyowo

CBN Journal of Applied Statistics (JAS)

Concerns about the magnitude and length of exchange rate pass-through to consumer prices have increased in many developing countries in view of its profound implications on price and exchange rate stability as well as the macroeconomic policy environment. This paper examines the exchange rate pass-through effect at the aggregate level into import and consumer prices in Nigeria for the period 1995Q1 – 2015Q1. Utilizing the Johansen approach to cointegration and a vector error correction methodology, the paper found the exchange rate pass-through into Nigeria’s CPI inflation to be incomplete. The long run pass-through elasticities were found to be 0.24 and …

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Exchange Rate Policy And Falling Crude Oil Prices: Effect On The Nigerian Stock Market, Terfa W. Abraham Jun 2016

Exchange Rate Policy And Falling Crude Oil Prices: Effect On The Nigerian Stock Market, Terfa W. Abraham

CBN Journal of Applied Statistics (JAS)

This paper examines the effect of crude oil price movement on the Nigerian stock market and the role of exchange rate as a plausible countercyclical policy tool. Daily data on All Share Index of the Nigerian stock market, crude oil prices and exchange rate, were collected for two periods: 2008-2009 and 2012-2015. Results from the Autoregressive Distributed Lag (ADL) model show that oil prices are positively related with the performance of the Nigerian stock market thus would drag the market down in times of turmoil. Howbeit, devaluation of the naira is found to be effective in cushioning the effect of …

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Real Effective Exchange Rate Misalignment In Nigeria, Ngozi E. Nwachukwu, Racheal O. Adebayo, Abdullahi A. Shettima, John O. Anigwe, Chidinma T. Udechukwu-Peterclaver Jun 2016

Real Effective Exchange Rate Misalignment In Nigeria, Ngozi E. Nwachukwu, Racheal O. Adebayo, Abdullahi A. Shettima, John O. Anigwe, Chidinma T. Udechukwu-Peterclaver

CBN Journal of Applied Statistics (JAS)

The study analyzed the relationship between relevant macroeconomic variables and the real effective exchange rate (REER) in Nigeria based on the Behavioural Equilibrium Exchange Rate (BEER) approach. An Autoregressive Distributed Lag (ARDL) model was estimated to obtain the equilibrium REER while the resultant levels of misalignment were computed for the period 1990 - 2014. Model results indicated that terms of trade and degree of trade openness are significant determinants of the REER, implying that trade policies matter for Naira REER movements. The error correction model indicated that 3.3% of disequilibrium error is corrected within a quarter. On the average, the …

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An Empirical Analysis Of The Macroeconomic Impact Of Public Debt In Nigeria, Sunday N. Essien, Ngozi T. I. Agboegbulem, Michael K. Mba, Ogochukwu G. Onumonu Jun 2016

An Empirical Analysis Of The Macroeconomic Impact Of Public Debt In Nigeria, Sunday N. Essien, Ngozi T. I. Agboegbulem, Michael K. Mba, Ogochukwu G. Onumonu

CBN Journal of Applied Statistics (JAS)

This paper examines the impact of public sector borrowings on prices, interest rates, and output in Nigeria. It utilized a Vector Autoregressive framework, the Granger causality test, impulse response, and variance decomposition of the various innovations to study the impact. It found that shock to external debt stock increases prime lending rate, but with a lag. However, the level of external and domestic debt over the period of this study had no significant impact on the general price level and output.

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Real Exchange Rate Misalignment And Economic Growth In Nigeria (1960-2011), Waheed O. Ibrahim Jun 2016

Real Exchange Rate Misalignment And Economic Growth In Nigeria (1960-2011), Waheed O. Ibrahim

CBN Journal of Applied Statistics (JAS)

This paper examines the impact of real effective exchange rate misalignment on economic growth in Nigeria using an annual data spanning 1960 to 2011. The augmented growth model was estimated using purchasing power parity (PPP) and generalized method of moment (GMM) approaches. Through series of iterative processes, it was observed that it will take four years for the exchange rate to revert back to equilibrium. The result from the PPP approach shows that the period of flexible exchange rate regime is characterized by a relatively lower real exchange rate misalignment over time compared with the fixed exchange rate regime. The …

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Modelling Banks’ Interest Margins In Nigeria, Ini S. Udom, Ngozi T. I. Agboegbulem, Ngozi V. Atoi, Abiola O. Adeleke, Ochoche Abraham, Ogochukwu G. Onumonu, Murtala Abubakar Jun 2016

Modelling Banks’ Interest Margins In Nigeria, Ini S. Udom, Ngozi T. I. Agboegbulem, Ngozi V. Atoi, Abiola O. Adeleke, Ochoche Abraham, Ogochukwu G. Onumonu, Murtala Abubakar

CBN Journal of Applied Statistics (JAS)

This study applied panel analysis to determine the factors influencing interest margins in Nigeria using bank-specific, sector-specific and macroeconomic data ranging from 2010:Q1 to 2014:Q2. Based on the Hausman test, a fixed effect model in a generalized form (GLS) was estimated. The result shows that credit risk, growth in loans and advances, staff operating cost, GDP growth, inflation rate and money supply growth are significant determinants of interest margins in Nigeria. Consistent with previous studies, staff cost exerts highest impact on interest margins followed by fixed effects term. Further analysis of the banks’ fixed effects reveals that seven banks control …

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Re-Introducing And Operationalizing Nigeria’S Flexible Exchange Rate Market, Godwin I. Emefiele Jun 2016

Re-Introducing And Operationalizing Nigeria’S Flexible Exchange Rate Market, Godwin I. Emefiele

CBN Journal of Applied Statistics (JAS)

This is an address presented to relevant stakeholders and the general public unveiling of the framework for re-introduction of Managed Float Exchange Rate System on 15th June 2016. The address included the broad framework and guidelines of the Flexible Exchange Rate Inter-bank Market, which we alluded to at the end of Monetary Policy Committee (MPC) of 24th May 2016.

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Inflation And Inflation Uncertainty In Nigeria: A Test Of The Friedman’S Hypothesis, Muhammad A. Abamanga, Umar Musa, Audu Salihu, Ubong S. Udoette, Valli T. Adejo, Offiong N. Edem, Hyariju Bukar, Chidinma T. Udechukwu-Peterclaver Jun 2016

Inflation And Inflation Uncertainty In Nigeria: A Test Of The Friedman’S Hypothesis, Muhammad A. Abamanga, Umar Musa, Audu Salihu, Ubong S. Udoette, Valli T. Adejo, Offiong N. Edem, Hyariju Bukar, Chidinma T. Udechukwu-Peterclaver

CBN Journal of Applied Statistics (JAS)

This paper examines the relationship between inflation and inflation uncertainty in Nigeria. It attempts to test whether the Friedman’s hypothesis – that a rise in the average rate of inflation leads to more uncertainty about future rate of inflation - holds for the country. The monthly inflation data spanning the period 1960:1 to 2014:07 was used. Inflation uncertainty was modeled as a time varying process using a GARCH framework. Exponential Generalized Autoregressive Heteroscedasticity (EGARCH) complemented by seasonal ARIMA (2, 0, 2) (0, 0, 1) was employed to model the inflation uncertainty. Given that inflation series display structural breaks, this was …

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Nigeria’S Private Foreign Assets And Liabilities, 2014, International Investment Statistics Office (Iiso) Jun 2016

Nigeria’S Private Foreign Assets And Liabilities, 2014, International Investment Statistics Office (Iiso)

CBN Journal of Applied Statistics (JAS)

The survey of foreign assets and liabilities of enterprises in Nigeria was conducted in 2015 to determine the stock of foreign assets/liabilities of Nigerian enterprises as at end 2014. The survey collected relevant information from 740 enterprises while the analysis of survey data was done based on the recipient sectors as well as country of origin of the investments. Survey returns showed that total private foreign liabilities as at end-2014 was N15, 046.07 billion, down by 1.4 per cent from its level in 2013. Of this total, 99.8 per cent came in the form of foreign direct investments, while foreign …

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