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Physical Sciences and Mathematics
CBN Journal of Applied Statistics (JAS)
Monetary-fiscal policy interaction; State-space models; Markov-switching
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Monetary And Fiscal Policy Interactions In Nigeria: An Application Of A State-Space Model With Markov-Switching, Chuku V. Chuku
Monetary And Fiscal Policy Interactions In Nigeria: An Application Of A State-Space Model With Markov-Switching, Chuku V. Chuku
CBN Journal of Applied Statistics (JAS)
This paper uses quarterly data to explore the monetary and fiscal policy interactions in Nigeria between 1970 and 2008. As a preliminary exercise, the paper examines the nature of fiscal policies in Nigeria using a vector autoregression (VAR) model. The simulated generalized impulse response graphs generated from the VAR estimation provides evidence of a non-Ricardian fiscal policy in Nigeria. Further, the paper analyzes the interactions between monetary and fiscal policies by applying a State-space model with Markov-switching to estimate the time-varying parameters of the relationship. The evidence indicates that monetary and fiscal policies in Nigeria have interacted in a counteractive …