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Economics

CBN Journal of Applied Statistics (JAS)

2019

Articles 1 - 12 of 12

Full-Text Articles in Business

A Text Mining Analysis Of Central Bank Monetary Policy Communication In Nigeria, Mohammed M, Tumala, Babatunde S. Omotosho Dec 2019

A Text Mining Analysis Of Central Bank Monetary Policy Communication In Nigeria, Mohammed M, Tumala, Babatunde S. Omotosho

CBN Journal of Applied Statistics (JAS)

This paper employs text-mining techniques to analyse the communication strategy of the Central Bank of Nigeria (CBN) during the period 20042019. Since the policy communique released after each meeting of the CBN’s monetary policy committee (MPC) represents an important tool of central bank communication, we construct a corpus based on 87 policy communiques with a total of 123, 353 words. Having processed the textual data into a form suitable for analysis, we examined the readability, sentiments, and topics of the policy documents. While the CBN’s communication has increased substantially over the years, implying increased monetary policy transparency; the computed Coleman …

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External Shocks And Business Cycle Fluctuations In Oil-Exporting Small Open Economies: The Case Of Nigeria, Sunday Oladunni Dec 2019

External Shocks And Business Cycle Fluctuations In Oil-Exporting Small Open Economies: The Case Of Nigeria, Sunday Oladunni

CBN Journal of Applied Statistics (JAS)

This study employs a sign-restricted Bayesian structural vector autoregressive (BSVAR) model to analyse how global demand, oil price and the US monetary policy shocks impact the Nigerian business cycle. The objective is to uncover the dominant external drivers of the business cycle in Nigeria. Results show that global demand and oil price shocks are the principal foreign drivers of the Nigerian business cycle. The global demand shock elicits the strongest responses from output growth and inflation; while oil price shock impacts the terms-of-trade and interest rate the most. The historical contributions of the global demand and oil price shocks to …

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Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja Dec 2019

Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja

CBN Journal of Applied Statistics (JAS)

This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to measure stock market, money market and exchange rate market, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher during the period of high depreciation of the naira which coincides with the period of falling oil prices and domestic economic meltdown of 2014 and 2016, …

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The Growth-Differential Effects Of Domestic Investment And Foreign Direct Investment In Africa, Victor U. Ijirshar, Gbatsoron Anjande, Joseph Fefa, Bridget N. Mile Dec 2019

The Growth-Differential Effects Of Domestic Investment And Foreign Direct Investment In Africa, Victor U. Ijirshar, Gbatsoron Anjande, Joseph Fefa, Bridget N. Mile

CBN Journal of Applied Statistics (JAS)

This paper employs dynamic panel models; Pooled Mean Group (PMG) and Mean Group (MG) estimators to assess the growth-differential effects of Foreign Direct Investment (FDI) and Domestic Investment (DI) among 41 selected African countries from 1970 to 2017. The result of Hausman test shows that PMG estimator is preferred. The study found that FDI and DI are important grease for growth of African countries in the long-run. The study also found that inflows of FDI crowds-in DI in Africa and that there is significant difference in the growth effects of foreign direct investment and domestic investment while the joint effects …

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Inflation Dynamics And Exchange Rate Pass-Through In Nigeria: Evidence From Augmented Nonlinear New Keynesian Philips Curve, Usman A. Bello, Aliyu R. Sanusi Dec 2019

Inflation Dynamics And Exchange Rate Pass-Through In Nigeria: Evidence From Augmented Nonlinear New Keynesian Philips Curve, Usman A. Bello, Aliyu R. Sanusi

CBN Journal of Applied Statistics (JAS)

This paper estimates a nonlinear augmented New Keynesian Philips Curve for Nigeria using the Smooth Transition Regression model for the period 1995Q1 to 2018Q2. The empirical evidence reveals the existence of two inflation regimes during the period under review. Food inflation, energy inflation, firms’ marginal cost, and imported inflation account for most of the changes in the prices of composite consumers’ basket in low exchange rate depreciation regime. However, the exchange rate solely explains price changes in the composite consumers’ basket when inflation switches to high regime. Similarly, the results show that regime change in inflation is largely caused by …

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Oil Price Shocks, Fuel Subsidies And Macroeconomic (In)Stability In Nigeria, Babatunde S. Omotosho Dec 2019

Oil Price Shocks, Fuel Subsidies And Macroeconomic (In)Stability In Nigeria, Babatunde S. Omotosho

CBN Journal of Applied Statistics (JAS)

This paper studies the macroeconomic implications of oil price shocks and the extant fuel subsidy regime for Nigeria. To do this, we develop and estimate a New-Keynesian DSGE model that accounts for pass-through effect of international oil price into the retail price of fuel. Our results show that oil price shocks generate significant and persistent impacts on output, accounting for about 22 percent of its variations up to the fourth year. Under our benchmark model (i.e. with fuel subsidies), we show that a negative oil price shock contracts aggregate GDP, boosts non-oil GDP, increases headline inflation, and depreciates the exchange …

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Impact Of Trade Openness On Economic Growth Among Ecowas Countries: 1975-2017, Victor U. Ijirshar Jun 2019

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 …

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Imputation Of Missing Values In Economic And Financial Time Series Data Using Five Principal Component Analysis Approaches, Chisimkwuo John, Emmanuel J. Ekpenyong, Charles C. Nworu Jun 2019

Imputation Of Missing Values In Economic And Financial Time Series Data Using Five Principal Component Analysis Approaches, Chisimkwuo John, Emmanuel J. Ekpenyong, Charles C. Nworu

CBN Journal of Applied Statistics (JAS)

This study assesses five approaches for imputing missing values. The evaluated methods include Singular Value Decomposition Imputation (svdPCA), Bayesian imputation (bPCA), Probabilistic imputation (pPCA), Non-Linear Iterative Partial Least squares imputation (nipalsPCA) and Local Least Square imputation (llsPCA). A 5%, 10%, 15% and 20% missing data were created under a missing completely at random (MCAR) assumption using five (5) variables: Net Foreign Assets (NFA), Credit to Core Private Sector (CCP), Reserve Money (RM), Narrow Money (M1), Private Sector Demand Deposits (PSDD), from 1981 to 2019 using R-software. The five imputation methods were used to estimate the artificially generated missing values. The …

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Assessing Contingent Convertible Bonds For Bank Recapitalization In Nigeria, Kabir Katata Jun 2019

Assessing Contingent Convertible Bonds For Bank Recapitalization In Nigeria, Kabir Katata

CBN Journal of Applied Statistics (JAS)

This study estimates the parameters of credit derivatives, equity derivatives and structural models for bank recapitalisation in Nigeria by employing contingent convertibles (CoCos) and using the Nigeria Treasury Bill rate for 2009 as the risk-free rate, estimated recapitalisation requirements for the banks as at 2009 and relevant banks’ share prices for 2008 and 2009. The study finds the structural approach as the preferred model for CoCo pricing, as it reported the least pricing errors and also builds asset values of the banks from publicly-available quoted stock prices as well as deposit components of bank’s balance sheet information. The study also …

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Is The Cfa Franc Prone To Speculative Attacks Or A Contagion Effect: A Stochastic-Markov Transition Analysis For Cameroon, Louis Sevitenyi Nkwatoh Mr Jun 2019

Is The Cfa Franc Prone To Speculative Attacks Or A Contagion Effect: A Stochastic-Markov Transition Analysis For Cameroon, Louis Sevitenyi Nkwatoh Mr

CBN Journal of Applied Statistics (JAS)

The study employs the Markovian processs on annual nominal effective exchange rate of CFA Franc spanning 1975 to 2017 to examine whether the CFA franc is prone to speculative attacks or a contagion effect. The findings reveal that the expected duration for the CFA Franc to be undervalued is twice higher than for it to be overvalued. This validates the contagion effect of a Euro crisis on the CFA Franc. Though the level of growth increased significantly during the undervaluation era, the level of uncertainty remains equally high. The findings confirm that exchange rate devaluation influences the expectations of private …

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Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar Jun 2019

Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar

CBN Journal of Applied Statistics (JAS)

This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold Autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price …

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Testing For Single Bubble Episode In The Nigerian Stock Market: An Empirical Investigation, Jamilu Ilyasu, Ndayezhin D. Saba Jun 2019

Testing For Single Bubble Episode In The Nigerian Stock Market: An Empirical Investigation, Jamilu Ilyasu, Ndayezhin D. Saba

CBN Journal of Applied Statistics (JAS)

This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence of a bubble in the NSE between 2010 and 2017. Though there is an indication of one explosive episode in September 2011 at which the DickeyFuller statistic lied above the critical values sequence line. However, it is not a bubble but a short deviation from trend. The study also estimates a time-varying long memory parameter, …

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