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Central Bank of Nigeria

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Full-Text Articles in Multivariate Analysis

Welfare Implication Of Alternative Tax Rates Adjustment Policy In Nigeria: A Dsge Analysis, Umar B. Ibrahim, Isah F. Abubakar Jun 2025

Welfare Implication Of Alternative Tax Rates Adjustment Policy In Nigeria: A Dsge Analysis, Umar B. Ibrahim, Isah F. Abubakar

CBN Journal of Applied Statistics (JAS)

This study sets out to determine the desirable policy adjustment in the tax rate for Nigeria that ensures the least welfare cost. A calibrated small open-economy New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model of the Nigerian economy is applied to achieve this objective. Within this framework, we examined the impact of an increase in value-added tax (VAT) rate from 7.5 to 15 percent on key macroeconomic variables relative to the impact of an increase in company income tax (CIT) rate from 30 to 35 percent on macroeconomic variables. Furthermore, we examined the welfare costs of the increases in the …

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Value Added Tax Rate Variation, Import Demand And Sectoral Output In Nigeria, Joshua K. Nomkuha, Aondoawase Asooso, Philip T. Abachi Jun 2024

Value Added Tax Rate Variation, Import Demand And Sectoral Output In Nigeria, Joshua K. Nomkuha, Aondoawase Asooso, Philip T. Abachi

CBN Journal of Applied Statistics (JAS)

This study employs computable general equilibrium (CGE) model to estimate the effect of increase in value added tax (VAT), from 5 per cent to 7.5 per cent, on import demand and sectoral output in Nigeria. The study uses 2020 as the base year for the data analysis. The results show that increase in VAT affects import demand negatively, based on import penetration ratios, with mixed effect across six sectors. The implication of the result is that the VAT policy discourage consumption of foreign products, and constitute excess burden to consumers of such products in Nigeria. The results further reveal that …

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Trade Liberalization, Non-Oil Export And Economic Growth In Nigeria, Jerome T. Andohol, Terhemen Tarzoor, Dennis T. Nomor Jun 2024

Trade Liberalization, Non-Oil Export And Economic Growth In Nigeria, Jerome T. Andohol, Terhemen Tarzoor, Dennis T. Nomor

CBN Journal of Applied Statistics (JAS)

The study examines the impact of trade liberalization and non-oil exports on economic growth in Nigeria from 1986 to 2021. The study utilizes an autoregressive distributed lag model and found the combined effect of trade liberalization and non-oil exports to be positive and statistical significant. While trade liberalization alone may have negative consequences, its synergy with a robust non-oil export can drive sustainable economic growth. The study recommends that strategies to enhance non-oil exports should be encouraged to support the effectiveness of trade liberalization in promoting growth.

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The Effectiveness Of Monetary Policy Transmission In Nigeria: Evidence From The Monetary Policy Rate And The Cash Reserve Ratio, Abdulrahman A. Nadani, Auwal Isah Jun 2024

The Effectiveness Of Monetary Policy Transmission In Nigeria: Evidence From The Monetary Policy Rate And The Cash Reserve Ratio, Abdulrahman A. Nadani, Auwal Isah

CBN Journal of Applied Statistics (JAS)

This paper investigates the effectiveness of the Monetary Policy Rate (MPR) and Cash Reserve Ratio (CRR) as policy instruments in Nigeria. A structural VAR model is employed to simulate two distinct models measuring shocks from the MPR and the CRR using monthly data from January 2006 to December 2023. Findings show that contractionary monetary policy impulses using MPR and the CRR contract output and credit to the private sector, inflation remains largely positive in the two models, known as the “price puzzle”, but the puzzle is more persistent in the MPR equation. Moreover, shock to MPR strongly influences short-term interest …

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Stock Market Volatility In The United Kingdom: Simulating Post-Covid-19 Recovery, Bala A. Dahiru, Mohammed Shuaibu, Najibullah Hassanov Jun 2024

Stock Market Volatility In The United Kingdom: Simulating Post-Covid-19 Recovery, Bala A. Dahiru, Mohammed Shuaibu, Najibullah Hassanov

CBN Journal of Applied Statistics (JAS)

This paper investigates the time it would take for the FTSE-100 index to reach its post-COVID-19 peak. The paper utilises an exponential generalised autoregressive conditional heteroscedasticity (EGARCH) model that accounts for leverage effect and asymmetries. The preferred models amongst competing variants was the Autoregressive Moving Average (ARMA)-EGARCH(2,1) specification and was used to predict daily FTSE-100 data from 5th January 2000 to 21st June 2024. The empirical exercise showed that the COVID-19-induced financial crisis negatively affected the United Kingdom’s stock market performance. The results show that the FTSE100 index could reach its post-pandemic peak around 27th August, 2024 (two months after …

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Modelling The Naira Exchange Rate Dependence Using Static And Time-Varying Copula, Kabir Katata Dec 2023

Modelling The Naira Exchange Rate Dependence Using Static And Time-Varying Copula, Kabir Katata

CBN Journal of Applied Statistics (JAS)

This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were utilised. We fitted eight constant and time-varying copula families using the exchange rate standardised residuals. The study finds that the Naira exchange rate may be estimated with student t-copula, Symmetrized Joe-Clayton (SJC), or Rotated Gumbel copula models and Autoregressive (AR)– Glosten Jagannathan RunkleGeneralized Autoregressive Conditional Heteroscedastic (GJR-GARCH) (1,1) models with skewed t residuals for margins. The Naira exchange rate returns is timevarying, tail-dependent, and asymmetric. …

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External Debt Pass-Through To Inflation In Nigeria, Emmanuel A. Asue, James V. Ikyaator Dec 2023

External Debt Pass-Through To Inflation In Nigeria, Emmanuel A. Asue, James V. Ikyaator

CBN Journal of Applied Statistics (JAS)

This study examines external debt pass-through to inflation in Nigeria using annual data from 1981 to 2020 based on structural vector autoregressive (SVAR) model. The results reveal that an increase in external debt service leads to a significant depreciation of the exchange rate, which leads to a contemporaneous increase in inflation, while the direct response of inflation to external debt is statistically not significant. The impulse response confirms these results. The forecast error variance decomposition depicts that future values of official exchange rate depend on external debt, inflation and external debt service. The study recommends that the Nigerian government should …

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Modelling The Impact Of Government Expenditure On Economic Growth In Nigeria: The Moderating Effects Of Oil And Non-Oil Revenue, Victor U. Ijirshar, Gaius M. Asombo, Florence D. Bundepuun, Ashifa Tersugh, Ayila Ngutsav Jun 2023

Modelling The Impact Of Government Expenditure On Economic Growth In Nigeria: The Moderating Effects Of Oil And Non-Oil Revenue, Victor U. Ijirshar, Gaius M. Asombo, Florence D. Bundepuun, Ashifa Tersugh, Ayila Ngutsav

CBN Journal of Applied Statistics (JAS)

This study examines the relationship between government expenditure and economic growth and assesses the moderating effects of oil revenue and non-oil revenue in Nigeria from 1981 to 2021. The study uncovered short-term asymmetry in the government expenditure-economic growth nexus while the long-term relationship was symmetric. The study found that government expenditure is a significant determinant of economic growth in Nigeria and that oil and non-oil revenue influences the nexus between government expenditure and economic growth in Nigeria positively. The study recommends efficient management of oil revenue, directing investments during high revenue periods and ensuring fiscal sustainability. Government should also establish …

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Improving The Efficiency Of Exponential Ratio-Type Estimator For Population Median: A Calibration Weight Adjustment Approach, Mathew J. Iseh, Kufre J. Bassey Jun 2023

Improving The Efficiency Of Exponential Ratio-Type Estimator For Population Median: A Calibration Weight Adjustment Approach, Mathew J. Iseh, Kufre J. Bassey

CBN Journal of Applied Statistics (JAS)

This paper modifies the Bahl and Tuteja exponential ratio-type estimator for population median under simple random and stratified sampling schemes using calibration weight adjustment technique with supplementary information to vary the stratum weights. The bias and mean square error of the modified estimator were obtained up to the second-order approximation, which satisfies the necessary conditions for efficiency. The findings show that the new estimator surpasses existing estimators in efficiency gain. This suggests the appropriateness of calibration weight modification in boosting the efficiency of a population parameter estimator under stratified random sampling especially where the population parameter of the auxiliary variable …

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Market Risk Factors And Stock Returns In The Nigerian Bourse, Omorose A. Ogiemudia, Osagie Osifo, Igbinovia L. Eghosa Dec 2022

Market Risk Factors And Stock Returns In The Nigerian Bourse, Omorose A. Ogiemudia, Osagie Osifo, Igbinovia L. Eghosa

CBN Journal of Applied Statistics (JAS)

This study examines the link between market risk and equity return in Nigeria between 1980 to 2019. It employs the vector error correction model (VECM) to determine the short run dynamics and long run effect of market risk factors on stock return. The findings revealed that a dynamic relationship exists between market risk factors and stock returns in Nigeria. Also, exchange rate risk and oil price risks have significant influence on stock return, while inflation and interest rate risk, and political instability risks have a non-significant impact on stock return. Finally, a unidirectional relationship was detected between interest rate, oil …

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Savings-Investment Gap In Sub-Saharan Africa: Does The Interaction Of Financial Sector Development And Migrant Remittances Matter?, Wasiu Adekunle, Oluwatosin Adeniyi, Joshua Afolabi, Musibau Babatunde, Edward Omiwale Dec 2022

Savings-Investment Gap In Sub-Saharan Africa: Does The Interaction Of Financial Sector Development And Migrant Remittances Matter?, Wasiu Adekunle, Oluwatosin Adeniyi, Joshua Afolabi, Musibau Babatunde, Edward Omiwale

CBN Journal of Applied Statistics (JAS)

This study analyses the interactive effects of migrant remittances and financial development on savings-investment gap for a panel of 18 Sub-Saharan Africa (SSA) countries from 1990-2017. Results from a panel ARDL model show that migrant remittances reduce savings-investment gap in the long run. The gap is further reduced when the individual effect of financial development, and the interactive effects of migrant remittances and financial development are taken into consideration. Further analysis reveals evidence of widening effects of rising real GDP growth and bank deposits over a long-term horizon, while higher private sector credit widened the savings-investment gap only in the …

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Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje Jun 2022

Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje

CBN Journal of Applied Statistics (JAS)

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term interest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive distributed lag (NARDL) and threshold regression models are adopted. The study uses monthly data from 2002:M1 to 2019:M12. The results of the threshold regression model indicate that the degree of the effect of MPR on SINT and LINT above the estimated threshold of 11 and 13 percent respectively is greater and significant than if MPR were to …

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Social Dimension Of Inclusive Growth In Ecowas: Implication For Poverty Reduction, Toriola K. Anu, Goerge O. Emmanuel, Ajayi O. Felix Jun 2022

Social Dimension Of Inclusive Growth In Ecowas: Implication For Poverty Reduction, Toriola K. Anu, Goerge O. Emmanuel, Ajayi O. Felix

CBN Journal of Applied Statistics (JAS)

This study investigates the implication of the social dimension of inclusive growth on poverty reduction in Economic Community of West African States (ECOWAS) countries. It specifically examines how social indices of inclusive growth comprising of income inequality, education, and health outcomes affect poverty reduction. The study uses a panel dataset of the six (6) lower-middle income countries in ECOWAS which was analysed via panel Difference Generalised Method of Moment (D-GMM). The results show that GDP per capita exerts significant negative effect on poverty while inequality, education and health outcomes do not show significant effect on poverty. Although, the estimates of …

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Effect Of Fdi Inflows On Employment Generation In Selected Ecowas Countries: Heterogeneous Panel Analysis, Timothy A. Aderemi, Olawunmi Omitogun, Bukonla G. Osisanwo Jun 2022

Effect Of Fdi Inflows On Employment Generation In Selected Ecowas Countries: Heterogeneous Panel Analysis, Timothy A. Aderemi, Olawunmi Omitogun, Bukonla G. Osisanwo

CBN Journal of Applied Statistics (JAS)

The aim of this study is to examine the effect of FDI on employment in ECOWAS sub region between 1990 and 2019. The study utilizes a panel autoregressive distributed lag model to analyse the short run and long run relationship between FDI and employment across ECOWAS sub region. In the short run, the impact of FDI on employment is negative and statistically not significant. Meanwhile, in the long run FDI has a positive and statistically significant impact on employment rate. This implies that FDI has the capacity to generate employment in countries in ECOWAS sub region. Therefore, this study recommends …

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Impact Of Covid-19 Pandemic On The Nigeria Stock Market: A Sectoral Stock Prices Analysis, Peter A. Adekunle, Yakubu A. Bello, Udochukwu G. Nwachukwu Jun 2022

Impact Of Covid-19 Pandemic On The Nigeria Stock Market: A Sectoral Stock Prices Analysis, Peter A. Adekunle, Yakubu A. Bello, Udochukwu G. Nwachukwu

CBN Journal of Applied Statistics (JAS)

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on the stock market indices in the short run. Furthermore, the study documents negative response of sectoral stock prices to the pandemic while the stock prices of the banking sub-sector are the worst hit. Compared to the consumer goods, and industrial subsector indices, the speed of adjustment to long run equilibrium is faster for …

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Short-Term Inflation Forecasting Models For Nigeria, Sani I. Doguwa, Sarah O. Alade Dec 2013

Short-Term Inflation Forecasting Models For Nigeria, Sani I. Doguwa, Sarah O. Alade

CBN Journal of Applied Statistics (JAS)

Short-term inflation forecasting is an essential component of the monetary policy projections at the Central Bank of Nigeria. This paper proposes four short-term headline inflation forecasting models using the SARIMA and SARIMAX processes and compares their performance using the pseudo-out-of-sample forecasting procedure over July 2011 to September 2013. According to the results the best forecasting performance is demonstrated by the model based on the all items CPI estimated using the SARIMAX model. This model is, therefore, recommended for use in short-term forecasting of headline inflation in Nigeria. The forecasting performance up to eight months ahead, of the models based on …

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An Efficient Two Sample Capture-Recapture Model With High Recaptures, Danjuma Jibasen, Yusuf J. Adams Dec 2013

An Efficient Two Sample Capture-Recapture Model With High Recaptures, Danjuma Jibasen, Yusuf J. Adams

CBN Journal of Applied Statistics (JAS)

This paper proposed an efficient two sample capture-recapture model (Ma) with high recaptures and compared it with the existing models like the model of no factor effect (Mo), behavioral response model (Mb) and the Petersen model (Ms), using simulated data. We found that the Petersen model provides a better estimate of the population size when the observations follow a hypergeometric distribution and the population is overestimated when recapture is high. It was also found that the proposed model provides a better estimator of the population size than the existing ones when the recapture is high. This model is particularly useful …

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Causal Relationship Between Stock Market Index And Exchange Rate: Evidence From Nigeria, Abdulrasheed Zubair Dec 2013

Causal Relationship Between Stock Market Index And Exchange Rate: Evidence From Nigeria, Abdulrasheed Zubair

CBN Journal of Applied Statistics (JAS)

This paper uses Johansen’s cointegration to test for the possibility of cointegration and Granger-causality to estimate the causal relationship between stock market index and monetary indicators (exchange rate and M2) before and during the global financial crisis for Nigeria, using monthly data for the period 2001–2011. Results suggest absence of long-run relationship before and during the crisis. The Granger-causality tests show a uni-directional causality running from M2 to ASI before the crisis while during the period of the crisis there is absence of causality between the variables. This suggests that ASI show responsiveness to M2. Thus, absence of the direct …

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Investigating Chaos In The Nigerian Asset And Resource Management (Arm) Discovery Fund, Ibiyinka A. Fuwape, Samuel T. Ogunjo Dec 2013

Investigating Chaos In The Nigerian Asset And Resource Management (Arm) Discovery Fund, Ibiyinka A. Fuwape, Samuel T. Ogunjo

CBN Journal of Applied Statistics (JAS)

This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay time was quantified using mutual information function and the embedding dimension by the false nearest neighbours, where the values were identified to be 15 and 20 respectively. The presence of chaotic signals in the ARM data was further confirmed by the correlation dimension method which yielded a dimension of 2.2 …

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Modeling The Nigerian Inflation Rates Using Periodogram And Fourier Series Analysis, Chukwuemeka O. Omekara,, Emmanuel J. Ekpenyong, Micheal P. Ekerete Dec 2013

Modeling The Nigerian Inflation Rates Using Periodogram And Fourier Series Analysis, Chukwuemeka O. Omekara,, Emmanuel J. Ekpenyong, Micheal P. Ekerete

CBN Journal of Applied Statistics (JAS)

This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation rates in Nigeria from 2003 to 2011. The main objectives are to identify inflation cycles, fit a suitable model to the data and make forecasts of future values. To achieve these objectives, monthly all-items inflation rates for the period were obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze the data. Based on the analysis, it was found that inflation cycle within the period was fifty one (51) months, which coincides with the …

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Nigerian Stock Index: A Search For Optimal Garch Model Using High Frequency Data, Olaoluwa Simon Yaya Dec 2013

Nigerian Stock Index: A Search For Optimal Garch Model Using High Frequency Data, Olaoluwa Simon Yaya

CBN Journal of Applied Statistics (JAS)

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally integrated types are also considered to capture the possibility of return series having property of long range dependency. The parameter estimations are carried out on the assumptions of normality and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions respectively. Under normality assumption, Hyperbolic GARCH (HYGARCH(1,d,1)) model is selected and Integrated GARCH (IGARCH(1,1)) …

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Time Series Modeling Of Nigeria External Reserves, Iheanyichukwu S. Iwueze, Eleazar C. Nwogu, Valentine U. Nlebedim Dec 2013

Time Series Modeling Of Nigeria External Reserves, Iheanyichukwu S. Iwueze, Eleazar C. Nwogu, Valentine U. Nlebedim

CBN Journal of Applied Statistics (JAS)

This paper discusses the levels and trend of external reserves in Nigeria. The relevance of this lies in the fact that it could help to monitor the reserves and throw early warning signal about any economic crisis. Monthly data on Nigeria external reserves for the period January 1999 to December, 2008 derived from the 2008 CBN Statistical Bulletin was analyzed using ARIMA model. Results of the analyses show that (i) the data requires logarithmic transformation to stabilize the variance and make the distribution normal (ii) the appropriate model that best describes the pattern in the transformed data is the Autoregressive- …

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A Markov Decision Process Approach To Optimal Control Of A Multi-Level Hierarchical Manpower System, Akaninyene U. Udom Dec 2013

A Markov Decision Process Approach To Optimal Control Of A Multi-Level Hierarchical Manpower System, Akaninyene U. Udom

CBN Journal of Applied Statistics (JAS)

A recurrent problem in manpower control is how to attain the desired structural configuration in an optimal way, since it is possible to reach a desired structural configuration using different control inputs. The major aim of this paper is to develop a Markov Decision Process for optimal control of a Multi-level Hierarchical Manpower System (MHMS) by promotion and interdepartmental transfers. This is examined under control by intervention and contraction cost Markov Decision Process.

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Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009), Anthony O. Onoja, M. E. Onu, S. Ajodo-Ohiemi Dec 2011

Contributions Of Financial Sector Reforms And Credit Supply To Nigerian Agricultural Sector (1978-2009), Anthony O. Onoja, M. E. Onu, S. Ajodo-Ohiemi

CBN Journal of Applied Statistics (JAS)

This study analyzed the trends and pattern of institutional credit supply to agriculture during pre- and post-financial reforms along with their determinants. It then compared the effects of reform policies on access to institutional credits in Nigerian agricultural sector before and after the reforms (1978 - 1985; and 1986 -2009). Relying mainly on time series data from CBN and NBS, it used ordinary least squares method (linear, semi-log and double log) to model the determinants of banking sector lending to the agricultural sector during the review period. The models were subjected to several econometric tests before accepting one. Chow test …

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Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach, David Irefin, Baba N. Yaaba Dec 2011

Determinants Of Foreign Reserves In Nigeria: An Autoregressive Distributed Lag Approach, David Irefin, Baba N. Yaaba

CBN Journal of Applied Statistics (JAS)

On global scale, central banks’ holdings of foreign reserves have escalated sharply in recent years. World international reserves holdings have risen significantly from US$1.2 trillion in 1995 to nearly US$10.0 trillion in June 2011. Dominant among these reserves are concentrated in the hands of few countries. Ten major holders of foreign reserves are mostly from Asia. Oil exporting countries in Africa and the Middle East are not left out in this trend. Nigeria’s foreign reserves rose from US$5.5 billion in 1999 to US$62.40 billion in July 2008, making Nigeria the twenty-fourth largest reserves holder in the world. This pace of …

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Effects Of Exchange Rate Movements On Economic Growth In Nigeria, Eme O. Akpan, Johnson A. Atan Dec 2011

Effects Of Exchange Rate Movements On Economic Growth In Nigeria, Eme O. Akpan, Johnson A. Atan

CBN Journal of Applied Statistics (JAS)

This study investigates the effect of exchange rate movements on real output growth in Nigeria. Based on quarterly series for the period 1986 to 2010, the paper examines the possible direct and indirect relationship between exchange rates and GDP growth. The relationship is derived in two ways using a simultaneous equations model within a fully specified (but small) macroeconomic model. A Generalised Method of Moments (GMM) technique was explored. The estimation results suggest that there is no evidence of a strong direct relationship between changes in exchange rate and output growth. Rather, Nigeria’s economic growth has been directly affected by …

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Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses, Babatunde Adeoye, Akinwande A. Atanda Dec 2011

Exchange Rate Volatility In Nigeria: Consistency, Persistency & Severity Analyses, Babatunde Adeoye, Akinwande A. Atanda

CBN Journal of Applied Statistics (JAS)

The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates all through different time horizons. On this basis, this study examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis-a-vis the United State dollar using monthly time series data from 1986 to 2008. The standard Purchasing Power Parity (PPP) model was used to analyze the long-run consistency of …

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Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis, F. Z. Abdullahi, S. Ladan, Haruna R. Bakari Dec 2011

Foreign Private Investment And Economic Growth In Nigeria: A Cointegrated Var And Granger Causality Analysis, F. Z. Abdullahi, S. Ladan, Haruna R. Bakari

CBN Journal of Applied Statistics (JAS)

This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of the impact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation. The study further investigates the causal relationship using the Granger causality analysis of VECM which indicates a uni-directional causality relationship between GDP and FDI …

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Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation, Aniekan O. Akpansung, Sikiru J. Babalola Dec 2011

Banking Sector Credit And Economic Growth In Nigeria: An Empirical Investigation, Aniekan O. Akpansung, Sikiru J. Babalola

CBN Journal of Applied Statistics (JAS)

The paper examines the relationship between banking sector credit and economic growth in Nigeria over the period 1970-2008. The causal links between the pairs of variables of interest were established using Granger causality test while a Two-Stage Least Squares (TSLS) estimation technique was used for the regression models. The results of Granger causality test show evidence of unidirectional causal relationship from GDP to private sector credit (PSC) and from industrial production index (IND) to GDP. Estimated regression models indicate that private sector credit impacts positively on economic growth over the period of coverage in this study. However, lending (interest) rate …

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