Economics Commons^™

Nonlinear Adjustments Between Exchange Rates And External Reserves In Nigeria: A Threshold Cointegration Analysis, Isaiah O. Ajibola, Ubong S. Udoette, Babatunde S. Omotosho, Rabia A. Muhammad

CBN Journal of Applied Statistics (JAS)

This study investigates the long run relationship between exchange rate and external reserves in Nigeria during 1990Q1 – 2012Q4. We confirm the existence of threshold cointegration between the variables in Nigeria, as against linear cointegration. Consequently, a two-regime threshold vector error correction model (TVECM) is estimated via maximum likelihood procedure. Model results indicate that cointegration between the variables occurs only when the equilibrium error exceeds an estimated threshold parameter of 0.52. Having partitioned the TVECM into two regimes based on the obtained threshold, we find that the error correction coefficients of the exchange rate in the two regimes are not …

Investigating The Dynamics Of Bank Credit In Nigeria: The Role Of Bank Consolidation, Olorunsola E. Olowofeso, Abiodun S. Bada, Adeyemi A. Adeboye, Valli T. Adejo, Kufre J. Bassey, Kumafan S. Dzaan

CBN Journal of Applied Statistics (JAS)

This paper examines the dynamics of deposit money banks (DMB) credit and the role of consolidation in credit growth in Nigeria using vector error correction model and Granger causality test. The empirical investigation involved DMBs that have maintained a unique name and some market characteristics before and after the 2004 banking sector consolidation. Using quarterly data from 1999Q1 – 2013Q2 of the selected DMBs, the results show a positive relationship between post-consolidation credit supply growth and the real gross domestic product. The results also show that despite the onesided positive causality from credit supply to economic growth, the total contribution …

Is Real Exchange Rate Misalignment A Leading Indicator Of Currency Crises In Nigeria?, Babatunde S. Omotosho

CBN Journal of Applied Statistics (JAS)

This paper constructs an early warning system for currency crises in Nigeria based on selected key macroeconomic indicators. It estimates the probabilities of currency crises as a logistic function of the included variables within the framework of a logit model. Particularly, the extent to which real exchange rate misalignment (RERMIS) could be used as a leading indicator of currency crisis is investigated by including its lag in the model. Our findings show that the likelihood of currency crisis increases when the real exchange rate is misaligned; the exchange rate is volatile; oil price declines; debt/GDP ratio increases; and the current …

Moving Average Stratification Algorithm For Strata Boundary Determination In Skewed Populations, Akeem O. Kareem, Isaac O. Oshungade, Gafar M. Oyeyemi, Adebowale O. Adejumo

CBN Journal of Applied Statistics (JAS)

Moving Average Stratification (MAS) is a new competing and simple algorithm for strata boundary determination in Stratified Sampling. It eliminates arbitrary choice of class interval associated with cumulative square root of frequency method (Dalenius and Hodges Rule (DHR) 1959) and the inherent geometric gaps created within strata by Geometric Stratification (GMS) of Gunning & Horgan (2004). It competes favorably well with DHR and GMS in terms of its precision, simplicity and speeds and therefore recommended for use in strata boundaries determination especially in skewed populations.

Dollarization, Inflation And Interest Rate In Nigeria, David O. Olayungbo, Kehinde T. Ajuwon

CBN Journal of Applied Statistics (JAS)

This paper investigates the relationship among dollarization, inflation and interest rate in Nigeria for the period 1986-2015Q1. It adopts inter-temporal model of money-in-utility (MIU) with an estimation technique of structural vector autoregression (SVAR). Empirical evidence shows that dollarization index has been on the increase in Nigeria since 1994, despite stable and low inflation and interest rate. Results of the cointegration show long run equilibrium among dollarization, inflation and interest rate. The Granger causality test reveals that there is a unidirectional relationship from dollarization to inflation in Nigeria. This suggests that policies that aim to reduce inflation in Nigeria must include …

Estimating Bull And Bear Betas For The Nigerian Stock Market Using Logistic Smooth Threshold Model, Mohammed T. Tumala, Olaoluwa S. Yaya

CBN Journal of Applied Statistics (JAS)

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall sampled daily time series from 2001 to 2012 using the conditional nonlinear least squares approach. We also estimate the model for each of the All share Index (ASI) sub-samples taking the time of financial crisis (February 2008) as the break point. The results show the significant correlations of stocks returns in each market …

Consumer Confidence Indicators And Economic Fluctuations In Nigeria, Adamu Ibrahim, Sani Bawa, Ismaila S. Abdullahi, Chizoba E. Didigu, Sani S. Mainasara

CBN Journal of Applied Statistics (JAS)

Consumer confidence indicators(CCI) serve as a veritable tool for providing useful information to policy makers, forecasters and the general public. Recent studies indicated the possibility of a slowdown in output, resulting from the pessimism of consumers in their expectations about the general state of the economy, even if their pessimism were not based on economic fundamentals. This study evaluated the predictive ability of the CCI in forecasting economic fluctuations in Nigeria. The study applied the Granger Causality tests, impulse response functions and forecast error variance decomposition to assess if CCI granger causes output growth as well as ascertain the magnitude …

Do Survey-Based Expectations Mimic Inflation In Nigeria?, Ibrahim Adamu

CBN Journal of Applied Statistics (JAS)

Survey-based expectations are mostly used by monetary authorities for inflation forecasts and evaluation of the credibility of their inflation fighting policies. It is also an important link in the monetary policy transmission mechanism. This study examined the predictive ability of business expectations survey (BES) inflation index on movements of inflation as well as the relationship between BES indicators and selected macroeconomic indicators in Nigeria. The study employed the modified Kaminsky-Reinhart (KLR) Signal Approach, correlation and trend analyses. The results of the modified KLR approach showed that BES inflation index predicts inflation rate only between 5 to 20 per cent threshold, …

Destination Sectors And Originating Economies Of Nigeria’S Private Foreign Assets And Liabilities In 2013, Ajibola I. Olufemi, Babatunde S. Omotosho

CBN Journal of Applied Statistics (JAS)

The survey of foreign assets and liabilities of enterprises in Nigeria was conducted in 2014 to determine the 2013 stock of foreign assets/liabilities of Nigerian enterprises, as well as receiving sectors and origination/destination regions. The survey collected relevant information from 740 enterprises, and analysis of survey returns indicated that the total private foreign liabilities as at end-2013 was N12, 639.27 billion up by 5.08 per cent above its level in 2012. Of this total, 96.7 per cent was in the form of foreign direct investments, while foreign portfolio investments and other capital flows accounted for 0.4 and 2.9 per cent, …

Technical Notes On Balance Of Payments Compilation And Analysis: The Case Of Nigeria, Ubong S. Udoette

CBN Journal of Applied Statistics (JAS)

This paper discusses some technical issues in Balance of Payment compilation and analysis. It summarized major components of the BOP statistics, the various account balances as well as the interrelationship between them and other macroeconomic aggregates. It goes further to discuss data related issues in the compilation of Nigeria’s BOP statistics with the aim of providing better insight to future/new compilers, policy and other economic analysts.

Incidence And Salience Of Alcohol Taxes: Do Consumers Overreact?, Andrew R. Hanson, Ryan Sullivan

Economics Faculty Research and Publications

We use a unique, geocoded micro data set of retail prices to estimate the incidence of alcohol taxation. We estimate the pass-through of alcohol taxation employing both standard ordinary least squares (OLS) and a regression discontinuity design (RDD), using the abrupt change in excise tax occurring at state borders for identification. Our results show that sales and excise taxes on alcohol have different effects on final consumer price. Our estimates suggest that while 40 percent to 50 percent of sales taxes are passed on to consumers, excise taxes have a negative pass-through rate. Negative rates of pass-through on the excise …

The Invisible Hand Of Short Selling: Does Short Selling Discipline Earnings Management?, Massimo Massa, Bohui Zhang, Hong Zhang

Research Collection Lee Kong Chian School Of Business

We hypothesize that short selling has a disciplining role vis-a-vis firm managers that forces them to reduce earnings management. Using firm-level short-selling data for thirty-three countries collected over a sample period from 2002 to 2009, we document a significantly negative relationship between the threat of short selling and earnings management. Tests based on instrumental variable and exogenous regulatory experiments offer evidence of a causal link between short selling and earnings management. Our findings suggest that short selling functions as an external governance mechanism to discipline managers.

Public Goods With Punishment & Payment For Relative Rank, Terence C. Burnham

ESI Working Papers

A laboratory experiment designed to investigate the role of relative performance-based payoffs on cooperation in the context of punishment. Subjects play a repeated public goods game with high-powered punishment (50:1) and additional payoffs based on relative performance. Contributions to the public good are nearly maximal. Punishment levels are substantial, higher than the same game without relative rank payoffs, and sufficiently high that total payoffs are negative. The group would make much more money in the same setting without punishment. This study contributes to investigation of the role of altruism in human cooperation.

Herbicide Resistance: Challenges For Farmers And Implications For The Environment, George Frisvold, David E. Ervin

Economics Faculty Publications and Presentations

Genetically modified, herbicide resistant (HR) crops offer not only improved weed control, but also the potential to reduce soil erosion and fossil fuel use and to allow substitution toward less toxic or persistent herbicides. The widespread adoption of HR crops, however, has reduced the diversity of weed control tactics and increased ecological selection pressure for weeds resistant to dominant herbicides. This has led to a dramatic rise of HR weeds in many cropping systems. Resistant weeds threaten the sustainability of HR crops, pose environmental risks from alternative weed control practices, are altering public and private R&D programs, and necessitate new …

Three Essays On Capital Regulations And Shadow Banking, Diny Ghuzini

Dissertations

The shadow banking sector is a sector that is comprised of financial intermediaries that do not have access to central bank funds and performs their activities outside the regular banking system. This sector had been rapidly growing in most developed economies. This dissertation focuses on the behavioral difference and interaction of the traditional and shadow banking sectors as displayed by the relative asset position of both sectors, their risk-taking positions, and their business-cycles properties.

The first essay examines the impact of minimum capital requirements on the share of shadow to total banking assets. Previous literature has argued that increased regulation …

Grandchild Care, Intergenerational Transfers, And Grandparents’ Labor Supply, Christine Ho

Research Collection School Of Economics

One-fifth of children aged below five with employed mothers benefit from grandparent provided child care as their main source of daycare in the US. Using data from the health and retirement study, we investigate how grandchild care needs relate to intergenerational transfers of time and money and grandparents’ labor supply behavior. We find that grandparents with a new born grandchild are more likely to provide grandchild care while married grandparents are also more likely to be employed and provide financial help. Grandparents with grandchildren living close by provided higher time transfers while married grandmothers with resident grandchildren also worked longer …

Export-Learning And Fdi With Heterogeneous Firms, Amanda Jakobsson

Research Collection School Of Economics

I present a dynamic general equilibrium model with heterogeneous firms that can innovate, learn how to export and then go on to become multinational firms. Entering the foreign market is a dynamic process where firms first learn how to export and then can learn how to adapt production to a low-wage location (multinational production). I solve the model numerically and, starting from a 1990 benchmark of US and Mexico, study how policy changes such as stronger patent protection and trade liberalization affect innovation, technology transfer and consumer welfare. In particular, I disentangle how labor resources are reallocated within regions in …

Memorial To Edmond Malinvaud, Peter C. B. Phillips

Research Collection School Of Economics

A great man, a wide-ranging thinker and writer, a pre-eminent researcher, andan inspiring educator passed away on 7 March 2015, leaving the world of economicsso much the poorer and narrower. Edmond Malinvaud was a giant amongmany giants in the subject and one who strode uniquely and comfortably acrossthe entire discipline like an academic colossus

Halbert White Jr. Memorial Jfec Lecture: Pitfalls And Possibilities In Predictive Regression, Peter C. B. Phillips

Research Collection School Of Economics

Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short-run martingale behavior for financial assets with predictable long-run behavior, leaving much of the research to be empirically driven. The present article overviews recent contributions to this subject, focusing on the main pitfalls in conducting predictive regression and on some of the possibilities offered by modern econometric methods. The latter options include indirect inference and techniques of endogenous instrumentation that use convenient temporal transforms of persistent regressors. Some additional suggestions are made for bias elimination, quantile crossing amelioration, and control of predictive model misspecification.

Automated Estimation Of Vector Error Correction Models, Zhipeng Liao, Peter C. B. Phillips

Research Collection School Of Economics

Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that …

The Consequences Of Plan Colombia: Domestic Drug Policies In Colombia, Brittany T. Reid

Standard Theses

None

Moving The Needle: How Transparency Could Lower Costs And Improve Quality In United States Hospitals, Anna "Nina" Russell

Harvey M. Applebaum ’59 Award

This thesis shows the limitations of price and quality information for improving the value of healthcare delivery in the United States. First, in four survey experiments to determine the impact of information on decision-making, consumers were more likely to choose the lower cost or higher quality option when relevant information was presented in straightforward ways with a minimized risk of information overload (n = 224, t = -3.7065, p = 0.0002). Second, hospitals on the U.S. News Best Hospital list between 2008 and 2011 were shown to be significantly more likely to be found in wealthy, highly populated areas, while …

Dr. Ishrat Hussain - Ceo Summit Speech, Ishrat Husain Dr.

Faculty Research - Newspaper and Magazine Articles

Extracted from a speech delivered at CEO Summit Asia 2014, the piece discusses thought leadership in the knowledge economy, urging Pakistan to celebrate successes rather than dwell on negativity. The speaker highlights the value of investment in skills, science and technology, citing South Korea's transformation through such investment. He also stresses the need for stronger governance structures and greater collaboration among Pakistani professionals and institutions.

2014 Nonresident Visitation, Expenditures, And Economic Impact Estimates: Estimates By Full Year, Quarters, Trip Purposes, And International Visitors., Kara Grau

Institute for Tourism and Recreation Research Publications

A collection of 2014 full year and quarterly estimates of nonresident visitation, expenditures by nonresident travelers, and economic impact estimates, including expenditures by purpose of trip, airport of arrival, and international visitors.

Is All Foreign Aid The Same? : An Empirical Comparison Of The Effect Of Multilateral And Bilateral Aid On Growth, Scott B. Jeffrey

Undergraduate Economic Review

Despite decades of research on foreign aid, there is little to no consensus on foreign aid’s effect on growth. While most in the field study recipient country characteristics, such as institutional quality, this paper also breaks down foreign aid by donor characteristics, specifically by bilateral and multilateral donors. Since about 75% of foreign aid is bilateral, my bilateral findings are in line with previous literature that finds high institutional quality key (Burnside and Dollar 2000; 2004), but I find that multilateral aid works best in low-income countries with poor policy environments, due, perhaps, to lacking political goals of donor countries.

Three Essays On Income And Wealth Inequality, Damir Cosic

Dissertations, Theses, and Capstone Projects

This dissertation consists of three essays on income and wealth inequality. The essays examine various aspects of this complex feature of the economic system.

The first essay shows that the distribution of firm sizes in an economy is an important determinant of wage distribution. I use data from the U.S. Current Population Survey and the ExecuComp between 1992 and 2012 to construct a new dataset and estimate wage distribution and various measures of wage inequality. I decompose differences in wage inequality across firm sizes and over time by using semi-parametric methods. In 1992, wages were distributed more unequally in small …

The Impact Of Technology On Consumerism, David Naranjo

Dissertations, Theses, and Capstone Projects

E-commerce is shifting the way people purchase their goods and services and affecting the relationship between technology and society. Consequently, traditional retailers, aware of the inevitable change, have developed strategies to keep up with the continuously evolving marketplace. These strategies vary from creating virtual stores (i.e., websites) and developing digital social networks to data mining and spamming.

Therefore, from a historical point of view, this thesis will analyze the impact of technology on commerce and how the creation of new virtual marketplaces had affected consumers' behavior. This thesis will explore the origins of e-commerce, the technologies that made possible its …

Essays On The Economics And Methodology Of Social Mobility, Benjamin Zweig

Dissertations, Theses, and Capstone Projects

This dissertation consists of three essays which aim to extend the methodology and analysis of the study of social mobility. In the first essay, differences in intergenerational mobility across race and across the parent's earnings distribution are explored through a nonparametric framework. Components of mobility are differentiated and analyzed separately in order to get a comprehensive account of heterogeneities in mobility. Several important differences are found including higher expected mobility for white households, higher idiosyncratic mobility for black households, larger disparities in expected mobility at the high end of the earnings distribution, and much higher rates of overall intergenerational persistence …

A Close Look At The Relationship Between Poverty And Political Violence In Nepal, Lauren C. Griffin

Global Tides

Today, one quarter of Nepal’s population of 27 million lives on a daily income of less than two dollars (Sharma 8). Villages are deprived of an ample water supply, and some areas still lie in ruins from the aftermath of the Maoist insurgency. This paper will seek to understand the role of poverty in the historically and presently unfolding political environment of Nepal. Several factors show direct correlation between poverty and insurgent activity, such as land ownership, level of education and socio-economic standing. Nepal has had a volatile and bloody past in the midst of medieval dynasties, an authoritative monarchy …

Negative Externalities, Network Effects, And Compatibility, Matthew G. Nagler

Publications and Research

Positive network effects arise where incremental product use increases the utility of users of compatible products (user-positive effects), but also in situations where product use imposes negative externalities that selectively affect the adopters of incompatible alternatives (nonuser-negative effects). This paper compares the social optimality of firms’ incentives for compatibility under these two regimes. Using a “location” model of differentiated products, I find that, under both regimes, incentives for unilateral action to increase compatibility tend to be suboptimal when firms’ networks are close in size, but they may be excessive for small firms when networks differ greatly in size. The result …