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Full-Text Articles in Econometrics
A Dynamic Stochastic General Equilibrium (Dsge) Model Of Exchange Rate Pass-Through To Domestic Prices In Nigeria, M. A. Adebiyi Dr, C. N. Mordi Dr
A Dynamic Stochastic General Equilibrium (Dsge) Model Of Exchange Rate Pass-Through To Domestic Prices In Nigeria, M. A. Adebiyi Dr, C. N. Mordi Dr
CBN Occasional Papers
This paper employed a Bayesian framework of DSGE model to estimate the pass-through effect of exchange rate to domestic inflation in Nigeria, using quarterly data for the period 1990 to 2011. The response of inflation rate to exchange rate shocks was found to be positive and statistically significant in the short-run. The pass-through was small and incomplete with almost zero in quarter 1 (0.09), rose to 0.18 in quarter 2 and declined to 0.07 and 0.01 in quarters 3 and 4, respectively. These findings were lower than those obtained elsewhere by other authors. The low pass-through reported in this study …
Estimating A Small-Scale Macroeconometric Model (Ssmm) For Nigeria: A Dynamic Stochastic General Equilibrium (Dsge) Approach, Charlse N.O Mordi, Michael A. Adebiyi
Estimating A Small-Scale Macroeconometric Model (Ssmm) For Nigeria: A Dynamic Stochastic General Equilibrium (Dsge) Approach, Charlse N.O Mordi, Michael A. Adebiyi
CBN Occasional Papers
This paper attempts to develop a small scale macroeconometric model for the Nigerian economy using dynamic stochastic general equilibrium (DSGE) methodology. Particular attention is paid to using impulse responses to explain the dynamic properties of the model. This model incorporates expectation as an anchor in the forward-looking monetary policy objective of the Central Bank of Nigeria (CBN). It captures most of the channels through which policymakers believe monetary policy can influence a small open economy with a managed floating exchange rate. The model was taken to the data by means of Bayesian estimation with the following major findings. First, although …