Econometrics Commons^™

Effects Of Bureaucratic Corruption On Firms' Financial Constraints, Obinna Franklin Ezeibekwe

The Journal of Entrepreneurial Finance

This study provides the first empirical assessment of the causal impact of bureaucratic corruption on firms' financial constraints in Nigeria by calculating treatment effects using linear and non-linear estimators to account for potential heterogeneous treatment effects across firm groups. Formally, the theoretical framework models how corruption may facilitate or restrain firms' financial access by shaping their cost functions, which consequently influences their success or failure and ability to raise the collateral for borrowing. My analysis, using the bivariate probit method and two binary instruments, reveals that corruption significantly increases the probability of a representative MSME and firm being financially constrained …

Impact Of Covid-19 Pandemic On Performance Of Nigerian Stock Market, Shafiu Ibrahim Abdullahi

CBN Journal of Applied Statistics (JAS)

This study analyzes the effect of COVID-19 pandemic on the performance of Nigerian stock market. The study uses a number of models that include autoregressive distributed lag, vector auto regression, exponential generalized autoregressive conditional heteroskedasticity and multivariate generalized autoregressive conditional heteroskedasticity models. Findings show that reported cases of COVID-19 have causal effect on daily returns of the Nigerian stock market. The results also show that Nigerian stocks are good for portfolio diversification. The results of variance decomposition confirm the declining importance of COVID-19 cases and deaths as the pandemic slows down. Further results show that, for the duration of the …

Three Essays On Externalities Of Energy And Agricultural Production, Taiwo Foluso Akinyemi

Graduate Theses, Dissertations, and Problem Reports (ETD)

This dissertation consists of three essays exploring the externalities that arise from energy production and development in a developing country, Nigeria, and agricultural production in a developed nation, the United States (US). The research examines the benefits of energy development in terms of its impact on local wealth and the associated costs, including the health effects on communities living near energy production sites. Additionally, the dissertation analyzes the opportunity costs of policies aimed at preventing the relocation of nutrients, particularly nitrogen fertilizers, within the agricultural sector and their impact on the producer and consumer surplus.

The first essay examines the …

Modeling And Forecasting Inflation Rate In Nigeria: A Comparison Of Regression With Arima Errors And Arima Method, Barthelomew I. Ugwuanyi

Bullion

The paper aimed to determine the most appropriate method for forecasting inflation rate in Nigeria between Regression with Autoregressive Integrated Moving Average (ARIMA) errors and Autoregressive Integrated Moving Average (ARIMA) method. This study uses annual data for the period 1990-2021 from World Bank. One response variable and three predictor variables are adopted. The best ARIMA method was selected from the competing ARIMA methods using Akaike Information Criterion Corrected (AICC), while the root mean squared error (RMSE) and mean absolute percentage error (MAPE) are used to select the best forecast method between the two methods of interest. The result of this …

Assessment Of Fuel Prices As Determinants Of Inflation In Nigeria: A Vecm Approach, Adekunle B. Alexander Dr., Pelumi A. Abdulmalik

Bullion

This study examines the effect of petroleum price on the direction of inflation in Nigeria - whether or not movement in prices of other goods and services responds to increase in pump price of premium motor spirit (PMS) otherwise known as petrol in Nigeria. The study employs the Vector Error Correction Model (VECM) and Granger causality tests to estimate the long-run relationship between petro! price and inflation as well as direction of causality for the 1991- 2021 period. Data for the study were sourced from the National Bureau of Statistics (NBS) and World Bank data indicators covering inflation, pump-price of …

Estimation Of Disaggregated Import Demand Functions For Nigeria, Chekwube V. Madichie, Uche C. Nwogwugwu, Franklin N. Ngwu, Olisaemeka D. Mauka

CBN Journal of Applied Statistics (JAS)

This paper estimates disaggregated import demand function for Nigeria using annual data from 1970 to 2019. The study employs the Zivot-Andrews unit root and Gregory-Hansen cointegration tests to account for the role of structural breaks and the error correction mechanism for shortrun analysis, respectively. The results show that household consumption, industrial output and domestic investment are the major determinants of import demand for consumer, intermediate and investment goods, respectively. Furthermore, the import demand for investment goods is not sensitive to variations in relative prices. However, relative prices is negative and significant to import demand for consumer and intermediate goods. Exchange …

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 …

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 …

External Sector Liberalization And Output Growth In Nigeria, Emmanuel A. Onwioduokit, Obong E. Effiong

Bullion

The paper investigates the impact of external sector liberalization (foreign direct investment, external debt stock, trade openness and exchange rate) on the output growth in Nigeria from the period 1981 to 2019, utilizing correlation analysis, Granger causality test and vector autoregression (VAR). The results indicate that foreign direct investment, external debt stock, trade openness and exchange rate all correlate positively with gross domestic product. Also, the granger causality test indicates that foreign direct investment, trade openness and exchange rate granger cause the output growth in Nigeria. From the VAR result foreign direct investment exerted positive and significant impact on the …

Relationship Between Volatility In Domestic Oil Production, Oil Price And Exchange Rate In Nigeria: Co-Integration And Granger Causality Tests, Bashir Umar Faruk

Bullion

The paper examines the relationship between volatility in domestic oil production, oil prices, and exchange rate in Nigeria. The study employs monthly time series data, from January 2006 to August 2018. Data for the Nigerian Bonny light oil prices (COP), Domestic Oil Production (DOP) and Exchange Rate (EXC) are obtained from the Central Bank of Nigeria (CBN) website. While, dummy variable (DUM) represents stability and instability in the Niger-Delta oil-rich region was traced from historic oil disruptions in the region. Autoregres s i ve Di s tributed Lag (ARDL)/bound testing method and pairwise granger causality were employed. Unit root test …

Macroeconomic Instability Index And Threshold For The Nigerian Economy, B. A. G. Amoo, J. K. Achua, N. P. Audu, B. Hamma

Economic and Financial Review

The paper employed statistical algorithms, factor analysis and threshold autoregressive models to address the gaps in management of macroeconomic instability in Nigeria. Using data spanning 2010q1 to 2017q2, the findings showed that the values of macroeconomic instability index (MII) fluctuated between 0.316 and 0.609, with a threshold of 0.461. This showed an inverse relationship between macroeconomic instability and economic growth. This framework could serve as a mechanism to gauge early warning signal of instability in Nigeria.

Evaluation Of Monetary, Fiscal And External Inflationary Sources In Nigeria, Samson A. Aladejare

Journal for the Advancement of Developing Economies

This study focuses on evaluating the monetary, fiscal and external inflationary sources in Nigeria. The Auto-Regressive Distributive Lag estimation technique was adapted to capture these effects. Empirical findings of the study showed that overall, the main determining cause of inflation in both short run and long run periods in Nigeria, are more of monetary and external factors and less of fiscal sources. Specifically, the problem of inflation in Nigeria appears to be more of structural phenomenon than monetary in the short run. However, in the long run, combinations of monetary and external factors tend to be the major cause of …

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 …

Gender Bias In Microlending: Do Opposites Attract?, Kanyinsola Adepoju

Master's Theses

This study exploits a quasi-random assignment of clients to loan officers using a unique database and survey from a large microfinance bank in Nigeria to show that opposite-sex preferences affect credit demand and supply. We find that clients matched to loan officers of the opposite gender are more likely to receive credit and are more likely to return for an additional loan with the credit lender.

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 …

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 …

Building Dynamic Stochastic General Equilibrium Models For Monetary Policy Analysis, Charles N. O. Mordi, Michael A. Adebiyi

Economic and Financial Review

Dynamic Stochastic General Equilibrium (DSGE) models are powerful tools that provide a coherent framework for policy discussion and analysis. In principle, they can help to identify sources of fluctuations, answer questions about structural changes, help to forecast and predict the effect of policy changes, and perform counterfactual experiments. Against this background, this paper aims at providing an insightful discussion on DSGE models by developing a simplified version of the models to explain the behavior of key macroeconomic variables in Nigeria namely: the growth rate of gross domestic product (GDP), headline inflation, exchange rate and the monetary policy rate. The estimated …

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 …

Banking Sector Reforms And Bank Consolidation: Conceptual Framework., Moses Ajayi

Bullion

Reforms are predicated upon the need for reorientation and repositioning of an existing status quo in order to attain an effective and efficient state The objective of this paper is, therefore, to present the conceptual framework for banking sector reforms. particularly, consolidation. The paper is divided into five sections. following the introduction, section ll conceptualizes the facets of reforms and conceptual issues on consolidation in the banking sector, while section ll discusses the critical success issues in banking sector consolidation. section IV presents concepts associated with country elements of banking elements of banking reforms, while section five concludes the paper. …

An Econometric Analysis Of The Determinants Of Investments By Insurance Companies In Nigeria, S. E. Omoruyi

Economic and Financial Review

The paper is divided into two parts. Part I discusses the concept of financial intermediation. Part II outlines the model of determinants of investments by the insurance industry and summarises the main findings and policy recommendations of the study.

Electricity Consumption In Nigeria: An Econometric Analysis, Sam Chuka Ljeh

Economic and Financial Review

The purpose of this study is to identify the variables that influence electricity consumption, specify the correct relationships between these variables and electricity consumption and provide statistical evidence of these relationships in Nigeria.