Estimation Of Disaggregated Import Demand Functions For Nigeria,
2022
Lagos Businss School, Pan Atlantic University, Lagos.
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 …
Size And Determinants Of The Shadow Economy In Nigeria: Evidence From A Monetary Approach,
2022
Central Bank of Nigeria
Size And Determinants Of The Shadow Economy In Nigeria: Evidence From A Monetary Approach, Tari M. Karimo, Mohammed M. Tumala, Ibrahim U, Wambai
CBN Journal of Applied Statistics (JAS)
Thiis study investigates the size and determinants of the shadow economy in Nigeria. It adopts an aggregation approach within the monetary framework and utilises the ARDL estimation technique to analyse quarterly data from 2010 Q1 to 2019 Q4. On average, the results suggest that the quarterly size of the shadow economy is about 55 per cent of the country’s GDP. The findings show that government size reduces the size of the shadow economy in the short run but increases it in the long run. The study also finds that interest rate, which is the opportunity cost of holding cash, and …
Fiscal And Monetary Policy Interactions In A Developing Economy: A Dsge-Based Evidence From Nigeria,
2022
Department of Economics and Development Studies, Covenant University, Nigeria.
Fiscal And Monetary Policy Interactions In A Developing Economy: A Dsge-Based Evidence From Nigeria, Queen E. Oye, Philip O. Alege
CBN Journal of Applied Statistics (JAS)
This study characterizes the nature of fiscal-monetary interaction in Nigeria and gauges its macroeconomic effects by estimating a New Keynesian Dynamic Stochastic General Equilibrium (NK DSGE) model. Two policy simulations were also conducted. The first experiment considers the desirable active-passive policy mix while the second experiment ranks alternative monetary policy rules among the differing objectives of price, output and exchange rate stabilization. The study finds that fiscal and monetary policies interact as complements in an active monetary and passive fiscal policy mix over the sample period. The result from the first policy simulation reveals that the active monetary and passive …
Market Risk Factors And Stock Returns In The Nigerian Bourse,
2022
Banking and Finance Department, Faculty of Management Sciences, University of Benin, Benin City, Nigeria
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 …
Savings-Investment Gap In Sub-Saharan Africa: Does The Interaction Of Financial Sector Development And Migrant Remittances Matter?,
2022
Department of Economics, Faculty of Economics and Management Sciences, University of Ibadan, Nigeria.
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 …
Impact Of Exchange Rate On Trade Flow In Nigeria,
2022
Benue State University, Makurdi
Impact Of Exchange Rate On Trade Flow In Nigeria, Victor U. Ijirshar, Isa J. Okpe, Jerome T. Andohol
CBN Journal of Applied Statistics (JAS)
This study examines the impact of exchange rate on trade flow in Nigeria from 1986 to 2021. The study utilises linear and nonlinear autoregressive distributed lag (ARDL and NARDL) models to test the J-Curve hypothesis and the Marshall-Lerner condition in Nigeria. The study found symmetric effects of exchange rate on trade balance, exports, and imports. The findings also show that real exchange rate depreciation has a strong negative influence on trade balance and exports in the short run but positive in the long run, exhibiting the shape typology of the J-curve. Furthermore, the study reveals evidence of the Marshall-Lerner condition …
Effects Of Central Bank Independence And Financial Stability On Inflation In Selected African Countries,
2022
Department of Business Management, Federal University Dutsin-Ma, P.M.B 5001, Dutsin-Ma, Katsina State.
Effects Of Central Bank Independence And Financial Stability On Inflation In Selected African Countries, Adamu Yahaya, Mohammed T. Saidu, Abdulaziz Sadi
CBN Journal of Applied Statistics (JAS)
This study examines the relationship between central bank independence (CBI), financial stability, and inflation in 14 African countries within the period 1985-2019. Initial test revealed the presence of cross-sectional dependence (CD) among the countries. Thus, the Mean Group (MG), Common Correlated Effect Mean Group (CCEMG) and Augmented Mean Group (AMG) were employed for the analysis. The CCEMG and AMG results showed a significant and negative correlation between central bank independence and inflation. On the other hand, financial stability is only significant in the MG Model. Additional results obtained using the Garriga CBI index is consistent with our main results. The …
Better-Than-Chance Prediction Of Cooperative Behaviour From First And Second Impressions,
2022
Chapman University
Better-Than-Chance Prediction Of Cooperative Behaviour From First And Second Impressions, Eric Schniter, Timothy W. Shields
ESI Working Papers
Could cooperation among strangers be facilitated by adaptations that use sparse information to accurately predict cooperative behaviour? We hypothesize that predictions are influenced by beliefs, descriptions, appearance, and behavioural history available for first and second impressions. We also hypothesize that predictions improve when more information is available. We conducted a two-part study. First, we recorded thin-slice videos of university students just before their choices in a repeated Prisoner’s Dilemma with matched partners. Second, a worldwide sample of raters evaluated each player using either videos, photos, only gender labels, or neither images nor labels. Raters guessed players’ first-round Prisoner’s Dilemma choices …
Contingent Payments In Procurement Interactions - Experimental Evidence,
2022
Newcastle University
Contingent Payments In Procurement Interactions - Experimental Evidence, Matthew J. Walker, Jason Shachat, Lijia Wei
ESI Working Papers
A primary objective of creating competition among suppliers is the procurement of higher quality goods and services at lower prices. When procuring non-standard goods, it is often difficult to write a complete specification of desired quality in the contract. Thus, payments to suppliers cannot be perfectly conditioned on the quality provided. We propose a correlated contingent payment contract to mitigate the supplier moral hazard problem while retaining competitive supplier selection based on price. We treat the probability of implementing contingent payments as probabilistic. The selected supplier’s payment is, according to a fixed probability, either the amount of their bid or …
Data Supplement To 'H. Keith Hunt On Consumer Behavior: Understanding His Contribution',
2022
University of North Dakota
Data Supplement To 'H. Keith Hunt On Consumer Behavior: Understanding His Contribution', Laura Egan, David Aron
Datasets
Includes the data, data collection procedures, and data notes for the bibliometric analysis components of "H. Keith Hunt on Consumer Behavior: Understanding His Contribution.” The study uses an ego-centered bibliometric analysis method developed by Howard White to examine the impact of H. Keith Hunt on the field of consumer behavior. Ego-centered analysis is based on social network analysis where the social network modes are the citation identity, citation image, citation image-makers, and co-authors of an author studied. The data files address each of these aspects and the top consumer behavior journals used for the citation image portion of the data …
Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise,
2022
Singapore Management University
Finite Sample Comparison Of Alternative Estimators For Fractional Gaussian Noise, Shuping Shi, Jun Yu, Chen Zhang
Research Collection School Of Economics
The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a fractional parameter H ∈ (0, 1). This paper first derives an analytical expression for the spectral density of fGn and investigates the accuracy of various approximation methods for the spectral density. Next, we conduct an extensive Monte Carlo study comparing the finite sample performance and computational cost of alternative estimation methods for H under the …
Litigation With Negative Expected Value Suits: An Experimental Analysis,
2022
Chapman University
Litigation With Negative Expected Value Suits: An Experimental Analysis, Cary Deck, Paul Pecorino, Michael Solomon
ESI Working Papers
The existence of lawsuits providing plaintiffs a negative expected value (NEV) at trial has important theoretical implications for signaling models of litigation. The signaling equilibrium possible absent NEV suits breaks down with NEV suits because plaintiffs do not have a credible threat to proceed to trial undermining the ability to signal type. Using a laboratory experiment, we analyze behavior with and without the possibility of NEV suits. Absent NEV suits, behavior largely follows predicted patterns. However, the possibility of NEV suits does not cause the signaling equilibrium to unravel and does not cause the dispute rate to increase. Plaintiffs only …
Robust Testing For Explosive Behavior With Strongly Dependent Errors,
2022
Dongbei University of Finance And Economics
Robust Testing For Explosive Behavior With Strongly Dependent Errors, Yiu Lim Lui, Peter C. B. Phillips, Jun Yu
Research Collection School Of Economics
A heteroskedasticity-autocorrelation robust (HAR) test statistic is proposed to test for the presence of explosive roots in financial or real asset prices when the equation errors are strongly dependent. Limit theory for the test statistic is developed and extended to heteroskedastic models. The new test has stable size properties unlike conventional test statistics that typically lead to size distortion and inconsistency in the presence of strongly dependent equation errors. The new procedure can be used to consistently time-stamp the origination and termination of an explosive episode under similar conditions of long memory errors. Simulations are conducted to assess the finite …
On The Optimal Forecast With The Fractional Brownian Motion,
2022
Singapore Management University
On The Optimal Forecast With The Fractional Brownian Motion, Xiaohu Wang, Chen Zhang, Jun Yu
Research Collection School Of Economics
This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a continuous record over the finite past is available. Alternative discretiza-tion schemes are proposed to approximate these formulae. These alternative discretization schemes are then compared with the conditional expectation of the target variable on the vector of the discrete and finite sample. It is shown that the conditional expectation delivers more accurate forecasts than the discretization-based …
Low-Rank Panel Quantile Regression: Estimation And Inference,
2022
Singapore Management University
Low-Rank Panel Quantile Regression: Estimation And Inference, Yiren Wang, Yichong Zhang, Yichong Zhang
Research Collection School Of Economics
In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm regularization followed by sample splitting, row- and column-wise quantile regressions and debiasing. We show that the estimators of the factors and factor loadings associated with the intercept and slope matrices are asymptotically normally distributed. In addition, we develop two specification tests: one for the null hypothesis that the slope coefficient is a constant over time and/or individuals under the case that true rank of slope …
Dynamic Return Relationships In The Market For Cryptocurrency: A Var Approach,
2022
James Madison University
Dynamic Return Relationships In The Market For Cryptocurrency: A Var Approach, Julian Gouffray
James Madison Undergraduate Research Journal (JMURJ)
This paper examines how the Bitcoin-altcoin return relationship has evolved in periods between 2015 and 2020. To understand this relation, we observe data on the cryptocurrency Bitcoin and prominent altcoins Ethereum, Litecoin, Ripple, Stellar, and Monero, which collectively represent over 90% of the market throughout the observed period. We employ a vector autoregressive model (VAR) to produce forecast error variance decompositions, orthogonal impulse response functions, and Granger-causality tests. We find evidence that Bitcoin return variation has increasingly explained altcoin returns and that market inefficiency increased between 2017 and 2020, as shown by increased Granger causality between Bitcoin and altcoins. These …
Inequality As A Barrier To Economic Integration? An Experiment,
2022
Chapman University
Inequality As A Barrier To Economic Integration? An Experiment, Gabriele Camera, Lukas Hohl, Rolf Weder
ESI Working Papers
International economic theory suggests that people should embrace economic integration because it promises large gains. But policy reversals such as Brexit indicate a desire for economic disintegration. Here we report results of an experiment of how size and cross-country distribution of gains from integration influence individuals’ inclination to cooperate to reap its intended benefits and to embrace or reject integration. The design considers an indefinitely repeated helping game with multiple equilibria and strategic uncertainty. The data reveal that inequality of potential gains neither affected behavior nor reduced support for economic integration. However, integration may lead to disappointing, unequally distributed welfare …
Information Aggregation With Heterogeneous Traders,
2022
Chapman University
Information Aggregation With Heterogeneous Traders, Cary Deck, Tae In Jun, Laura Razzolini, Tavoy Reid
ESI Working Papers
The efficient market hypothesis predicts that asset prices reflect all available information. A seminal experiment reported that contingent claim markets could yield market outcomes consistent with information aggregation when traders hold heterogeneous state-contingent values. However, a recent experiment found the rational expectation model outperformed the prior information and maxi-min models in contingent claim markets when traders hold homogeneous values despite the no trade equilibrium in that setting. But that same study failed to replicate the original result calling into question when, if ever, prices reliably reflect the aggregate information of traders with heterogeneous values. In this paper, we show contingent …
Bayesian Methods In Economics And Finance: Editor's Introduction,
2022
Singapore Management University
Bayesian Methods In Economics And Finance: Editor's Introduction, Jun Yu
Research Collection School Of Economics
Modern days, Bayesian methods have gained prominence in theoretical work and applications in economics and finance due to the rapid development of computational technologies and their ability to learn. The special issue intends to examine central aspects in Bayesian analysis and applications, including prior choices, model selection with massive data and latent variables, hypothesis testing, Bayesian learning. In total, this special issue contains ten papers, all subject to the Journal of Econometrics (JOE)’s normal refereeing process. Most of these papers came from a conference held at the ESSEC Singapore campus on 10 December 2018.
Historical Political Economy: What Is It?,
2022
Chapman University
Historical Political Economy: What Is It?, Jeffrey Jenkins, Jared Rubin
ESI Working Papers
In this chapter, we define what historical political economy (HPE) is and is not, classify the major themes in the literature, assess the relative strengths and weaknesses of the literature, and point to future directions. We view HPE as social scientific inquiry which highlights political causes or consequences of historical issues. HPE is different from conventional political economy in the emphasis placed on historical processes and context. While we view HPE in the most inclusive manner reasonable, we define it to exclude works that are either solely of contemporary importance or use historical data without any historical context (e.g., long-run …
