Effect Of Monetary Policy On The Nigerian Stock Market: A Smooth Transition Autoregressive Approach,
2020
Ahmadu Bello University, Zaria
Effect Of Monetary Policy On The Nigerian Stock Market: A Smooth Transition Autoregressive Approach, Babaginda Jamilu S., Khan Asad-Ul I.
CBN Journal of Applied Statistics (JAS)
This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for the All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are …
Purchasing Power Parity Approach To Exchange Rate Misalignment In Nigeria,
2020
Central Bank of Nigeria
Purchasing Power Parity Approach To Exchange Rate Misalignment In Nigeria, Nakorji Musa, Agboegbulem Ngozi T. I., Gaiya Blessing A., Atoi Ngozi V.
CBN Journal of Applied Statistics (JAS)
This study examines the purchasing power parity (PPP) approach to the determination of exchange rate misalignment in Nigeria by using two variants of the PPP: the absolute PPP (aPPP) and the relative PPP (rPPP). Data on the Nigerian Naira to US Dollar (N/$), British Pound (N/£) and Chinese Yuan (N/¥) interbank exchange rates, Nigeria consumer price index and Inflation as well as the US, UK and China consumer price indices and inflation rates spanning 2008:M1 to 2018:M12 were utilized. A recently modified fractional cointegration framework was employed, taking care of smooth structural breaks and nonlinearity, while the unit root tests …
Analysing User Experience Of Mobile Banking Applications In Nigeria: A Text Mining Approach,
2020
Central Bank of Nigeria
Analysing User Experience Of Mobile Banking Applications In Nigeria: A Text Mining Approach, Omotosho Babatunde S.
CBN Journal of Applied Statistics (JAS)
This paper analyses textual data mined from 37,460 reviews written by mobile banking application users in Nigeria over the period November 2012 – July 2020. On a scale of 1 to 5 (5 being the best), the average user rating for the twenty-two apps included in our sample is 3.5; with the apps deployed by non-interest banks having the highest average rating of 4.0 and those by commercial banks with national authorisation having the least rating of 3.4. Results from the sentiment analysis reveal that the share of positive sentiment words (17.8%) in the corpus more than double that of …
Money And Foreign Exchange Markets Dynamics In Nigeria: A Multivariate Garch Approach,
2020
Central Bank of Nigeria
Money And Foreign Exchange Markets Dynamics In Nigeria: A Multivariate Garch Approach, Atoi Ngozi V., Nwambeke Chinedu G.
CBN Journal of Applied Statistics (JAS)
This study examines the money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between the Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study employs a dynamic conditional correlation form of the GARCH model (DCC-GARCH) to assess the nature of correlation, while an unrestricted bivariate BEKK-GARCH (1, 1) form of the multivariate GARCH model is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that interest rate and exchange rate are …
Impact Of Government Expenditure On Economic Growth In Nigeria, 1970-2019,
2020
University of Colombo, Sri Lanka
Impact Of Government Expenditure On Economic Growth In Nigeria, 1970-2019, Aluthge Chandana, Jibir Adamu, Abdu Musa
CBN Journal of Applied Statistics (JAS)
This study investigates the impact of Nigerian government expenditure (disaggregated into capital and recurrent) on economic growth using time series data for the period 1970-2019. The paper employs Autoregressive Distributed Lag (ARDL) model. To ensure robustness of results, the study accounts for structural breaks in the unit root test and the co-integration analysis. The key findings of the study are that capital expenditure has positive and significant impact on economic growth both in the short run and long run while recurrent expenditure does not have significant impact on economic growth both in the short run and long run. The study …
Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship,
2020
Macquarie University
Causal Change Detection In Possibly Integrated Systems: Revisiting The Money-Income Relationship, Shuping Shi, Stan Hurn, Peter C. B. Phillips
Research Collection School Of Economics
This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959-2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior detrending of the data. These methods are a forward recursive algorithm, a rolling window algorithm, and a recursive evolving algorithm all of which utilize subsample tests of Granger causality within a lagaugmented vector autoregressive framework. The limit distributions for these subsample Wald tests are provided. Bootstrap methods are developed to control family-wise size in the implementation …
Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises,
2020
Singapore Management University
Asymptotic Properties Of Least Squares Estimator In Local To Unity Processes With Fractional Gaussian Noises, Xiaohu Wang, Weilin Xiao, Jun Yu
Research Collection School Of Economics
This paper derives asymptotic properties of the least squares estimator of the autoregressive parameter in local to unity processes with errors being fractional Gaussian noises with the Hurst parameter H. It is shown that the estimator is consistent when H ∈ (0, 1). Moreover, the rate of convergence is n when H ∈ [0.5, 1). The rate of convergence is n2H when H ∈ (0, 0.5). Furthermore, the limit distribution of the centered least squares estimator depends on H. When H = 0.5, the limit distribution is the same as that obtained in Phillips (1987a) for the local to …
Testing For Structural Changes In Factor Models Via A Nonparametric Regression,
2020
Singapore Management University
Testing For Structural Changes In Factor Models Via A Nonparametric Regression, Liangjun Su, Xia Wang
Research Collection School Of Economics
We propose a model-free test for structural changes in factor models. The basic idea is to regress the data on commonly estimated factors by local smoothing and compare the fitted values of time-varying factor loadings with those of time-invariant factor loadings estimated via principal component analysis. By construction, the test is designed to be powerful against both smooth structural changes and sudden structural breaks with a possibly unknown number of breaks and unknown break dates in the factor loadings. No restrictions on the form of alternatives or trimming of boundary regions near the beginning or end of the sample period …
Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models,
2020
Syracuse University
Diagnostic Tests For Homoskedasticity In Spatial Cross-Sectional Or Panel Models, Badi K. Baltagi, Alain Pirotte, Zhenlin Yang
Research Collection School Of Economics
We propose an Adjusted Quasi-Score (AQS) method for constructing tests for homoskedasticity in spatial econometric models. We first obtain an AQS function by adjusting the score-type function from the given model to achieve unbiasedness, and then develop an Outer-Product-of-Martingale-Difference (OPMD) estimate of its variance. In standard problems where a genuine (quasi) score vector is available, the AQS-OPMD method leads to finite sample improved tests over the usual methods. More importantly in non-standard problems where a genuine (quasi) score is not available and the usual methods fail, the proposed AQS-OPMD method provides feasible solutions. The AQS tests are formally derived and …
Quasi-Bayesian Inference For Production Frontiers,
2020
Singapore Management University
Quasi-Bayesian Inference For Production Frontiers, Xiaobin Liu, Thomas Tao Yang, Yichong Zhang
Research Collection School Of Economics
We propose a quasi-Bayesian method to conduct inference for the production frontier. This approach combines multiple first-stage extreme quantile estimates by the quasi-Bayesian method to produce the point estimate and confidence interval for the production frontier. We show the asymptotic properties of the proposed estimator and the validity of the inference procedure. The finite sample performance of our method is illustrated through simulations and an empirical application.
Does Bitcoin Use Affect Crime Rates?,
2020
Georgia College & State University
Does Bitcoin Use Affect Crime Rates?, Kevin Keane
The Corinthian
Bitcoin is the most widely used cryptocurrency in the world because of its decentralized network that completes user-to-user transactions, eliminating the need for intermediaries. During 2017, the volume of Bitcoin transactions totaled $94.3 trillion. Bitcoin transactions are recorded in a public database called the blockchain. Although the blockchain can keep track of how many transactions there are, it can’t identify the people involved in transactions. The lack of identity increases the anonymity of Bitcoin transactions, making it less detectable when used for crime. Using the Uniform Crime Reporting’s state-level crime rate data and blockchain’s Bitcoin transaction information, I estimate the …
Market Trends In Food Consumption Expenditures Away From Home Prior To The Covid-19 Pandemic,
2020
Minnesota State University Moorhead
Market Trends In Food Consumption Expenditures Away From Home Prior To The Covid-19 Pandemic, Rebecca Weir
Undergraduate Economic Review
U.S. food consumption expenditures away from home increased from 19 percent of total food expenditures in 1955 to 48 percent in 2015. Simultaneously, female participation in the labor force grew by 52.7 million women from 35 to 57 percent, signifying increased opportunity cost for women to prepare meals at home. This research uses an ordinary least squares regression to examine socioeconomic factors influencing the rise in U.S. food consumption expenditures away from home in 2018. Results inform food production and service industries’ marketing strategies, and set the stage for whether a new pattern emerges in response to the COVID-19 pandemic.
Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures,
2020
Wuhan University
Speed Traps: Algorithmic Trader Performance Under Alternative Market Structures, Yan Peng, Jason Shachat, Lijia Wei, S. Sarah Zhang
ESI Working Papers
Using laboratory experiments, we illustrate that trading algorithms that prioritize low latency pose certain pitfalls in a variety of market structures and configurations. In hybrid double auctions markets with human traders and trading agents, we find superior performance of trading agents to human traders in balanced markets with the same number of human and Zero Intelligence Plus (ZIP) buyers and sellers only, thus providing a partial replication of Das et al. (2001). However, in unbalanced markets and extreme market structures, such as monopolies and duopolies, fast ZIP agents fall into a speed trap and both human participants and slow ZIP …
A Theory Of Cultural Revivals,
2020
University of Colorado, Boulder
A Theory Of Cultural Revivals, Murat Iyigun, Jared Rubin, Avner Seror
ESI Working Papers
Why do some societies have political institutions that support productively inefficient outcomes? And why does the political power of elites vested in these outcomes often grow over time, even when they are unable to block more efficient modes of production? We propose an explanation centered on the interplay between political and cultural change. We build a model in which cultural values are transmitted inter-generationally. The cultural composition of society, in turn, determines public good provision as well as the future political power of elites from different cultural groups. We characterize the equilibrium of the model and provide sufficient conditions for …
Data Driven Value-At-Risk Forecasting Using A Svr-Garch-Kde Hybrid,
2020
Humboldt-University Berlin
Data Driven Value-At-Risk Forecasting Using A Svr-Garch-Kde Hybrid, Marius Lux, Wolfgang Karl Hardle, Stefan Lessmann
Sim Kee Boon Institute for Financial Economics
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is value-at-risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation of risk due to time varying volatility, skewness and leptokurtosis of financial return series. The paper proposes a nonlinear and nonparametric framework to forecast VaR that is motivated by overcoming the disadvantages of parametric models with a purely data driven approach. Mean and volatility are modeled via support vector regression (SVR) where the volatility model is motivated …
Rhode Island Current Conditions Index -- November 2020,
2020
University of Rhode Island
Rhode Island Current Conditions Index -- November 2020, Leonard Lardaro
The Rhode Island Current Conditions Index
No abstract provided.
Persistent And Rough Volatility,
2020
Singapore Management University
Persistent And Rough Volatility, Xiaobin Liu, Shuping Shi, Jun Yu
Research Collection School Of Economics
This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated stochastic volatility (FISV) model under the in-fill asymptotic scheme. We study the theoretical properties of both models and introduce a memory signature plot for a model-free initial assessment. A simulated maximum likelihood (SML) method, which maximizes the time-domain log-likelihoods obtained by the importance sampling technique, is employed to estimate the model parameters. Simulation studies suggest that the SML method can accurately estimate both models. …
Data For "An Experimental Investigation Of Health Insurance Policy And Behavior",
2020
Chapman University
Data For "An Experimental Investigation Of Health Insurance Policy And Behavior", J. Dustin Tracy, Hillard Kaplan, Kevin James, Stephen Rassenti
ESI Data Sets
We introduce a new experimental approach to measuring the effects of health insurance policy alternatives on behavior and health outcomes over the life course. Cash-motivated subjects are placed in a virtual environment where they earn income and allocate it across multi-period lives. We compare behavior across age, income and insurance plans---one priced according to an individual's expected cost and the other uniformly priced through employer-implemented cost sharing. We find that 1) subjects in the employer-implemented plan purchased insurance at higher rates; 2) the employer-based plan reduced differences due to income and age; 3) subjects in the actuarial plan engaged in …
Uniform Nonparametric Inference For Time Series,
2020
Singapore Management University
Uniform Nonparametric Inference For Time Series, Jia Li, Zhipeng Liao
Research Collection School Of Economics
This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing with the sample size. We use this result to justify the asymptotic validity of a uniform confidence band for series estimators and show that it can also be used to conduct nonparametric specification test for conditional moment restrictions. New results on the validity of heteroskedasticity and autocorrelation consistent (HAC) estimators with increasing dimension are established for making feasible inference. An empirical application on the unemployment volatility …
Commodities Are Not Industries! A Value Chain Example,
2020
West Virginia University
Commodities Are Not Industries! A Value Chain Example, Randall W. Jackson, Patricio Aroca
Regional Research Institute Working Papers
Leontief and Stone both received Nobel Prizes in Economics for development and extension of input-output (IO) analysis, a framework that has gained little traction in mainstream U.S. economics. Although IO modeling has gained renewed focus in several problem domains, many contemporary economists eschew Stone's enhancements, resulting in inconsistent analytics, even in top economics journals. In this paper, we use an increasingly common approach to value chain analysis as one example that demonstrates such conceptual misunderstandings and by presenting properly formulated alternatives, we demonstrate the extent of the consequences of neglecting the Stone enhancements and important role of reproducing results.
