Asymmetric effects of monetary policy shocks on output growth in Nigeria: Evidence from nonlinear ARDL and Hatemi‐J causality tests

2020 ◽  
Author(s):  
Gideon G. Goshit ◽  
Gylych Jelilov ◽  
Paul Terhemba Iorember ◽  
Bilal Celik ◽  
Onyinye Maria Davd‐Wayas
Keyword(s):  
Monetary Policy ◽  
Output Growth ◽  
Monetary Policy Shocks ◽  
Asymmetric Effects ◽  
Nonlinear Ardl ◽  
Policy Shocks ◽  
Causality Tests

Asymmetric effects of monetary policy shocks across US states

2019 ◽  
Vol 98 (5) ◽  
pp. 1861-1891 ◽  
Author(s):  
Davide Furceri ◽  
Fabio Mazzola ◽  
Pietro Pizzuto
Keyword(s):  
Monetary Policy ◽  
Monetary Policy Shocks ◽  
Us States ◽  
Asymmetric Effects ◽  
Policy Shocks

scholarly journals A Bound Test Analysis of Effects of Monetary Policy Shocks on Output and Prices in Nigeria 2000-2010

2013 ◽  
Vol 5 (3) ◽  
pp. 136-147
Author(s):  
Apanisile Olumuyiwa Tolulope
Keyword(s):  
Monetary Policy ◽  
Policy Instrument ◽  
Output Growth ◽  
Empirical Literature ◽  
Monetary Policy Shocks ◽  
Test Analysis ◽  
Monetary Policies ◽  
Long Run ◽  
Policy Shocks ◽  
Bound Test

The study examined the effects of monetary policy shocks on output and prices in Nigeria. This is done through an empirical analysis of the effects of anticipated and unanticipated monetary policies on output and prices. Quarterly data from 2000:1 to 2010:4 were used. The long-run ARDL estimates indicate positive and significant effects of anticipated monetary policy on output and prices while unanticipated monetary policy was insignificant. Thus, the findings provide a significant departure from the existing diversity of evidences of empirical literature on the monetary policy actions and macroeconomic variables nexus. The study therefore suggested the use of a one fit for all policy instrument in stimulating output growth and prices in the economy rather than using one specific measure which could lead to the failure of monetary policy in Nigeria.

scholarly journals Monetary Policy Shocks and Industrial Sector Performance in South Africa

2016 ◽  
Vol 8 (3(J)) ◽  
pp. 26-40 ◽  
Author(s):  
Adebayo Augustine Kutu ◽  
Harold Ngalawa
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Interest Rate ◽  
Exchange Rates ◽  
Industrial Sector ◽  
Output Growth ◽  
Industrial Output ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Sector Performance

This paper employs an eight variable Structural Vector Auto regression (SVAR) model to examine how monetary policy shocks affect industrial sector performance in South Africa using monthly data from 1994:1 to 2012:12.The study finds no direct link between exchange rate and interest rate shocks and industrial output growth. A money supply shock, however, is observed to exert a significant positive impact on industrial output growth from about the eighth month. The study also reveals that the interest rate response to an unanticipated increase in the rate of inflation is insignificant, reflecting the infrequent changes of the repo rate in the country. We also find evidence of a symbiotic relationship between industrial output growth and other sectors of the economy that form components of aggregate output. The study further demonstrates that monetary authorities have very limited control over industrial output growth using instruments of monetary policy. In addition, it is found that relatively large proportions of the variations in the rate of inflation are explained by changes in money supply, exchange rates and industrial output. We also observe that variations in exchange rates are largely explained by unexpected changes in the exchange rates themselves, which supports the Martingale Hypothesis of exchange rates.

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