scholarly journals Fiscal Policy and External Shocks in Nigeria

2019 ◽  
Vol 11 (1(J)) ◽  
pp. 129-138
Author(s):  
Patrick Ologbenla
Keyword(s):  
Exchange Rate ◽  
Fiscal Policy ◽  
Government Expenditure ◽  
Oil Price ◽  
External Shocks ◽  
Oil Export ◽  
Fiscal Balance ◽  
Vector Auto Regression ◽  
Exchange Rate Shocks ◽  
Auto Regression

The study assessed the effects of external shocks on fiscal policy in Nigeria. Vector auto-regression VAR estimating technique is adopted to achieve the set objectives of the study. The VAR model comprises of the following variables GDP, oil output, oil price, government revenue, government expenditure, external reserve, exchange rate, fiscal balance, and non-oil export. These variables represent the external shocks, the growth variables, fiscal variables and some other macroeconomic variables. The VAR results show that oil price and non-oil export are the most important external shocks affecting fiscal policy in Nigeria. It was also discovered that public debt shock has no significant impact on government expenditure. In addition, external reserve and exchange rate shocks also have a significant impact on fiscal policy. Finally, government expenditure shock failed to have a significant impact on the GDP. The implication of these results is that the effectiveness of fiscal policy in achieving macroeconomic objectives in Nigeria depends on these identified shocks.

Fiscal Policy and Macroeconomic Shocks in Nigeria: A Structural Vector Auto - Regression SVAR Approach

2018 ◽  
Vol 10 (3(J)) ◽  
pp. 220-233
Author(s):  
Ologbenla Patrick ◽  
Omolade Adeleke
Keyword(s):  
Exchange Rate ◽  
Fiscal Policy ◽  
Domestic Economy ◽  
External Shocks ◽  
Macroeconomic Shocks ◽  
Macroeconomic Variables ◽  
Resultant Effect ◽  
Vector Auto Regression ◽  
Auto Regression ◽  
Structural Vector

The paper investigates fiscal policy and macroeconomic shocks in Nigeria. It was motivated by the non - existence of consensus on the nature and levels of interactions between fiscal policy variables and macroeconomic variables. The study utilizes quarterly data from 1980 Q1 to 2015 Q4 which are analyzed using Structural Vector Auto - Regression (SVAR) to examine the responses of fiscal policy to some macroeconomic shocks and vice versa. The results indicate that exchange rate is the major macroeconomic medium through which external shocks influence fiscal policy variables in Nigeria. The level of interaction between fiscal policy variables and exchange rate, among other macroeconomic variables in the model, appears to be the most significant. Also, among all other macroeconomic variables the contributions of the exchange rate to the behavior of Nigeria’s economic growth is the highest. All these are pointers to the significant role played by exchange rate in transmission of macroeconomic and external shocks to fiscal policy behavior with the resultant effect on the domestic economy.

scholarly journals Military Expenditure and Macroeconomic Perfromance – The Case of an Emerging Country

2020 ◽  
Vol 65 (1) ◽  
pp. 67-83
Author(s):  
Patrick Ologbenla
Keyword(s):  
Exchange Rate ◽  
Inflation Rate ◽  
Foreign Currency ◽  
Military Expenditure ◽  
Emerging Country ◽  
Domestic Prices ◽  
Short Run ◽  
Vector Auto Regression ◽  
Exchange Rate Shocks ◽  
Auto Regression

AbstractThe study investigates the nexus between military expenditure and macroeconomic performance in Nigeria between 1980 and 2017. Data on military expenditure and some macroeconomic variables such as output (GDP), exchange rate and inflation rate are used in the study. The Vector Auto-regression technique VAR is applied so as to study the interactions among the variables in the short run. The result shows that military expenditure in Nigeria is significantly influenced by output and exchange rate shocks. It was also revealed that military expenditure does not make significant contributions to the behaviour of output in Nigeria. Military expenditure appears to be insulated against inflation shock since the largest chunk of military expenditure is traded in foreign currency hence less affected by domestic prices.

scholarly journals World Oil Prices and Indonesia Macroeconomic

2015 ◽  
Vol 15 (1) ◽  
pp. 27
Author(s):  
M. Ichsandimas W. ◽  
Malik Cahyadin
Keyword(s):  
Exchange Rates ◽  
Real Exchange Rates ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
Oil Price ◽  
Positive Relation ◽  
Real Gdp ◽  
Vector Auto Regression ◽  
The Impact ◽  
Auto Regression

The goal of this study is to look at the relation and contribution value, while the impact of world oil price on the macroeconomic Indonesian form 1980 to 2010. This Study used Vector Auto Regression (VAR) method and tool of VAR used are Impulse Response Function (IRF) and Variance Decomposition. The results of study finds a positive relation and statistically significant impact of world oil price on inflation and real GDP Indonesian, but not significant and negative relation on real exchange rates. World oil price has contribution value on the inflation, real exchange rates, Indonesia real GDP after first period.

scholarly journals PENGUJIAN KAUSALITAS ANTARA VARIABEL MAKROEKONOMI DENGAN RETURN PASAR DI BURSA EFEK INDONESIA : SEBUAH PENDEKATAN VECTOR AUTO

Media Ekonomi ◽  
2017 ◽  
Vol 19 (3) ◽  
pp. 23
Author(s):  
Anggi Hapsari Nurullita
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Granger Causality ◽  
Unit Root ◽  
Unit Root Test ◽  
Granger Causality Test ◽  
Causality Test ◽  
Market Return ◽  
Vector Auto Regression ◽  
Auto Regression

<p>Indicators of macroeconomic have major impact on capital markets in general and stocks in particular. Influence of these indicators can be positive or negative. Vector Auto Regression (VAR) is a method of analysis used to predict the time series variable and analyze the dynamic impact factor interference in a system variable. VAR analysis is very useful to assess the linkages between economic variables. This research aims to see the influence of iIndicators of macroeconomic such as the exchange rate (EXCHANGE), interest rate Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG) in Indonesian Stock Exchange in the period 2004:1-2011:10. Data obtained from the Monthly Stock Price Index Statistics JSX. This research appllying several stages of testing as follows: unit root test, the optimal lag test, Granger causality test and Vector Auto Regression model (VAR). The results of unit root test in this study suggests that the data used for processing in the first degree and VAR Granger test because only the stationary stock index return variable in zero degree (level). On the test results suggested the optimal lag is the lag 3. On the Granger causality test is known that the Granger test variable rate (EXCHANGE) has a one-way impact or the exchange rate (EXCHANGE) affect market return (REIHSG) interest rate of Bank Central of Indonesia Certificates (SBI) and the rate of inflation (INFLATION) has a two direction or impact mutual Causality. These results indicate that there is a weak Granger causality between interest rates Bank Central of Indonesia Certificates (SBI) and rate of inflation (INFLATION) to market return (REIHSG).<br />Keywords: Vector Auto Regressive (VAR), Macroeconomic, Granger Causality, IHSG stock return</p>

scholarly journals Determinants of fiscal policy behavior in Nigeria

2019 ◽  
Vol 16 (2) ◽  
pp. 1-13 ◽  
Author(s):  
Patrick Ologbenla
Keyword(s):  
Fiscal Policy ◽  
Government Expenditure ◽  
Commodity Price ◽  
Oil Price ◽  
Annual Data ◽  
Government Revenue ◽  
Long Run ◽  
Short Run ◽  
Fiscal Behavior ◽  
Policy Behavior

The study investigated the factors that determine fiscal behavior in Nigeria. The vulnerability of fiscal policy framework in Nigeria to different shocks and the attendant effects on the behavior of fiscal policy are parts of the reasons that prompted this research work. Annual data between 1980 and 2015 on core fiscal variables such as government revenue, government expenditure, fiscal balance, public debt, as well as other variables such as oil price, exchange rate, and inflation rate commodity price among others, are used. The Auto-Regressive Distributed Lag ARDL estimating technique is used to analyze both the long-run and short-run effects of these variables on fiscal behavior in Nigeria. Findings from the study show that fiscal policy in Nigeria is highly vulnerable to shocks from these variables mostly in the short run. Notwithstanding, variables like government revenue, government expenditure, regime of administration, oil price and commodity price volatilities all have sustained effects till the long-run periods. It was discovered that oil price movements is not the only external factor that has pronounced effects on fiscal behavior, but commodity prices volatility generally constitutes an important influential factor in determination of fiscal policy behavior in Nigeria.

Debt dollarisation poses dilemmas in Argentina

2016 ◽  
Keyword(s):  
Exchange Rate ◽  
Fiscal Policy ◽  
Interest Rates ◽  
Policy Support ◽  
Economic Downturn ◽  
External Shocks ◽  
Content Type ◽  
The Exchange Rate ◽  
Monetary And Fiscal Policy

Subject Monetary, fiscal and debt concerns. Significance After falling to nearly 16 pesos/dollar in early March, the exchange rate stabilised, mainly due to rising domestic interest rates, which climbed to a peak of 38.0%. Monetary tightening and the deepening of the economic downturn helped to bring down inflation, which is expected to reach a monthly rate of 1.5% in the last quarter. Lower interest rates and decreasing inflation are needed to drive an economic rebound, key to the government's prospects in October 2017 mid-term elections. Impacts Dollarisation of financial liabilities will leave the economy more vulnerable to negative external shocks. The economy may show further decline in third-quarter figures. Moderating inflation and monetary and fiscal policy support are expected to help turn growth positive in 2017.

Fiscal shocks, the real exchange rate and the trade balance: some evidence for emerging economies

2015 ◽  
Vol 15 (2) ◽  
Author(s):  
Marcelo Eduardo Alves da Silva ◽  
Diogo Baerlocher ◽  
Henrique Veras de Paiva Fonseca
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Emerging Economies ◽  
Government Spending ◽  
Trade Balance ◽  
The Real ◽  
Vector Auto Regression ◽  
Auto Regression ◽  
Structural Vector ◽  
Fiscal Shocks

AbstractThis paper implements a structural vector auto regression (SVAR) analysis to investigate the impacts and importance of fiscal shocks on the dynamics of the real exchange rate and the trade balance in three emerging economies: Brazil, Chile and Mexico. We show that the effects of an unexpected increase in government spending are not uniform across countries with higher spending leading to a depreciation of the real exchange rate in Brazil and Chile, whereas in Mexico, we observe an appreciation. The trade balance deteriorates in all three countries. We also report that an unexpected increase in taxes leads to recessionary impacts and improves the trade balance. Only in Mexico is there evidence of a real exchange rate depreciation. Finally, we show that fiscal shocks account for roughly 20% of real exchange fluctuations.

scholarly journals Education Budget Through Central or Local Government Spending: Which Is More Effective in Improving the Quality of Human Life?

2021 ◽  
Vol 4 (2) ◽  
pp. 242-255
Author(s):  
Ignatia Martha Hendrati ◽  
Putra Perdana
Keyword(s):  
Local Government ◽  
Human Development ◽  
Government Spending ◽  
Human Development Index ◽  
Central Government ◽  
Human Life ◽  
Government Expenditure ◽  
Development Index ◽  
Vector Auto Regression ◽  
Auto Regression

Regional autonomy demands a division of authority between the Center and the regions, which in turn has an impact on budgeting policies. On the one hand, central government spending is oriented towards equity, but on the other hand, the regions understand very well their respective characteristics. The government's budget is always results-oriented, so this research can later be used as a benchmark in planning budgeting. In terms of spending on Education in Indonesia, the budget is channeled through central government spending and local government spending. This research is structured to see between the Central Government or Local Government, more significant in accelerating human quality (IPM) in Indonesia. This study uses Vector Auto Regression with Bayesian Vector Auto Regression model specifications to determine the effect between the variables studied. The variables used in this study are the Central Government Expenditure budget, Regional Government Expenditure on Education through Transfers from the Center to the Regions, Adjusted Per Capita Expenditure, and the Human Development Index from 2007 – 2020. The estimation results show a tendency for local government spending to be more able to increase Human Development Index compared to the Education budget through central government spending. This finding indicates that in the end, the results of decentralization, one of which is the delegation of authority for local government spending, can accelerate the human development index higher than the expenditure issued by the central government.

scholarly journals An Empirical Test on Linkage Between Foreign Exchange Market and Stock Market: Evidence from Hungary, Czech Republic, Poland and Romania

2017 ◽  
Vol 13 (31) ◽  
pp. 25
Author(s):  
Ngo Thai Hung
Keyword(s):  
Exchange Rate ◽  
Czech Republic ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Stock Return ◽  
Foreign Exchange Market ◽  
Empirical Test ◽  
Causality Test ◽  
Vector Auto Regression ◽  
Auto Regression

The paper aims to examine the causal relationship between the stock prices and exchange rates in Hungary, Czech Republic, Poland and Romania. The investigation employs Granger’s Causality test and Vector Auto Regression technique on monthly stock return and the foreign exchange rate for the period October 31, 2008 to September 18, 2017. The major findings of the study that there is no Granger’s causality between the exchange rate return and stock return in these countries. The study also uses Vector Auto Regression modeling to confirm that though stock return and exchange rate are related to each other but any consistent relationship does not exist between them. Our results have provided beneficial information for investors, government policies and researchers.

scholarly journals Effects of Oil Price Shocks on the Ghanaian Economy

2016 ◽  
Vol 64 (1) ◽  
pp. 315-324
Author(s):  
Dennis Nchor ◽  
Václav Klepáč ◽  
Václav Adamec
Keyword(s):  
Exchange Rate ◽  
Government Expenditure ◽  
Value Added ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Real ◽  
Effective Exchange ◽  
Effective Exchange Rate

The economy of Ghana is highly vulnerable to fluctuations in the international price of crude oil. This is due to the fact that oil as a commodity plays a central role in the economic activities of the nation. The objective of this paper is to investigate the dynamic relationship between oil price shocks and macroeconomic variables in the Ghanaian economy. This is achieved through the use of Vector Autoregressive (VAR) and Vector Error Correction (VECM) models. The variables considered in the study include: real oil price, real government expenditure, real industry value added, real imports, inflation and the real effective exchange rate. The study points out the asymmetric effects of oil price shocks; for instance, positive as well as negative oil price shocks on the macroeconomic variables used. The empirical findings of this study suggest that both linear and nonlinear oil price shocks have adverse impact on macroeconomic variables in Ghana. Positive oil price shocks are stronger than negative shocks with respect to government expenditure, inflation and the real effective exchange rate. Industry value added and imports have stronger responses to negative oil price shocks. Positive oil price shocks account for about 30% of fluctuations in government expenditure, 5% of imports, 6% of industry value added, 17% of inflation and 2% of the real effective exchange rate in the long run. Negative oil price shocks account for about 8% of fluctuations in government spending, 20% of imports, 8% of inflation and 2% of the real effective exchange rate in the long run. The data was obtained from the United States Energy Information Administration and the World Bank’s World Development Indicators.

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