scholarly journals CBN Monetary Policy and Inflation Nexus in Nigeria: An empirical approach

2020 ◽  
Vol 4 (1) ◽  
pp. 15-35
Author(s):  
Tonprebofa Waikumo Okotori ◽  
Eze Gbalam
Keyword(s):  
Monetary Policy ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Treasury Bills ◽  
Vector Error Correction ◽  
Inflation Stabilization ◽  
Policy Shocks ◽  
Johansen Cointegration Test ◽  
Adf Test

Purpose: The study explored monetary policy effect on inflation stabilization in Nigeria. Increasing levels of indebtedness may have reduced the fiscal space for fiscal policy intervention and this leaves monetary policy as the real tool of choice for macroeconomic stabilisation. The question we need to ask then is, how effective is this tool of choice?Methodology: Monthly time series data from 2009-2018 were used in estimating the model. The ADF test for the stationarity, the johansen cointegration test and the vector error correction model were utilized in testing the variables. The findings from the unit root test did indicate stationarity at first difference 1(1). The cointegration (Johansen) test indicates that there was a nexus linking inflation and all the regressors adopted in the long term.Findings: The result of the VECM for the two estimated models shows a self-equilibrating mechanism of 14 per cent and 32 per cent for the first and second models respectively. The findings further reveal that the variables; liquidity ratio, policy rate (MPR), exchange rate, reserve requirement and treasury bills rate all had an effective impact on the inflation rate and that that effect was very significant.  Hence, the CBN's monetary policy shocks do seem to have the expected traction on the Nigerian economy.Unique Contribution: The results make it pertinent for the CBN to utilize all the policy measures adopted in order to keep inflation within acceptable thresholds and prepare to keep inflation within the targeted range of 6-9 per cent, no matter the anticipated or unanticipated strong head winds.

scholarly journals Economic Growth, Inflation and Monetary Policy in Pakistan: Preliminary Empirical Estimates

2021 ◽  
Vol 4 (2) ◽  
pp. 321-333
Author(s):  
Hina Ali ◽  
Malka Liaquat ◽  
Noreen Safdar ◽  
Saeed ur Rahman
Keyword(s):  
Time Series ◽  
Monetary Policy ◽  
Unit Root ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Economic Activities ◽  
Data Set ◽  
Explanatory Variables ◽  
Empirical Estimates

In economic policy, construction Inflation is a core variable to be considered that determines the economic activity. To make a suitable monetary policy, it is very essential to check the price level and later on, many other variables are considered to achieve the goal. This study aims to reveal the affiliation of inflation on the growth of economic activities in Pakistan. Time series data set for the period 1989-2020 was used to have the empirical estimates.  Augmented Dickey Fuller Unit Root Test is employed to check the unit root of the time series and Auto Regressive Distributive Lag techniques are used for empirical estimates. The present research uses Inflation as a dependent variable and Gross Domestic Product, Interest Rate, Money Supply, and Exchange Rate as the explanatory variables of the study. The findings of this analysis reveal that there's an antagonistic relation between Inflation and GDP.

scholarly journals E-Fraud and Bank Performance: Empirical Evidence from Nigeria

2021 ◽  
Vol 06 (02) ◽  
Author(s):  
TYONA Timothy ◽  
Keyword(s):  
Empirical Evidence ◽  
Internal Control ◽  
Unit Root ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Bank Performance ◽  
Least Squares Regression ◽  
Online Fraud ◽  
Adf Test

This study examines e-fraud and bank performance: empirical evidence from Nigeria. Expo facto research design was used while time series data for the period of ten (10) years sourced from Central Bank of Nigeria (CBN) statistical Bulletin. Unit root test and correlation matrix was used as a diagnostic tests. The Augmented Dickey Fuller (ADF) test is used to test for stationarity. The results of the stationarity or unit root test show that all the variables, return on equity (ROE), Automated Teller Machine Fraud (ATF) and Online Fraud (OLF) have unit roots and are only stationary at first difference and integrated of order one I (1). The fully modified least squares regression (FMOLS) is used for the analysis. The result of the study indicates that both variables, online fraud, (OLF) and ATM fraud (ATF) show negative effect on bank performance proxied in Nigeria in line with a priori expectation. In order words, fraud and fraudulent activities impede on the profitability of the banks. Based on the results obtained from the regression and the analysis conducted, the study recommends among others that bank managers should strengthen their internal control systems at all times. The regulatory authorities should be up and doing concerning their supervisory functions. Appropriate disciplinary measures should be taken against culprits of e-frauds so as deter others with such intentions. Also, banks should hold regular trainings for their Information Technology staff to counter the activities of fraudsters that use electronic means to commit fraud.

scholarly journals Monetary Policy Shocks and Manufacturing Output in Nigeria (1981-2018)

2020 ◽  
Vol 7 (1) ◽  
pp. 27-37
Author(s):  
Yinka Sabuur Hammed
Keyword(s):  
Monetary Policy ◽  
Time Series Data ◽  
Policy Instrument ◽  
Series Data ◽  
Policy Makers ◽  
Long Run ◽  
Integration Test ◽  
Policy Shocks ◽  
Monetary Policy Shock ◽  
The Impact

This study empirically investigates the impact of monetary policy shock on the manufacturing output in Nigeria using time series data covering the period between 1981 and 2018. Co-integration test was used to establish the long run relationship among the variables and Structural Vector Auto-Regressive model was employed to test for the shocks. It was found that shock to broad money supply would bring about positive and significant impact on the manufacturing output while the impact of shock to interest rate was found to be negative and insignificant. This study however concludes that shock to broad money is the main monetary policy instrument which can bring about positive change to manufacturing output in Nigeria. This paper then suggests that government and policy makers should primarily focus on this variable in their implementation of unanticipated monetary policy.

scholarly journals Causality analysis between exports, imports and economic growth of Pakistan

2017 ◽  
Vol 1 (1) ◽  
pp. 45-52
Author(s):  
Syyeda Farhana Shah ◽  
Saleem Khan ◽  
Abdur Rauf
Keyword(s):  
Time Series Data ◽  
Causal Relation ◽  
Series Data ◽  
Vector Error Correction Model ◽  
Causality Analysis ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Adf Test

The objective of study is to identify causal relationships among the variables such as exports, imports and Gross Domestic Product (GDP) in case of Pakistan. The study uses time series data for the period from 1981-2016. Stationarity is checked with the Augmented Dickey Fullers' (ADF) test, and the Engle Grange approach is utilized to determine the long run relationship among variables of the study. Moreover, causality among the selected variables is tested by using the Vector Error Correction Model (VECM). We found that the causality runs from GDP to imports and exports. Furthermore, no causal relation is found from exports to GDP and from imports to GDP, but the causality goes from GDP to these two variables. The causality from GDP to exports and imports are positive and significant. Finally, the results indicate that the causal relationship between GDP and imports is stronger than the GDP and exports.

scholarly journals Implication of Monetary Policy Rate and Interest Rate on Exchange Rate in Nigeria: 1981-2017

2019 ◽  
pp. 1-11
Author(s):  
Nnamani, Vincent ◽  
Anyanwaokoro, Mike
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Statistical Tool ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The study investigated the implication of monetary policy rate on the exchange rate and interest rate in Nigeria, 1981-2017. Because of the above-stated problems, the specific objectives are to: Investigate the effect of monetary policy rate on the exchange rate in Nigeria, determine the effect of the monetary policy rate on interest rate in Nigeria. The analysis of error correction and autoregressive lags fully covers both long-run and short-run relationships of the variable under study. The statistical tool of analysis employed in the study is Autoregressive Distributed Lags (ARDL) and Philips Peron method of stationary testing and structural breakpoint unit root test., these methods were employed to check the stationarity and breakpoint analysis of the time series data employed in this study. The study observed that monetary policy rate has a positive and significant effect on the exchange rate in Nigeria. It was also observed that the monetary policy rate has a positive and significant effect on the interest rate in Nigeria. Overall, our results indicated that the impact of monetary policy on the exchange rate was significant. There was a positive and significant relationship between monetary policy variables and exchange rate. The conclusion that is drawn from our results is that monetary policy remains an effective and potent tool for ensuring a stable exchange rate in Nigeria. The study recommended that monetary policy should be used to create a favourable investment environment by facilitating the emergence of market-based interest rate and exchange rate regimes which could attract domestic and foreign investments. Second; the Central bank of Nigeria (CBN) need to avoid ordination and balance between monetary and fiscal policies to ensure the smooth realization of monetary policy goals. Policy inconsistency or summersault to determine its policy impact before contemplating a change. Finally, there should be a coo.

Development and Degradation: The Nexus between GDP, FDI, and Pollution in India

2020 ◽  
Vol 6 (1) ◽  
pp. 39-49
Author(s):  
Tripura Sundari C. U. ◽  
Anindita Mitra
Keyword(s):  
Error Correction ◽  
Time Series Data ◽  
Unit Root Test ◽  
Wald Test ◽  
Series Data ◽  
Kuznets Curve ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Per Capita

The nexus between development and environment has been a debatable topic for years, more so when foreign direct investment (FDI is used to accelerate the economy. Since environmental Kuznets curve may not be achievable by all economies and many studies have not been able to establish a consistent relationship between FDI and environment, this study determines the liaison between FDI, GDP, and pollution in India with time series data from 1990 to 2015. While per capita GDP plotted against per capita carbon dioxide (CO2) emission indicates an alarming positive relation, the co-integration between FDI, GDP, and CO2 tested using unit root test statistics (augmented Dickey–Fuller test) for stationarity and then by Johansen and Juselius’s multivariate co-integration technique show a long-run co-integration. Since the existence of a relationship between variables does not prove causality, the variables are phrased in a vector error correction (VEC) form and vector error correction mechanism (VECM) Granger causality/block exogeneity Wald test which reveals that FDI has a positive and significant impact on pollution and GDP attracts FDI. This transitive relation suggests that FDI in pollution-controlling technology would be a feasible solution to sustainable development.

scholarly journals Twin Deficit Hypothesis: A Case of Pakistan

2018 ◽  
Vol 2 (1) ◽  
pp. 71 ◽  
Author(s):  
Farrah Yasmin
Keyword(s):  
Granger Causality ◽  
Current Account ◽  
Budget Deficit ◽  
Time Series Data ◽  
Current Account Deficit ◽  
Impulse Response Function ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Test ◽  
Adf Test

The prime motive of this study is to scrutinize the twin deficit for annual time series data over the period 1990-2010 for Pakistan. Twin deficit hypothesis expressed that an expansion in budget deficit will ground for rise in current account deficit. To diagnose affiliation amongst couple of variables, applied Unit root test (ADF-test), Johansen cointegration technique, Impulse response function and Granger causality test. The Granger causality demonstrate that the causality direction travel from current account deficit to budget deficit. When current account deficit occurs it leads to budget deficit. So the finding proves that there is a positive connection among both variables. Investigations are most reliable for Pakistan economy. Finally, this study confirms the rapport amid current account deficit and budget deficit.

Impact of Monetary Policy on Small Scale Enterprises Financing in Nigeria

2018 ◽  
Vol 1 (2) ◽  
pp. 1-12
Author(s):  
Ebire Kolawole
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Time Series Data ◽  
Negative Impact ◽  
Unit Root Test ◽  
Series Data ◽  
Small Scale ◽  
Correction Model ◽  
Monetary Authorities ◽  
The Impact

Small and Medium Scale Enterprises play vital roles in the economy which are usually instrumental in achieving macroeconomic goals. This has attracted the attention of monetary authorities to institute policiesto boostconducive environment for SMEs to thrive. This study therefore empirically investigates the impact of monetary policy on SMEs financing in Nigeria spanning from the first quarter of 1992 to the last quarter of 2016. The time series data were subjected to unit root test to ascertain the stationarity of the variables and thereafter, cointegration and Error Correction Model (ECM) technique were used for the analysis. The residuals of the analysis were further subjected to various diagnostics tests. The result revealed that interest rate has a positive and significant impact on the SMEs financing in Nigeria. On the other hand, inflation rate was found to have a significant but negative impact on SMEs financing in Nigeria. Money supply and exchange rate were found to be insignificant in impactingSMEs financing. Based on this finding, the study recommends that, monetary authorities should give special attention to SMEs in specific sectors by creating special windows through various financial institutions to grant low interest rate so as to grant SMEs access to funds.This will boost business growth and consequently achieve macroeconomic goals.

Monetary Policy Contagion in the West African Monetary Zone

2019 ◽  
Vol 54 (4) ◽  
pp. 375-398
Author(s):  
Moses K. Tule ◽  
Taiwo Ajilore ◽  
Augustine Ujunwa
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Time Series Data ◽  
West African ◽  
The Gambia ◽  
Macroeconomic Fluctuations ◽  
Series Data ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Short Run

The study utilized quarterly time series data for Nigeria and three selected West African Monetary Zone (WAMZ) countries for the period 1980–2016 to verify whether monetary policy shocks emanating from Nigeria are an important source of macroeconomic fluctuations in WAMZ economies. The study complemented the Global vector autoregressive method with the Diebold–Yilmaz (2009) connectedness weights computation for the analysis. Inferences from generalized impulse response function (GIRF) analysis indicated that an unanticipated Nigerian monetary policy shock depreciates the Nigeria–USA exchange rate, stimulates growth, decelerates inflation and expands the money stock in the short run for Nigeria. In Ghana, Nigeria’s monetary policy shocks similarly depreciates the exchange rate, slows growth with high inflationary impact in the short run. In the Gambia, unanticipated shocks emanating from Nigeria strengthens the Gambia–USA exchange rate, depresses growth and inflationary pressures. Sierra Leone shares the appreciation of its currency with the Gambia, in addition to an economic expansion and rising inflation. Money supply also increases to accommodate the expanding demand. These results validated the thesis that there exist considerable geographical linkages within the WAMZ regions through which macroeconomic fluctuations are transmitted. For policy, monetary authorities in the region should collectively address the question of how to stabilize the economy in response to monetary policy shocks emanating from Nigeria. JEL Codes: E52, E32, E65, F02

scholarly journals The Dynamic of Macroeconomics Elements in Malaysia: Further Insight into Causality Analysis

2019 ◽  
Vol 4 (1) ◽  
pp. 1
Author(s):  
Dayang Hummida Abang Abdul Rahman ◽  
Nuzaihan Majidi ◽  
Jati Kasuma ◽  
Yusman Yacob ◽  
Dayang Affizzah Awang Marikan
Keyword(s):  
Time Series Data ◽  
Unit Root Test ◽  
Series Data ◽  
Causality Analysis ◽  
Causality Test ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Augmented Dickey Fuller ◽  
Short Run

This paper intends to explore the causality effect between Growth Domestic Product (GDP), population and unemployment in Malaysia. Based on the observation of Malaysia’s historical data, there is a distinct movement in each of these individual macroeconomics components over the years. Past literature within the same area has illustrated various patterns on the possibility of a causal relationship that each variable has on one another. Several stages of analysis are conducted to verify the presence of causality effect from Malaysian economic perspective, which includes unit root test that employs the Augmented Dickey Fuller (ADF), Phillips-Perron (PP) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) procedures, followed by Johansen and Juselius test of cointegration and Granger-causality test based on Vector Error Correction Model (VECM) using E-views software. Each procedure is conducted using Malaysia’s time series data for each of the three elements from 1980 to 2013 obtained from Malaysia’s Department of Statistics. Our findings revealed that there is one cointegration detected for the tested variables; whereas the results indicate that population can Granger cause unemployment in the short run. Furthermore, it is found that unemployment solely bears the effect from short run adjustment to bring about the long run equilibrium within the tested framework. This study is important for the policy maker to understand the reason behind the causality effect that could jeopardize the rate of unemployment in Malaysia. As the attention is given specifically to three variables particularly GDP, population and unemployment, this study is aimed at broadening the prospect for further investigation within the same area of macroeconomics.

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