A five-stage explicit Runge-Kutta method

This is a very good method.

Analysing User Experience of Mobile Banking Applications in Nigeria: A Text Mining Approach

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 negative sentiment words (7.7%). Furthermore, we find that about 66 per cent of the emotions expressed by the users are associated with ‘trust’, ‘anticipation’, and ‘joy’ while the remaining 34 per cent relate to ‘surprise’, ‘fear’, ‘anger’, and ‘disgust’. These results imply that majority of the users are satisfied with their mobile banking experience. Finally, we find that the main topics contained in the user reviews pertain to (i) feedback on banks’ responsiveness to user complaints (ii) user experience regarding app functionalities and updates, and (iii) operational failures associated with the use of the apps. These results highlight the need for banks to continue to promote awareness of existing functionalities on their apps, educate users on how those solutions could be accessed, and respond to user feedback in a timely and effective manner.

Effect of Monetary Policy on the Nigerian Stock Market: A Smooth Transition Autoregressive Approach

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 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 found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.

Markovian Approach to Stock Price Modelling in the Nigerian Oil and Gas Sector

The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to move to another state and the turnover rate of the selected stocks. Markov chain-based stochastic modelling approach was employed by using the daily closing share prices of all the seven oil and gas firms quoted on the Nigerian Stock Exchange from April 2017 to January 2020. The study finds that the transition probabilities and the steady-state distribution of all the firms are stationary at first-order, implying that chain depends on the previous state. The steady-state probabilities of all the firms examined exhibit relatively high price stability in the long run. The study recommends that investors with diverse attitudes to risk-taking can explore the estimated long-run prospect of the investigated stocks in making guided investment decisions.

Impact of Government Expenditure on Economic Growth in Nigeria, 1970-2019

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 recommends that government should increase the share of the capital expenditure especially on meaningful projects that have direct bearing on the citizen’s welfare. Government should also improve the spending patterns of recurrent expenditure through careful reallocation of resources toward productive activities that would enhance human development in the country.

Purchasing Power Parity Approach to Exchange Rate Misalignment in Nigeria

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 employed the fractional alternatives. The results confirmed that the aPPP approach to exchange rate determination is unrealistic but revealed empirical support for the rPPP approach. Furthermore, the exchange rates computed with the rPPP approach show that the interbank Naira to US Dollar, UK Pounds and Chinese Yuan exchange rates were overvalued in most of the period of this study. The period of undervaluation observed in June 2016 and April 2017 coincided with the periods when CBN introduced the investors and exporters window. The study recommends the use of rPPP for gauging the level of exchange rate misalignment in Nigeria and suggests the need to diversify the export base to appreciate the exchange rate.

Money and Foreign Exchange Markets Dynamics in Nigeria: A Multivariate GARCH Approach

This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between 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 GARCH model (DCC-GARCH) to access the nature of correlation, while an unrestricted bivariate BEKK-GARCH (1, 1) form of 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 dynamically linked negatively, suggesting that exchange rate (or interest rate) is inversely sensitive to interest rate (or exchange rate) in Nigeria. This result was substantiated by the estimated BEKK-GARCH(1, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility spillover is unidirectional, from exchange rate to interest rate, suggesting that, calming the volatility in foreign exchange market does guarantee moderation of volatility in the money market, whereas the reverse is not the case. The results underscore the growing influence of foreign exchange market in the financial space of the Nigerian economy. Thus, the study recommends that foreign exchange policies aimed at maintaining exchange rate stability should be sustained, having found exchange rate to be more effective in moderating interest rate volatility in Nigeria.

An Assessment of the Effectiveness of Central Bank Sterilization on Capital Inflows in Nigeria

This paper assesses the monetary policy response of the Central Bank of Nigeria (CBN) to increases in capital inflows into Nigeria using monthly time series data from January 2009 to December 2017. It presents an econometric assessment of the degree to which the CBN sterilizes net foreign assets (NFA) in response to the capital flows, using Autoregressive Distributed Lag (ARDL) bounds testing approach. The long run sterilization coefficient obtained suggests that the CBN successfully offset 95per cent of capital inflows in the period of analysis. Against the background of rising financial instability in Nigeria, the study illustrates how sterilization has not adequately tackled the major risks of capital inflows which resulted in asset price bubbles and bursts, equity capital inflows reversal, banking crisis, and currency depreciation which contributed, partly, to the economic recession in 2016. The paper argues that effective policy response to capital inflows must adequately address the major downside risks of capital inflows in the short and medium terms through some clearly defined capital flows management and macro-prudential measures.

Determinants of Money Supply in Nigeria

Studies on money supply determinants focus on the Classicists or Monetarists, Keynesians and post-Keynesians variables like income and money multiplier. This research extends the literature on money supply determinants to include the influence of financial liberalization on money supply with a reference to Nigeria between 1980 and 2019, using the Autoregressive Distributed Lag (ARDL) approach. Data used for the study were collected from the 2019 CBN Annual Statistical Bulletin. The study found that financial liberalization is an important factor in determining money supply in Nigeria, in addition to currency ratio, required reserve ratio and high-powered money. As a result, the extent of the liberalization of the financial sector matters in decisions on the regulation of money supply in the economy.

Markov Regime-Switching Autoregressive Model of Stock Market Returns in Nigeria

This study is designed to model and forecast Nigeria’s stock market using the All-Share Index (ASI) as a proxy. By employing the Markov regime-switching autoregressive (MS-AR) model with data from April 2005 to September 2019, the study analyzes the stock market volatility in three distinct regimes (accumulation or distribution – regime 1; big-move – regime 2; and excess or panic phases – regime 3) of the bull and bear periods. Six MS-AR candidate models are estimated and based on the minimum AIC value, MS(3)-AR(2) is returned as the optimal model among the six candidate models. The MS(3)-AR(2) analysis provides evidence of regime-switching behaviour in the stock market. The study also shows that only extreme events can switch the ASI returns from regime 1 to regime 2 and to regime 3, or vice versa. It further specifies an average duration period of 9, 3 and 4 weeks for the accumulation/distribution, big-move and excess/panic regimes respectively which is an evidence of favorable market for investors to trade. Based on Root Mean Square Error and Mean Absolute Error, the fitted MS-AR model is adjudged the most appropriate ASI returns forecasting model. The study recommends investments in stock across the regimes that are switching between accumulation/distribution and big-move phases for promising returns.