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Modelling the Impact of Government Expenditure on Economic Growth in Nigeria: The Moderating Effects of Oil and Non-oil Revenue
No full textThis study examines the relationship between government expenditure and economic growth and assesses the moderating effects of oil revenue and non-oil revenue in Nigeria from 1981 to 2021. The study uncovered short-term asymmetry in the government expenditure-economic growth nexus while the long-term relationship was symmetric. The study found that government expenditure is a significant determinant of economic growth in Nigeria and that oil and non-oil revenue influences the nexus between government expenditure and economic growth in Nigeria positively. The study recommends efficient management of oil revenue, directing investments during high revenue periods and ensuring fiscal sustainability. Government should also establish transparency, long-term fiscal planning, ensuring budget compliance measures, and an independent fiscal oversight body for consistency in fiscal expansion strategies, strengthening revenue collection, capacity building, and political commitment, restructuring budget allocation to prioritize capital expenditure over recurrent expenditure while ensuring accountability and transparency in project implementation, channelling resources into viable ventures, and improving fiscal management to reduce corruption and ensure efficient capital project execution
Assessment of Fuel Prices as Determinants of Inflation in Nigeria: A VECM Approach
No full textThis study examines the effect of petroleum price on the direction of inflation in Nigeria - whether or not movement in prices of other goods and services responds to increase in pump price of premium motor spirit (PMS) otherwise known as petrol in Nigeria. The study employs the Vector Error Correction Model (VECM) and Granger causality tests to estimate the long-run relationship between petro! price and inflation as well as direction of causality for the 1991- 2021 period. Data for the study were sourced from the National Bureau of Statistics (NBS) and World Bank data indicators covering inflation, pump-price of premium motor spirit (PMS) and automotive gas oil (AGO) for the period under review. Findings of the study reveal that petroleum pump price has a Significant positive relationship with inflation in Nigeria. The study recommends that the Nigerian authorities should consider a gradual step-by-step petrol subsidy removal as a policy tool to stem the tide of inflation resulting from incessant increases in the pump price of petrol
Bitcoin and South African Stock Market Returns during COVID-19 Pandemic: A test of the Safe-Haven Hypothesis
No full textThis paper tests the safe-haven property of Bitcoin for South African stocks using Full and Diagonal BEKK-GARCH models. The study uses the Johannesburg stock exchange Top40 index, and bitcoin returns data before COVID-19 (August 2018 to December 2019) and during COVID-19 (January 2020 to June 2021). The results show that bitcoin cannot be considered as safe-haven for stocks in South Africa since it is weakly correlated with stock and had a high volatility during the Pandemic. Therefore, the safe-haven hypothesis of bitcoin on South African stocks is not true for the period under study. The policy implication is that bitcoin is not an appropriate safe-haven asset on South African stocks because it lacks store of value properties
Rethinking the Phillips Curve in Nigeria: Assessing the Unemployment-Inflation Nexus in a Non-Linear Framework
No full textThe need to boost economic growth through policies that will simultaneously enhance employment and price stability cannot be overemphasized for a developing economy like Nigeria. This study thus seeks to ascertain the nexus between unemployment and inflation in Nigeria utilizing unemployment, and other control variables between 1980 and 2020 within a nonlinear framework, the study invalidated the inverse relationship. The study thus proposed that government should formulate and implement policies that will stimulate growth through an unemployment-inflation decelerating trajectory
External Debt Pass-through to Inflation in Nigeria
No full textThis study examines external debt pass-through to inflation in Nigeria using annual data from 1981 to 2020 based on structural vector autoregressive (SVAR) model. The results reveal that an increase in external debt service leads to a significant depreciation of the exchange rate, which leads to a contemporaneous increase in inflation, while the direct response of inflation to external debt is statistically not significant. The impulse response confirms these results. The forecast error variance decomposition depicts that future values of official exchange rate depend on external debt, inflation and external debt service. The study recommends that the Nigerian government should curtail its acquisition of external loans as much as possible and widen the tax net to ensure that all taxable citizens obey their tax obligations
Modelling the Naira Exchange Rate Dependence Using Static and Time-Varying Copula
No full textThis paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were utilised. We fitted eight constant and time-varying copula families using the exchange rate standardised residuals. The study finds that the Naira exchange rate may be estimated with student t-copula, Symmetrized Joe-Clayton (SJC), or Rotated Gumbel copula models and Autoregressive (AR)– Glosten Jagannathan RunkleGeneralized Autoregressive Conditional Heteroscedastic (GJR-GARCH) (1,1) models with skewed t residuals for margins. The Naira exchange rate returns is timevarying, tail-dependent, and asymmetric. The study recommends that portfolio diversification, asset allocation of Central Bank of Nigeria foreign reserves, bank risk capital aggregation, and risk management decisions should not be based on linear correlation coefficient (Gaussian copula) but on copula models that can capture asymmetry and tail dependence, such as Student t, SJC, and Gumbel copulas
Modeling and Forecasting Inflation Rate in Nigeria: A Comparison of Regression with ARIMA Errors and ARIMA Method
No full textThe paper aimed to determine the most appropriate method for forecasting inflation rate in Nigeria between Regression with Autoregressive Integrated Moving Average (ARIMA) errors and Autoregressive Integrated Moving Average (ARIMA) method. This study uses annual data for the period 1990-2021 from World Bank. One response variable and three predictor variables are adopted. The best ARIMA method was selected from the competing ARIMA methods using Akaike Information Criterion Corrected (AICC), while the root mean squared error (RMSE) and mean absolute percentage error (MAPE) are used to select the best forecast method between the two methods of interest. The result of this study showed that regression model with ARIMA (0,0,0) errors method is the best method for predicting inflation. The finding further revealed that the inflation rate in Nigeria will rise by 20.08 percent in 2030 and by 2040 it will reduce to 10.00 percent. This study suggests that the government should narrow down an Exchange policy that will help reduce fiscal gap, enhance government revenue, and bride the savings investment gap
Food price and Inflation Adjustments in Nigeria: Evidence from Threshold Cointegration
No full textThis paper investigates two stages of transmission through which inflation stabilization policy affects headline inflation by estimating a threshold cointegration model. The paper finds that asymmetric monetary shocks passing-through food prices exerts inflationary pressure on consumer prices, and is characterized by deep asymmetric movement, large degree of stickiness in adjusting downward, while exhibiting upward momentum in correcting food price fall. In addition, asymmetries were found in consumer price adjustment as food price shock transmits substantial inflationary pressure to consumer prices, while disinflationary effect originating from a fall in food price is inconsequential. The coefficients of adjustment were found to be robust in the sub-sample. This paper concludes that an unconventional monetary policy intervention that aims at stabilizing headline inflation by means of stimulating food supply could unavoidably inflate food prices more than it could deflate it especially if the elasticity of domestic food output to money supply growth is less compared to response of food price to money supply. Hence, caution must be taken on the size differential of output response to the net rise in money supply and price adjustment to the expansion in money supply
Improving the efficiency of exponential ratio-type estimator for population median: A calibration weight adjustment approach
No full textThis paper modifies the Bahl and Tuteja exponential ratio-type estimator for population median under simple random and stratified sampling schemes using calibration weight adjustment technique with supplementary information to vary the stratum weights. The bias and mean square error of the modified estimator were obtained up to the second-order approximation, which satisfies the necessary conditions for efficiency. The findings show that the new estimator surpasses existing estimators in efficiency gain. This suggests the appropriateness of calibration weight modification in boosting the efficiency of a population parameter estimator under stratified random sampling especially where the population parameter of the auxiliary variable is known and correlate with the variable of interest
Generalized Ratio-Product cum Regression Variance Estimator in Two-Phase Sampling
No full textThis study develops a flexible and efficient generalized ratio-product cum regression type estimator of population variance utilizing auxiliary variable in two-phase sampling that incorporates the properties of ratio-type and product-type estimators. The properties of the estimator were derived using first order approximation. The theoretical conditions under which the precision and the flexibility of the estimator is better than some classical estimators are also provided. Empirical evidence from five real datasets suggests that the proposed estimator outperforms the classical variance, ratio variance, product, and exponential ratio type estimators in terms of precision and efficiency. The estimator can be utilized to provide better variance estimates for various phenomena such as inflation variation, exchange rate variation and standard of living variation for better policymakin