CBN Digital Commons (Central Bank of Nigeria)
Not a member yet
1580 research outputs found
Sort by
The sensitivity of Nigerian stock exchange sectors to macroeconomic risk factors
No full textThis paper investigated the sensitivity of sector index returns on the Nigerian Stock Exchange to macroeconomic risk factors such as the spread between deposit and lending rates of banks, the slope of the yield curve, broad money supply, interest rates, exchange rates, inflation and the international price of oil. We found that the Banking, Food and Beverage, and insurance sectors were sensitive to some macroeconomic risk factors but not to others. The Oil and Gas sector was sensitive to the slope of the yield curve only. This study estimated the elasticities of macroeconomic factors in the Nigerian Stock Exchange using the sectoral indices. It is also one of the few studies that has tested the Arbitrage Pricing Theory (API) on distinct sectors of the Nigerian Stock Exchange. A number of policy implications on prudential guidelines, sectoral inventions, direction of investments and hedging strategies are indicated
Exchange rate policy and economic management: a theoretical nexus
No full textThis article focused on exchange rate policy and economic management: a theoretical nexu
Dollarisation: any possibility in Nigeria and its effects on economic management and exchange rate stability
No full textThis paper examined various type and definitions of dollarization, the possibility of dollarization in Nigeria and its effect on economic management. The author emphasized on unofficial dollarization and its benefits and costs
Welcome address at the executive seminar on exchange rate policy and economic management
No full textThis is a welcome address by the Director of Human Resources Department on the 2015 CBN executive seminar jointly organized by the Research and Human Resources Departments
Analysis of monetary policy decision making among Monetary Policy Committee members at the Central Bank of Nigeria.
No full textThis paper provided an empirical analysis of policy-makers\u27 voting patterns on interest rates in Nigeria. Employing a (pooled) Taylor rule and using real-time data obtained from published personal statements of monetary policy committee members at the Central Bank of Nigeria (CBN), the paper tests for preference heterogeneity among MPC members. The aggregate reaction function as well as individual reaction functions for MPC members were used to tests whether there is a difference between the voting patterns of internal members and that of external members of the committee. Our results suggest evidence of heterogeneity among MPC members and that the voting patterns of the internal members are statistically different from that of the external members
Macroeconomic trillema and monetary policy in Nigeria
No full textThe paper explores how the macroeconomic trilemma influences monetary Policy choices and action in practical terms. Section 1 is the introduction, section 2 examines in greater details key conceptual issues. After it a review of the historical epochs of the trilemma, followed by contemporary country experiences in managing the trilemma. Section five examines the challenges of the trilemma in Nigeria while the last section concludes the paper
Testing Volatility in Nigeria Stock Market using GARCH Models
No full textThe contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to February 11, 2013, this study estimates first order symmetric and asymmetric volatility models each in Normal, Student’s-t and generalized error distributions with the view to selecting the best forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect meaning that volatility responds more to bad news than it does to equal magnitude of good news. The news impact curves validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student’s t error distribution as the best predictive model based on Root Mean Square Error and Theil Inequality Coefficient. The study therefore recommends that empirical works should consider alternative error distributions with a view to achieving a robust volatility forecasting model that could guarantee a sound policy decisions
Foreign direct investment-trade nexus in Nigeria: do structural breaks matter?
No full textIn this paper, three innovations are introduced to the literature on the Foreign Direct Investment (FDI)-trade nexus: identification and consideration of structural breaks in the underlying time series data; use of disaggregated data set that captures the oil and non-oil dichotomy of the Nigerian economy; and introduction of identified break in the short-run model. The study found the existence of a co-integrating relationship between the variables amidst observed breaks in 1980 and 1992. Thus, considering structural breaks in estimations cannot be downplayed as ignoring this may yield biased and inconsistent estimates. Findings revealed a one-way causal linkage between non-oil imports and oil exports to oil FDI with no reverse causality observed, while non-oil FDI was found to Granger cause non-oil exports. The results made a case for further diversification of trade in a bid to dampen the effects of exogenous shocks as well as gearing more efforts towards the provision of an enabling environment, particularly in the non-oil sector to spur direct investments
The sensitivity of Nigerian stock exchange sectors to macroeconomic risk factors
No full textThis paper investigated the sensitivity of sectoral index returns on the Nigerian Stock Exchange to macroeconomic risk factors such as the spread between deposit and lending rates of banks, the slope of the yield curve, broad money supply, interest rates, exchange rates, inflation and the international price of oil. The study found that the banking, food and beverage, and insurance sectors were sensitive to some macroeconomic risk factors but not to others. The oil and gas sector was sensitive to the slope of the yield curve only. This study estimated the elasticities of macroeconomic factors in the Nigerian Stock Exchange using the sectoral indices. It is also one of the few studies that has tested the Arbitrage Pricing Theory (APT) on distinct sectors of the Nigerian Stock Exchange. A number of policy implications on prudential guidelines, sectoral inventions, direction of investments and hedging strategies are indicated
Foreign direct investment trade nexus in Nigeria: do structural breaks matter?
No full textln this paper, three innovations are introduced to the literature on the Foreign Direct Investment (FDl) -trade nexus; identification and consideration of structural breaks in the underlying time series data; use of disaggregated data set that captures the oil and non-oil dichotomy of the Nigerian economy; and introduction of identified break in the short-run model. We found the existence of a co-integrating relationship between the variables amidst observed breaks in 1980 and 1992. Thus, considering structural breaks in estimations can not be downplayed as ignoring this may yield biased and inconsistent estimates. Findings revealed a one-way causal linkage between non-oil imports and oil exports to oil FDl with no reverse causality observed, while non-oil FDI was found to Granger cause non-oil exports. The result made a case for further diversification of trade in a bid to dampen the effects of exogenous shocks as well as gearing more efforts towards the provision of an enabling environment, particularly in the non-oil sector to spur direct investments