Financial Development, Investment and Economic Growth: Evidence from Nigeria

The paper evaluates the relationship among financial development, investment and economic growth in Nigeria. It also examines the role of investment in financial development and how it influences economic growth in Nigeria. The paper applies the standard Vector autoregression (VAR) framework of Johansen, the Inoue (1999) cointegration framework with endogenous structural break model and Johansen et al. (2000) cointegration test with exogenous structural breaks, respectively. After accounting for structural breaks in the series, the study establishes a long-run relationship among financial development, investment and economic growth. This indicates that failure to account for structural breaks in the series may lead to bias estimates and may mislead policy conclusion. It further reveals that investment is a critical channel that influences economic growth through financial development

The Day of the Week effect on stock market returns and volatility: Evidence from Nigeria and South Africa.

This paper examines the day of the week effect for the Nigerian and South African equity markets over pre-liberalisation and post-liberalisation periods. The paper uses Exponential Generalized Autoregressive Conditional Hetroskedasticity (EGARCH) model to estimate the day of the week effect both in the mean and variance equations. The post-liberalisation period for the Nigerian equity market exhibits day of the week effect on Fridays only in the mean equation. While in the variance equation, there is evidence of day of the week effect on Tuesdays and Thursdays respectively. In South Africa, there is significant evidence of the day of the week effect on Mondays and Fridays during the pre-liberalization period. During the post-liberalisation period, there is evidence of day of the week effect on Thursdays in the mean equation and Fridays only in the variance equation

Forecasting US output growth with large information sets

We forecast US output growth using an array of both Classical and Bayesian models including the recently developed Dynamic Variable Selection prior with Variational Bayes [DVSVB] of Koop and Korobilis (2020). We accommodate over 300 predictors that are incrementally captured from 5 factors, 60 factors to over 300 factors covering relevant economic agents. For robustness, we allow for both constant and time varying coefficients as well as alternative proxies for output growth. Using data covering 1960:Q1 to 2018:Q4, our results consistently support the use of high-dimensional models when forecasting US output growth regardless of the choice of forecast measure. For the density forecast of real GDP growth in particular, the results favour the DVSVB and time varying parameter assumption.https://refpress.orgam2022Economic

Financial Development, Economic Growth and Stock Market Volatility: Evidence from Nigeria and South Africa

This thesis focuses on financial development, economic growth and market volatility in Nigeria and South Africa. For Nigeria, the thesis examines the long-run causality between financial development and economic growth. It uses three measures of financial development: financial development index measured using principal component analysis, bank credit to private sector, and liquid liabilities. For South Africa, the thesis evaluates the causal relationship between stock market development and economic growth. It uses both bank and stock market variables: bank credit to private sector, market capitalisation, turnover ratio, and value shares traded. The study applies Multivariate vector autoregressive (VAR) and Vector Error Correction Model (VECM). It further uses Generalised Impulse Response Function (GIRF) and Variance Decomposition (VDC). The results for Nigeria suggest the existence of unidirectional causality from economic growth to financial development using bank credit to private sector. While using liquid liabilities, it indicates bidirectional causality between financial development and economic growth. In the case of South Africa, the findings suggest the existence of bidirectional causality between financial development and economic growth using the banking system. However, when the stock market variables are used, the results indicate unidirectional causality from economic growth to stock market system. The thesis further examines the effect of financial liberalisation on the Nigerian and South African equity markets. It applies the Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) model and endogenous structural break tests. These are examined over pre- and post-liberalisation periods. The official liberalisation dummy is added to the augmented EGARCH model to capture the effect of financial liberalisation. The findings show that none of the estimated break dates coincides with the official liberalisation dates for the two countries. When structural breaks are taken into account, volatility tends to decline following financial liberalisation, and the effect of financial liberalisation on the stock markets is negative and statistically significant