Naira-Dollar Exchange Rate Volatility Modeling Using Quadratic Moving Average Conditional Heteroscedasticity (QMACH)

This study investigates possible alternative modeling of Naira-Dollar exchange rate volatility in Nigeria. The paper makes use of the monthly data on Naira-Dollar exchange rates from 1991 to 2016 which was sourced from the Central Bank of Nigeria statistical bulletin. In order to realize the aim of this study, a newly proposed Quadratic Moving Average Conditional Heteroscedasticity (QMACH) model was employed to investigate the volatility of Naira-Dollar exchange rate. The ADF unit root test reveals that the Naira-Dollar exchange rate return is stationary and this permits the usage of Quadratic Moving Average Conditional Heteroscedasticity (QMACH) methodology. The empirical analysis indicates that Naira-Dollar exchange rate volatility indeed follows the QMACH movement just like it follows both ARCH and GARCH movement .In comparison with ARCH and GARCH modeling, QMACH outperforms both as shown through the log likelihood statistics and the information criteria

The Impact of Money Supply on Nigeria Economy: A Comparison of Mixed Data Sampling (MIDAS) and ARDL Approach

The study investigated the long and short run relationships between broad money supply and real aggregate output (GDP) in Nigeria from 1981 to 2015. This study set to investigate the perplexity whether or not money supply as the major monetary policy measures actually impact on the Nigerian economy. This work made use of data of different frequencies (yearly and quarterly) in order to reveal some hidden facts that data of the same frequency might fail to show. An unrestricted version of Mixed Data Sampling (U-MIDAS) technique and Autoregressive Distributed Lag (ARDL) technique were employed. The ADF unit root test revealed that the yearly real GDP and quarterly broad money supply contained a unit root and this permit the testing of cointegration among the variables. The U-MIDAS results affirm the existence of a long and short-run relationship between yearly real GDP and quarterly broad money supply at different season while the ARDL result affirm that money supply impacted significantly on real GDP in the long run only. The study concluded that the disequilibrium correction terms from the two analytical approaches showed the evidence that there is a tendency for growth targeting in Nigeria which is one of the major objectives of Nigeria economy though at a slower rate. It was therefore recommended that monetary authority should maintain the level of inflation targeting in the economy and the volume of money to be supply should be monitored as too much money supply in the economy will lead to skyrocketing inflation and also the periodic money multiplier should be made efficient by supplying the money into the circulation regularly so as to co-trend with the real GDP growth by making cash available for business transactions and other economic activities, this will by means improve the real GDP of Nigeria economy. &nbsp

Agro-processing Output and Agricultural Sector Employment: Evidence from South Africa

This paper empirically examined the relationship between agro-processing sub-sector output and agricultural sector employment in South Africa by using time series data from 1975-2015. The study employed ARDL-bounds testing approach to examine the existence long-run equilibrium relationship. The result of the ARDL test confirmed the existence of long-run relationship among the variables examined. The long-run estimate result revealed that the relationship between agro-processing output and agricultural sector employment is negative in the long-run. The study further examined the causality between agro-processing output and agricultural sector employment using TYDL causality test and it observed a unidirectional causal relationship running from agro-processing output to agricultural sector employment. While it is deduced that agro-processing sector output is found to be unable to promote agricultural sector employment, this study recommends stimulation of agricultural export for agricultural sector employment generation in South Africa

Symmetric Oil Price Shock and the Nigerian Economy: An Empirical Re-Investigation Using SVECM and ARDL Approach

This study investigates the response of the Nigerian economy to symmetric oil price shock. It made use of annual data that spanned 1960 to 2016. A Structural Vector Error Correction Model (SVECM) and Autoregressive Distributed Lag (ARDL) techniques were employed. The Augmented Dickey-Fuller unit root tests revealed that the variables employed are non-stationary and precisely of order one. A cointegration test among the variables is passed and there is only one unique cointegrating vector. The results from both the SVECM and the ARDL suggest that real GDP will initially respond positively to oil price shock symmetrically but later decreases sharply, with the potential to lapse the Nigerian economy into a long time recession if not properly managed.  It is therefore recommended that the productive base of the Nigerian economy should be diversified to other sectors. Also, security arrangements in the key oil- producing areas should be improved in order to avoid negative oil price shocks that could destabilize and plunge the economy

The Saint-Louis Equation Rebirth: Re-Accessing Fiscal and Monetary Policy Mix in Nigeria

This study restates the Saint-Louis equation to reinvestigates the relative effectiveness of fiscal and monetary policies on the Nigerian economy. This study made use of annual data that spanned 1981-2015. The unit root test revealed that the variables employed contained a unit root. An Autoregressive Distributed Lag (ARDL) technique was used. Cointegration test among the variables was passed using the ARDL bound test technique. The ARDL parameter estimates are not sufficient enough to convince hence we compute impulse response function for the estimated ARDL model. The impulse responses show that GDP responses to fiscal and monetary policy shocks are mixed in signs. Ultimately, the impulse responses allow us to find out that the very long run responses of GDP to fiscal and monetary policies shocks are negative and positive. This study helps to shed light on fiscal-monetary impacts’ puzzle in the existing literature. Conclusively from our findings, monetary policy is effective than fiscal policy in Nigeria. Based on our findings, we suggest that the government and the policymakers should try to simultaneously make fiscal and monetary policies formulation in such a way that their temporal and cumulative effects on the economy for growth and sustainability motive would be positiv