Vector Autoregressive Modeling of Some Nigeria Inflation Factors

Page Numbers: 385-395
Published: 2024-07-31
Digital Object Identifier: 10.58578/amjsai.v1i1.3546
Save this to:
Article Metrics:
Viewed : 12 times
Downloaded : 8 times
Article can trace at:

Author Fee:
Free Publication Fees for Foreign Researchers (0.00)
Connected Papers:
Connected Papers

Please do not hesitate to contact us if you would like to obtain more information about the submission process or if you have further questions.


  • Idi D Federal University Wukari, Taraba State, Nigeria
  • David I. J Federal University Wukari, Taraba State, Nigeria

Abstract

This study investigates the modeling of some macroeconomic variables in Nigerian using multivariate monthly time series data from January 2010 to December 2019. The study examined two inflation factors which include money supply (MS) and exchange rate (ER) which are of great importance in determining inflationary effect in any economy. If MS is greater than ER then it can be said that the economy is experiencing rise in inflation and vice versa. Based on the analysis of implementing a vector autoregressive model to the data at stationarity using the Augmented Dickey–Fuller (ADF) test, Inflation rate (IR) was found to be significant only at lag 2 of IR. However, MS was found to be significant at lag 1 of ER and ER was significant at lag 1 and lag 2 of ER. The impulse response function plots clearly showed an unstable IR on MS and ER but at the later end of the periods, Nigeria IR tends towards a positive stability on MS and ER, respectively.

Keywords: Vector autoregressive; Macroeconomic variables; Information criteria; Impulse response function; Inflationary effect
Share Article:

Citation Metrics:

Downloads

Download data is not yet available.
How to Cite
D, I., & J, D. I. (2024). Vector Autoregressive Modeling of Some Nigeria Inflation Factors. African Multidisciplinary Journal of Sciences and Artificial Intelligence, 1(1), 385-395. https://doi.org/10.58578/amjsai.v1i1.3546

Creative Commons License
Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.

References

Adubisi, O. D., David, I. J., Awa, U. E. & Terna, A. J. (2018). A predictive Autoregressive Integrated Moving Average (ARIMA) model for forecasting inflation rates. Research Journal of Business & Economic Management, 1(1): 1 – 8.
Audu, I., Dikko, H. G., & Ejiemenu, S. C. (2015). Modeling the Impact of Crude Oil Price Shocks on Some Macroeconomic Variables in Nigeria Using Garch and VAR Models. American Journal of Theoretical and Applied Statistics. 4(5) 359-367.
Farouk, B. U. K., David, I. J., & Agog, N. S. (2021). Inflationary Effect on Nigeria Economic Growth: The ARDL Bound Test Approach. Journal of Economics, Management and Trade, 27(6), 25-36.
Farouk, B. U. K., David, I. J., & Agog, N. S. (2021). Interest Rate and Nigeria Economic Growth Nexus: ARDL Bounds Test Technique. Journal of Research in Business and Management, 9(8), 47-52.
David, I. J., Nnamdi, S. K., & Bamigbala, O. A. (2024). ARDL Inference for Some Macroeconomic Variables on Nigerian Stock Prices. WSB Journal of Business and Finance, 58(1), 15-31.
David, I. J., Bamigbala, O. A., Adubisi, D. O., Danjuma, I., Agog, N. S. & Ikwuoche, P. O.
(2023). Bounds Testing of Exchange Rate Effect on Economic Growth. Journal of Mathematics and Statistical Research, 5(1): 1-5.
Dickey, D & Fuller, W. (1997). Distribution of the Estimators for Autoregressive Time Series with a Unit Root, Journal of the American Statistical Association, 74, 427-431.
Dikko, H. G, Asiribo, O. E. & Agboola, S. (2015). Modelling Abrupt Shift in Time Series Using Indicator variable: Evidence of Nigeria Insurance Stock” International Journal of Finance and Accounting 4(2) 119-130.
Jayaraman, T. K, Hong, C. & Markand, B. (2013). Inflation and Growth in Fiji: A study on Threshold Inflation rate. Empirical Economic Letters, 12(2), 163-171.
Sims, C. A. (1980). Marcoeconomics and reality. Econometrica 48, 1-48.