Modelling inflation rate volatility in Nigeria with structural breaks

Artikel

This study compares the performance of GARCH-Type models in modelling inflation volatility in Nigeria covering the period 1995M01 to 2016M10. In the paper, we provide two main innovations: (i) we analyze inflation rate of two pronounced consumer prices indices namely headline and core consumer price indices using the Augmented Dickey-Fuller break point test which allow for structural breaks in the data series; and (ii) the method is modified to include both symmetric and asymmetric volatility models. The empirical examination observes evidence of volatility persistence in the consumer price indices, but only headline is consistent with leverage effects. Thus, applying one-model-fits-all approach as well as discarding the role of structural breaks for inflation rate volatility in Nigeria will yield misleading and invalid policy prescriptions.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 08 ; Year: 2017 ; Issue: 1 ; Pages: 175-193 ; Abuja: The Central Bank of Nigeria

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Price Level; Inflation; Deflation
• Subject: Inflation rate ; Volatility modelling ; Leverage effects ; Monetary Policy

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Fasanya, Ismail O. ; Adekoya, Oluwasegun B.
• Event: Veröffentlichung
• (who): The Central Bank of Nigeria
• (where): Abuja
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/191694
• Last update: 10.03.2025, 11:44 AM CET