Artikel
Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach
This paper examines the nonlinear effect of monetary policy decisions on the performance of the Nigerian Stock Exchange market, by employing the Smooth Transition Autoregressive (STAR) model on monthly data from 2013 M4 to 2019 M12 for All Share Index and monetary policy instrument. This study considers the two regimes characterizing the stock market, which are the lower regime (the bear market) and the upper regime (the bull market). The results show evidence of nonlinear effect of monetary policy on the stock exchange market. Monetary policy rate, money supply, lagged monetary policy rate and lagged treasury bill rate are found to have significant positive effects on the stock exchange market in the lower regime while current treasury bill rate shows a negative effect. In the upper regime, money supply and lagged treasury bill rate have significant negative effect on the stock market. The current treasury bill rate is found to have a positive effect on the stock exchange market. It is recommended that the Central Bank of Nigeria should maintain a stable money supply growth that is consistent with increased activities in the Nigerian stock market.
- Sprache
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Englisch
- Erschienen in
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Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 12 ; Year: 2021 ; Issue: 1 ; Pages: 1-21 ; Abuja: The Central Bank of Nigeria
- Klassifikation
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Wirtschaft
Financial Econometrics
General Equilibrium and Disequilibrium: Financial Markets
Monetary Policy
Central Banks and Their Policies
General Financial Markets: General (includes Measurement and Data)
- Thema
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Monetary policy
nonlinear
smooth transition autoregressive model
stock prices
- Ereignis
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Geistige Schöpfung
- (wer)
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Babangida, Jamilu S.
Khan, Asad ul Islam
- Ereignis
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Veröffentlichung
- (wer)
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The Central Bank of Nigeria
- (wo)
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Abuja
- (wann)
-
2021
- DOI
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doi:10.33429/Cjas.12121.1/6
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Babangida, Jamilu S.
- Khan, Asad ul Islam
- The Central Bank of Nigeria
Entstanden
- 2021
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