Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach
Yükleniyor...
Dosyalar
Tarih
2021
Yazarlar
Babangida, Jamilu S.
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Central Bank of Nigeria
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Monetary Policy, Nonlinear, Smooth Transition Autoregressive Model, Stock Prices
Kaynak
CBN Journal of Applied Statistics
WoS Q Değeri
Scopus Q Değeri
Cilt
12
Sayı
1
Künye
Babangida, J. S. ve Khan, A. U. I. (2021). Effect of monetary policy on the Nigerian stock market: A smooth transition autoregressive approach. CBN Journal of Applied Statistics, 12(1), 1-21.
