International Journal of Econometrics and Financial Management

ISSN (Print): 2374-2011

ISSN (Online): 2374-2038

Editor-in-Chief: Tarek Sadraoui

Website: http://www.sciepub.com/journal/IJEFM

   

Article

Test for Autoregressive Conditional Heteroscedasticity in Naira/US Dollar Exchange Rate in Nigeria

1Department of Banking and finance, Rhema University Aba, Abia State, Nigeria

2Department of Financial Management Technology, Federal University of Technology Owerri, Imo State, Nigeria


International Journal of Econometrics and Financial Management. 2016, 4(1), 11-16
doi: 10.12691/ijefm-4-1-2
Copyright © 2016 Science and Education Publishing

Cite this paper:
Emenike Kalu O., Peter Ifeanyichukwu Ali. Test for Autoregressive Conditional Heteroscedasticity in Naira/US Dollar Exchange Rate in Nigeria. International Journal of Econometrics and Financial Management. 2016; 4(1):11-16. doi: 10.12691/ijefm-4-1-2.

Correspondence to: Emenike  Kalu O., Department of Banking and finance, Rhema University Aba, Abia State, Nigeria. Email: emenikekaluonwukwe@yahoo.com

Abstract

The objective of this paper is to analyse the behaviour of Naira/US$ exchange rates in Nigeria. Specifically, the paper examines the descriptive statistics of Naira/US$ exchange rates and whether the series follow autoregressive conditional heteroscedastic (ARCH) using monthly data sample covering January 2000 to December 2013. The estimates from descriptive statistics show that the official market exchange rate in Nigeria is negatively skewed with platykurtic distribution. The Jarque-Bera statistics support evidence of non-normality in the Naira/US$ exchange rate series. The results of the augmented Dickey-Fuller (ADF) unit root tests suggest that the series contain unit root at level but are stationary at first difference. Estimates from the ARCH tests show that official market exchange rates in Nigeria are heteroscedastic. This implies that ARCH family models are appropriate for modeling volatility exchange rate in Nigeria.

Keywords

References

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Article

Bond Markets and Financial Stability: Evidence from the Asian Experience

1Avicenne Private Business School Tunisia

2Higher Institute of Business Administration Tunisia


International Journal of Econometrics and Financial Management. 2016, 4(1), 17-28
doi: 10.12691/ijefm-4-1-3
Copyright © 2016 Science and Education Publishing

Cite this paper:
Mourad Hmida, Mohsen Bensalem Brahmi. Bond Markets and Financial Stability: Evidence from the Asian Experience. International Journal of Econometrics and Financial Management. 2016; 4(1):17-28. doi: 10.12691/ijefm-4-1-3.

Correspondence to: Mourad  Hmida, Avicenne Private Business School Tunisia. Email: hmida.mourad@yahoo.fr

Abstract

Since the advent of the financial crisis of 1997-98, the development of bond markets in Asia is the center of interest of the governments of the region. This effort reflects the prevalent view recently emphasized the importance of domestic bond markets in the prevention of financial fragility in an open capital flows context. The aim of this article is to investigate about the nature and mechanisms of the links between the development of bond markets and financial stability. The analysis focuses on the experience of nine Asian countries over the period 1997 - 2009. The tests cover specific aspects of the development of a bond market hand, and financial stability indicators of capital adequacy, asset quality and profitability in the other hand. The empirical study reveals a significant role of the domestic bond markets in reducing financial vulnerability of the region.

Keywords

References

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Article

A New Cointegration Econometric Analysis for Contagious and Volatility Spillovers of Subprime Crisis Effects

1Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia

2Department of Quantitative Methods, Higher Institute of Society Administration


International Journal of Econometrics and Financial Management. 2016, 4(2), 29-38
doi: 10.12691/ijefm-4-2-1
Copyright © 2016 Science and Education Publishing

Cite this paper:
Tarek Sadraoui, Bechir Deghachi, Rahma Ben Aissa. A New Cointegration Econometric Analysis for Contagious and Volatility Spillovers of Subprime Crisis Effects. International Journal of Econometrics and Financial Management. 2016; 4(2):29-38. doi: 10.12691/ijefm-4-2-1.

Correspondence to: Tarek  Sadraoui, Department of Quantitative Methods, Faculty of economic sciences and Management of Mahdia. Email: tarek_sadraoui@yahoo.fr, Tarek.Sadraoui@fsegs.rnu.tn

Abstract

We examine spillover effects of the recent U.S. financial crisis on five emerging Asian countries by estimating conditional correlations of financial asset returns across countries using multivariate GARCH models. We propose a novel approach that simultaneously estimates the conditional correlation coefficient and the effects of its determining factors over time, which can be used to identify the channels of spillovers. We find a dominant role of foreign investment for the conditional correlations in international equity markets. The dollar Libor OIS spread, the sovereign CDS premium, and foreign investment are found to be significant factors affecting foreign exchange markets.

Keywords

References

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