IDEAS home Printed from https://ideas.repec.org/a/bcp/journl/v8y2024i11p743-755.html
   My bibliography  Save this article

Trans-Atlantic Transmission of Inflation Rate Shocks: Any Macroeconomic Concern for Nigeria?

Author

Listed:
  • Agu, Anthony O.

    (Department of Economics, Chukwuemeka Odumegwu Ojukwu University, Igbariam, Anambra State)

  • Adonike, Kingsley Chidera

    (Department of Economics, Chukwuemeka Odumegwu Ojukwu University, Igbariam, Anambra State)

  • Egbunike, Innocent Ifeanacho

    (Department of Economics, Chukwuemeka Odumegwu Ojukwu University, Igbariam, Anambra State)

  • Ideh, Timothy Ogbemudiare

    (Department of Economics, Dennis Osadebe University, Asaba, Delta State, Nigeria)

Abstract

The great convergence of global economies has led to undue uncertainties in several domestic economies. In the era of globalization, macroeconomic policies applied in one country can have a trans-boarder effect on other countries, either positively or negatively. As a result, this research paper focuses on examining the transmission of inflation rate shocks from the trans-Atlantic regions and its potential macroeconomic implications in Nigeria. The study utilizes annual time series data from the World Bank’s Development Indicators for the year 2023. To achieve the objectives of this investigation, several econometric tests were conducted on the relevant variables. These tests include the Augmented Dickey-Fuller (ADF) test, Philip Peron Test, Johansen Cointegration test, variance decomposition test, and impulse response test. Each of these tests serves a specific purpose in analyzing the relationship between the policy variables and their impact on Nigerian economy. The impulse response analysis of our VAR model shows that Nigerian variables respond significantly to shocks from foreign variables. The study therefore concluded that macroeconomic shocks in Nigeria are mostly from across the Atlantic. In line with this, the study recommended that the Central Bank of Nigeria (CBN) should be cautious of both domestic developments and movements in the US prices in order to assess the potential risks of inflation.

Suggested Citation

  • Agu, Anthony O. & Adonike, Kingsley Chidera & Egbunike, Innocent Ifeanacho & Ideh, Timothy Ogbemudiare, 2024. "Trans-Atlantic Transmission of Inflation Rate Shocks: Any Macroeconomic Concern for Nigeria?," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(11), pages 743-755, November.
    • Handle: RePEc:bcp:journl:v:8:y:2024:i:11:p:743-755
    as

    Download full text from publisher

    File URL: https://www.rsisinternational.org/journals/ijriss/Digital-Library/volume-8-issue-11/743-755.pdf
    Download Restriction: no
    File URL: https://rsisinternational.org/journals/ijriss/articles/trans-atlantic-transmission-of-inflation-rate-shocks-any-macroeconomic-concern-for-nigeria/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Edwards, Sebastian, 2010. "The international transmission of interest rate shocks: The Federal Reserve and emerging markets in Latin America and Asia," Journal of International Money and Finance, Elsevier, vol. 29(4), pages 685-703, June.
    2. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    3. Chuku A. Chuku & Usenobong F. Akpan & Ndifreke R. Sam & Ekpeno L. Effiong, 2011. "Oil price shocks and the dynamics of current account balances in Nigeria," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 35(2), pages 119-139, June.
    4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Eberechukwu Uneze & Maxwell Ekor, 2012. "The determinants of current account balance in an oil-rich exporting country: the case of Nigeria," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 36(4), pages 456-478, December.
    2. Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014. "Using large data sets to forecast sectoral employment," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(2), pages 229-264, June.
    3. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
    4. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
    5. Scheiblecker, Marcus, 2013. "Between cointegration and multicointegration: Modelling time series dynamics by cumulative error correction models," Economic Modelling, Elsevier, vol. 31(C), pages 511-517.
    6. J. Mark MUNOZ & Al NAQVI, 2017. "Artificial Intelligence and Urbanization: The Rise of the Elysium City," Journal of Economics and Political Economy, KSP Journals, vol. 4(1), pages 1-13, March.
    7. Erdal Demirhan & Banu Demirhan, 2015. "The Dynamic Effect of ExchangeRate Volatility on Turkish Exports: Parsimonious Error-Correction Model Approach," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(4), pages 429-451, September.
    8. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    9. Diamandis, Panayiotis F., 2009. "International stock market linkages: Evidence from Latin America," Global Finance Journal, Elsevier, vol. 20(1), pages 13-30.
    10. Tüzemen Samet & Barış-Tüzemen Özge & Çelik Ali Kemal, 2021. "The relationship between information and communication technologies and female labour force participation in Turkey," Economics and Business Review, Sciendo, vol. 7(4), pages 121-145, December.
    11. Rault, Christophe, 2005. "Further Results on Weak Exogeneity in Vector Error Correction Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 25(2), November.
    12. MAÏ ASSAN CHEDI, Maman, 2022. "Does Defence Expenditure Affect Education and Health expenditures in Saharan Africa?," African Journal of Economic Review, African Journal of Economic Review, vol. 10(4), September.
    13. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.
    14. Klaus Prettner & Robert Kunst, 2012. "The dynamic interrelations between unequal neighbors: an Austro-German case study," Empirical Economics, Springer, vol. 43(2), pages 741-761, October.
    15. Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick, 2010. "Cointegration in a historical perspective," Journal of Econometrics, Elsevier, vol. 158(1), pages 156-159, September.
    16. Ali Anari & James Kolari, 2001. "Stock Prices And Inflation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(4), pages 587-602, December.
    17. Parisa Foroutan & Salim Lahmiri, 2024. "Connectedness of cryptocurrency markets to crude oil and gold: an analysis of the effect of COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-23, December.
    18. Signe Rosenberg, 2015. "The Impact of a Change in Real Estate Value on Private Consumption in Estonia," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 7(2).
    19. Mudit Kulsreshtha & Barnali Nag, 2000. "Structure and dynamics of non-suburban passenger travel demand in Indian railways," Transportation, Springer, vol. 27(2), pages 221-241, May.
    20. Sayef Bakari & Nissar Fakraoui & Sofien Tiba, 2021. "Domestic Investment, Export, Import And Economic Growth In Brazil: An Application Of Vector Error Correction Model," Journal of Smart Economic Growth, , vol. 6(1), pages 31-48, Mars.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcp:journl:v:8:y:2024:i:11:p:743-755. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dr. Pawan Verma (email available below). General contact details of provider: https://rsisinternational.org/journals/ijriss/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.