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Macroeconomic fluctuations,regime switching(structural breaks) and impulse responses:Nigerian evidence

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  • Nwaobi, Godwin

Abstract

While the global economic recovery continues, it remains uneven and subject to downside risks. Yet,to the extent that these linger, they could undermine growth further and foster larger macroeconomic imbalances.In fact,one unwanted characteristics that most Sub-saharan African economies share, is the prevalence and magnitude of output collapses. Unfortunately, research into output collapses remains largely unexplored and much of the focus of growth studies has been on cross-country analysis, ignoring the volatility of growth patherns. This paper therefore intends to show that the hypothesis of a common stochastic productivity trend have a set of econometric implications that allow us to test for its presence,measure its importance and extract estimates of its realized value. Distinctively, we propose to contribute to the current modelling literature by accomodating regime switching and structural break dynamics in a unified framework so as to provide a fuller understanding of the factors underlying the bulk of economic fluctuations in Nigeria.

Suggested Citation

  • Nwaobi, Godwin, 2011. "Macroeconomic fluctuations,regime switching(structural breaks) and impulse responses:Nigerian evidence," MPRA Paper 38482, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:38482
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    File URL: https://mpra.ub.uni-muenchen.de/38482/1/MPRA_paper_38482.pdf
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    Keywords

    economicfluctuations; regimeswitching; structural break; var; variancedecomposition; impulseresponses; growth volatility; nigeria; subsaharanafrica; africa; globaleconomy; markovchain; cointegration; ecm; unitroots; tradeterms; outputrate; pricelevels; persistentprofiles; dynamicforcasts;

    JEL classification:

    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)

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