Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach

Richard Umeokwobi, Abayomi Awujola, Emeka Nkoro and Marvelous Aigbedion
Additional contact information
Richard Umeokwobi: Central Bank of Nigeria, Nigeria
Abayomi Awujola: Bingham University, Nasarawa State, Nigeria
Emeka Nkoro: University of Port-Harcourt, Nigeria
Marvelous Aigbedion: Bingham University, Nasarawa State, Nigeria

Financial Economics Letters, 2024, vol. 3, issue 1, 52-67

Abstract: Excessive volatility in financial markets can disrupt economic activity, affect investor and consumer confidence, and potentially lead to financial crises in an economy. Due to this backdrop, this study examined the link between asset class volatility and the output gap in Nigeria. The asset classes were categorized into stock, crude, gold, and bitcoin. The study adopted the GARCH and Bayesian VAR approach and found that all share index has an initial negative impulse with output gap while other asset classes have a positive impulse on output gap. The outcome of this study revealed to both policymakers and economists the potential risks and vulnerabilities of asset class volatility in the economy. Based on this result, recommendations are made amongst which is the strengthening of the Nigerian stock market to help with the inflationary pressures this is because the Nigerian stock market hurt the output gap also, the government should prioritize investing in crude, gold, and bitcoin to push the actual output to full capacity, which brings about employment.

Keywords: Asset Classes; Output Gap; GARCH; Bayesian VAR; Nigeria (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.anserpress.org/journal/fel/3/1/25/pdf (application/pdf)
https://www.anserpress.org/journal/fel/3/1/25 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bba:j00007:v:3:y:2024:i:1:p:52-67:d:294

Access Statistics for this article

Financial Economics Letters is currently edited by Ramona Wang

More articles in Financial Economics Letters from Anser Press
Bibliographic data for series maintained by Ramona Wang ().