Does Fiscal Deficit Granger Cause Impulsiveness in Inflation Rate in Nigeria?

Oseni Isiaq Olasunkanmi (isiaqoseni0406@gmail.com) and Sanni Hauwa Yetunde (hys33@bath.ac.uk)
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Oseni Isiaq Olasunkanmi: Olabisi Onabanjo University
Sanni Hauwa Yetunde: Bells University of Technology

Acta Universitatis Danubius. OEconomica, 2016, issue 12(4), 208-216

Abstract: This study examines the direction of causality between fiscal policy and inflation volatility in Nigeria for the periods 1981 to 2014. Studies have examined the relationship between fiscal policy and inflation volatility without taking cognizant of the direction of relationship that exist between the two variables, hence this study. The study employs quarterly time series data on fiscal deficit and consumer price index (measure of inflation rate) from 1981:1 to 2013:3 and obtains from the central bank of Nigeria statistical bulletin 2014 while the volatility data is generated through GARCH (1,1) method and analyze using the Pairwise Granger Causality Test. The results of the study showed that there is bi-directional causality between fiscal deficit (F-statistic=5.86 & 3.96;P

Keywords: Inflation Volatility; Fiscal Deficit; GARCH; Bivariate Granger Causality Test (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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