Asymmetric Causality between Economic Policy Uncertainty and Macroeconomic Performance in Nigeria: Evidence from a Nonlinear Causality Framework

Mutairu Oyewale Akintunde, Ibikunle Joseph Afolabi and Abolade Oludayo Olawale
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Mutairu Oyewale Akintunde: Department of Statistics, Federal University of Agriculture, Abeokuta, Nigeria.
Ibikunle Joseph Afolabi: Department of Economics, Ajayi Crowther University, Oyo, Oyo State, Nigeria.
Abolade Oludayo Olawale: Department of Statistics, Federal Polytechnic, Ede. Osun State, Nigeria.

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Abstract: The study examines whether causal relationships between economic policy uncertainty (EPU) and macroeconomic performance in Nigeria differ across positive and negative shocks. Monthly data are analysed using the Toda–Yamamoto causality test, Hatemi-J asymmetric causality test with bootstrap inference, Zivot–Andrews structural-break test, and Diks–Panchenko nonlinear causality test. The descriptive evidence indicates non-normal and asymmetric distributions, while the structural-break analysis identifies an endogenous break in EPU in February 2020. The asymmetric causality results show a significant unidirectional effect from negative GDP growth shocks to positive EPU shocks (Wald statistic = 47.210; bootstrap p-value = 0.002). The corresponding reverse asymmetric channel is not significant (Wald statistic = 4.081; bootstrap p-value = 0.244). The Toda–Yamamoto results similarly indicate unidirectional causality from GDP growth to EPU (Wald statistic = 25.033; p

Date: 2026-09-09
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Published in Asian Journal of Economics, Finance and Management , 2026, 8 (1), pp.954-966

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05749234

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