Investigating the Causality between Unemployment Rate, Major Monetary Policy Indicators and Domestic Output using an Augmented Var Approach: A Case of Nigeria

Investigating the Causality between Unemployment Rate, Major Monetary Policy Indicators and Domestic Output using an Augmented Var Approach: A Case of Nigeria

Alabi Nurudeen Olawale

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Bada Olatunbosun

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Investigating the Causality between Unemployment Rate, Major Monetary Policy Indicators and Domestic Output using an Augmented Var Approach: A Case of Nigeria

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Abstract

This paper is an investigation of causal relationships that exist between macroeconomic variables in Nigeria context. These variables are interest rate, inflation rate, exchange rate, real gross domestic product, and unemployment rate. Often, a variable can better be forecasted by introducing past and current values of some other variables in the ARMA model or its AR approximation. We achieved this by employing an augmented VAR approach, such as the procedure proposed by Toda-Yamamoto. This current work included a unit-root test with trend break functions without a priori information. Specifically, we employed the extended Augmented Dickey-Fuller test through innovational outlier and additive outlier models. The truncation parameter was selected using the t-sig and F-sig general to specific recursive techniques. Unknown breakpoints were observed, which indicates a strong connection with the data.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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Not applicable for this article.

How to Cite This Article

Alabi Nurudeen Olawale. 2019. \u201cInvestigating the Causality between Unemployment Rate, Major Monetary Policy Indicators and Domestic Output using an Augmented Var Approach: A Case of Nigeria\u201d. Global Journal of Human-Social Science - E: Economics GJHSS-E Volume 19 (GJHSS Volume 19 Issue E6).

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GJHSS Volume 19 Issue E6

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Crossref Journal DOI 10.17406/GJHSS

Print ISSN 0975-587X

e-ISSN 2249-460X

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GJHSS-E Classification FOR Code: 1149999

Submission ReceivedDecember 14, 2018
Peer Review Double Blind
Handling Editor
Accepted January 3, 2019
Published January 15, 2019

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August 19, 2019

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