A Business Cycle Model for Nigeria

Authors

Alege O. Philip, Central Bank of NigeriaFollow

Keywords

Shocks, Calibration, DSGEM, DYNARE, Bayesian Estimation

Abstract

The current global financial meltdown draws, once again, attention to the existence of business cycle fluctuations. Experts are of the view that the ongoing crisis is far deeper than the great depression of the 1930s. It should be recalled that the Keynes and Keynesianism was a response to that depression. Therefore, the objective of this paper is to develop a small business cycle model in the spirit of Dynamic Stochastic General Equilibrium (DSGE) model for Nigeria designed to examine the sources of business cycles, and use the model for policy analysis. This paper considers the implications of three policy shocks namely: monetary supply, technology and export supply on some macroeconomic aggregates. While the paper adopts the Nason and Cogley (1994) and Schorfheide (2000) models, it, however, introduces export sector into the model with a view to capturing the transmission channel of terms of trade. The method of estimation is the Bayesian and the paper uses DYNARE codes (dyn_mat_v4). The results obtained in this study show that the Nigerian business cycle is driven by both real and nominal shocks.

Author Bio

The author is a staff of the Department of Economics and Development Studies, Covenant University, Ota, Ogun State, NIGERIA

Publication Title

CBN Journal of Applied Statistics 2020

Issue

1

Volume

3

Recommended Citation

Philip, Alege O. (2021) "A Business Cycle Model for Nigeria," CBN Journal of Applied Statistics (JAS): Vol. 3: No. 1, Article 5.
Available at: https://dc.cbn.gov.ng/jas/vol3/iss1/5