ARDL, ARIMA, Economic Growth, Forecasting, Inﬂation Threshold VAR
This study examined the causal relationship between inﬂation and economic growth as well as estimating threshold and forecasting of inﬂation in Nigeria for the period of 1961 – 2016. The study employed Granger causality test, Autoregressive Distributed Lag (ARDL), Autoregressive Integrated Moving Average (ARIMA) and a multivariate time series Vector Autoregressive (VAR) models. Granger causality test result showed that inﬂation does not granger cause economic growth and neither does economic growth granger cause inﬂation during the period of study. Using broad money supply to GDP as control variable, an inﬂation threshold of 14% -15% both in the short run and long run was established for Nigeria. As for the forecasting of inﬂation, the ﬁndings showed that VAR (1) could forecast inﬂation rate in Nigeria with high degree of accuracy. Hence, this result is vital for monetary policy formulation and need to be taken into consideration as a complement to the approach currently employed by the Central Bank of Nigeria in the targeting of a single digit inﬂation rate.
CBN Journal of Applied Statistics
Okoroafor, David O.K.; Adeniji, Sesan O.; and Olasehinde, Timilehin
"Estimating and Forecasting the Impact of Inﬂation on Economic Growth in Nigeria Using Threshold Analysis,"
CBN Journal of Applied Statistics (JAS): Vol. 9
, Article 1.
Available at: https://dc.cbn.gov.ng/jas/vol9/iss1/1