Authors:Rasaki OLANREWAJU, Oluwayemisi ALABA, Funmi OYELUDE, Saheed AJOBO Pages: 87 - 103 Abstract: Modification of the pro-forma of wholesale price performance of commodities has received less attention due to its technicality, mathematical derivations, rigorous computations and bounded observations. This study examined nine (9) robust members of the Beta-G family of distributions for the modification of the price performance analytics of Value-at-Risk indexes - Sharpe Ratio, Multi-period & Annualized variations, and Tracking Error indexes. The retail prices of cereals in Kano state, Nigeria were the empirical data used to verify derived solutions via tangent method for root finding. Log-logistic distributional noise for the prices of rice, maize, sorghum millet, guinea corn, cowpea, groundnut, beans, wheat and cassava produced the minimum positive risk-free rate unit of volatility of 1.6518, 0.5674, 11.3893, 9.2828, 8.8755, 10.1269, 4.1438, 41.8871, and 7.1491 respectively. Chen random noise absolved the characterized fluctuations/noisy traits in the prices of the cereals to give minimum annual and quarterly coefficient of variations of (0.8909 & 0.445); (0.8327 & 0.4163742); (0.7852 & 0.3926); (0.7819 & 0.3909); (0.8812 & 0.4406); (0.81163 & 0.4058); (0.8281 & 0.4141); (0.7873 & 0.3937); and (7.1491 & 0.8538) for maize, sorghum, millet, guinea corn, cowpea, groundnut, beans, wheat, and cassava respectively. PubDate: 2021-12-31 DOI: 10.14505/jasf.v12.2(24).01 Issue No:Vol. 12, No. 2 (2021)
Authors:Souhir AMRI AMAMOU, Sleheddine HELLARA Pages: 104 - 114 Abstract: This paper aims to test the credit default swaps (CDS) as vectors of contagion towards the bond market, classified by maturity, during the sovereign crisis for a sample of 10 developed Eurozone countries. By implementing an approach based on a VECM model subject of several econometric tests, this paper contributes to the literature by providing conclusions about the impact of a maturity effect on the vulnerability of a sovereign bond in the contagion facing the sovereign CDS market. Our findings suggest that the dynamic relationship between the CDS market and the public bond market is significantly related to the quality of the debt studied. Thus, bonds with short and medium maturities are the most susceptible to contagion promoted by CDS market. PubDate: 2021-12-31 DOI: 10.14505/jasf.v12.2(24).02 Issue No:Vol. 12, No. 2 (2021)
Authors:Shafiu Ibrahim ABDULLAHI, Kamal Kabiru SHEHU, Mukhtar SHUAIBU, Shehu Garba SALEH, Mohammed Dansabo USMAN Pages: 115 - 125 Abstract: Historically, monetary policy in Nigeria has been dominated by short term considerations. In the past few decades, monetary policy has bounced between short term and medium term considerations. Nigerian government might have tried to ensure some effectiveness in regulatory and supervisory mechanism of the entire monetary and financial ecosystem. This paper measures the influence of monetary variables on economic growth in Nigeria. Subsequently, it tests money demand function in Nigeria. It employs Generalized Method of Moments (GMM) and Autoregressive Distributed Lag Model (ARDL) for the analysis, using annual data from 1989 to 2019. The results of the analysis show money supply (M2) as important in explaining economic growth in Nigeria. The result also shows negative effects of Nigerian foreign exchange policy on economic growth in Nigeria. The result of the money demand analysis shows that income is the most important variable that explains money demand in Nigeria, even more important than interest rate which shows insignificant result. The paper recommends changes in Nigerian foreign exchange policy as the existing policies (especially, the policy somersault) are detrimental to economic growth. The paper also noted the importance of making money supply (M2) to be in tandem with overall economic growth agenda. PubDate: 2021-12-31 DOI: 10.14505/jasf.v12.2(24).03 Issue No:Vol. 12, No. 2 (2021)
Open Access journal
[8 journals]
