Mohammed Musa Tumala

Central Bank of Nigeria · Statistics Department

In this study, we investigate the connection between climate change and the volatility of fossil fuel prices using the GARCH-MIDAS framework which accommodates mixed data frequencies and by extension circumvents information loss due to splicing or aggregation of one variable for the other. We conduct a battery of robustness tests that allow for nom...

This study examines stock return and volatility spillovers between Nigeria and five global markets (study adopts the Diebold-Yilmaz interconnectedness index and concludes that most of the returns generated in Nigeria are due to domestic shocks, implying that the country is less integrated. Also, larger proportion of risks in Nigeria are attributabl...

In this study, we investigate the effects of disentangled oil shocks on the volatility of the stock markets of Nigeria and South Africa using Mixed Data Sampling variant of the Generalized Autoregressive Conditional Heteroscedasticity (GARCH-MIDAS) model. The disentangled oil shocks involve oil supply shock, economic activity shock, oil consumption...

This study investigates the size and determinants of the shadow economy in Nige-ria. It adopts an aggregation approach within the monetary framework and utilises the ARDL estimation technique to analyse quarterly data from 2010 Q1 to 2019 Q4. On average, the results suggest that the quarterly size of the shadow economy is about 55 per cent of the c...

In this study, we investigate the effect of oil price on the real GDP growth of Nigeria. We contribute to the extant literature on oil price-growth nexus in three ways. First, we employ one of the recently developed Mixed Data Sampling models owing to its ability to accommodate both high and low data frequencies in the same predictive model. Second...

In this paper, we trace the transmission of monetary policy shocks from three prominent sources of global financial and trade shocks (US, Europe, and China) to the two largest emerging economies in Sub-Saharan Africa (SSA) (Nigeria and South Africa). To pursue this study's objective , we employ Global Vector Autoregression (GVAR) model and update t...

In this paper, we trace the transmission of monetary policy shocks from three prominent sources of global financial and trade shocks (US, Europe, and China) to the two largest emerging economies in Sub-Saharan Africa (SSA) (Nigeria and South Africa). To pursue this study's objective, we employ Global Vector Autoregression (GVAR) model and update th...

This paper employs text-mining techniques to analyse the communication strategy of the Central Bank of Nigeria (CBN) during the period 2004-2019. Since the policy communique released after each meeting of the CBN’s monetary policy committee (MPC) represents an important tool of central bank communication, we construct a corpus based on 87 policy co...

As a result of the adverse macroeconomic effect of inflation on welfare, fiscal budgeting, trade performance, international competitiveness and the whole economy, it still remains a subject of utmost concern and interest to policy makers. The traditional Philips curve as well as other methodology has been criticized in their inability to track corr...

The recent economic conundrum arising from the fall in the international oil price has threatened the maintenance of price stability, a key function of the central bank, therefore the need to investigate predictors of inflationary measures arises. The model averaging method considers uncertainty as part of the model selection, and include informati...

We investigate returns and volatility spillovers from oil to foreign exchange (FOREX) markets in oil-exporting countries using VARMA-GARCH framework with particular focus on OPEC members. The results indicate significant bi-directional return spillovers between oil and FOREX markets in OPEC countries. Local currencies of oil exporting countries app...

Many researchers documented that if stock markets’ returns series are significantly skewed, linear-GARCH(1,1) grossly underestimates the forecast values of the returns. However, this study showed that the linear Maximal Overlap Discreet Wavelet Transform MODWT-GARCH(1,1) actually gives an accurate forecast value of the returns. The study used the d...

In this study, the daily returns of four African countries’ stock market indices for the period from January 2, 2000, to December 31, 2014, are employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform-GARCH(1,1) model. The results show that although both models fit the returns data well, the forecast...

This paper investigated volatility persistence and returns spillovers between oil and gold markets using daily historical data from 1986 to 2015 partitioned into periods before the global crisis and after the crisis. The log-returns, absolute and squared log-returns series of these asset prices were used as proxy variables to investigate volatility...

The need to understand and forecast inflationary movement will continue to be of interest to the monetary policy authorities. Substantial progress has been made in the development of both theoretical and econometric models but forecasting inflation still remains a herculean task. Recent empirical works on inflation have settled for the use of Bayes...

The 2011 survey of foreign assets and liabilities (SOFAL) of enterprises in Nigeria was conducted in June/July 2012 by the Statistics Department of the Central Bank of Nigeria (CBN) in conjunction with the Nigerian Export Processing Zone Authority, Nigerian Investment Promotion Commission and other collaborating agencies. The survey covered large e...