Information Content of Interest Rates Spreads in Nigeria

Teriba, Ayo

doi:10.2139/ssrn.873150

Cited by 6 publications

(3 citation statements)

References 67 publications

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“…With respect to Nigeria, there are limited studies relating to the predictive ability of the yield curve in determining economic activities, perhaps due to paucity of data. One of the few related studies examined the information content of the yield spread in predicting future economic activities (Teriba, 2006). The author employed simple regression equations to investigate if the yield spread contains any useful information about the the level of future economic activity in Nigeria.…”

Section: Empirical Literaturementioning

confidence: 99%

Can the Yield Curve Predict Economic Growth Performance? Empirical Evidence from Nigeria

2021

RJFA

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The paper investigates the capability of the yield curve to predict future economic activity in Nigeria, especially before, during and after the 2016/2017 economic recession. Using quarterly data on the index of industrial production (as a proxy for economic growth) and yield spread, we generated regression results for various data samples including the era of the global financial crisis-GFC (2007)(2008)(2009); pre-economic recession in Nigeria (2010)(2011)(2012)(2013)(2014)(2015) and economic recession / slow recovery (2016)(2017)(2018)(2019).Though the model behaved differently before, during and after the 2016/2017 economic recession, general results indicated the substantial predictive power of the yield spread in providing a good forecast of the level of economic activity up to four quarters into the future. The paper therefore, strongly demonstrated the influence of yield spreads in predicting the future level of Nigeria's economic activity.

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Section: Empirical Literaturementioning

confidence: 99%

Can the Yield Curve Predict Economic Growth Performance? Empirical Evidence from Nigeria

2021

RJFA

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“…The focus of our work is on static kind of yield curve modeling. The other yield curve-related works done for the Nigerian bond market include Teriba (2006) who investigates the ability of the yield curve and the yield spread to predict growth in real outputs in the Nigerian economy. Oyedele (2014) also does similar work by studying the relationship between the term structure of interest rates, on one side, and economic activities and inflation rates, on the other side.…”

Section: Introductionmentioning

confidence: 99%

Zero-Coupon, Forward, and Par Yield Curves for the Nigerian Bond Market

et al. 2019

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The Nigerian bond market is currently one of the most liquid in sub-Saharan Africa. Many African countries regard it as a model from which to learn and based on which to develop their respective bond markets. The developments achieved in the Nigerian bond market are of particular interest to both investors and fixed income analysts—both domestic and international. One of the important tools required for fixed income analysis, pricing, and trading is the yield curve. To the best of our knowledge, even though the Nigerian bond market has a secondary market yield curve, the yield curve is a yield-to-maturity curve, and not zero-coupon yield curve. The purpose of this study is to model the zero-coupon, par, and forward yield curves for the Nigerian bond market. We use various methods such as the piecewise cubic Hermite method, the piecewise cubic spline method (with not-a-knot end condition), the Nelson–Siegel–Svensson method, and the variable roughness penalty method. Data are obtained from the FMDQ OTC website. The results show that the piecewise cubic Hermite method is very suitable for producing the Nigerian par and zero-coupon yield curves. Our best recommended method for producing the Nigerian zero-coupon yield curve is therefore the piecewise cubic Hermite method, followed by the Nelson–Siegel–Svensson method. For the forward yield curve, the results show that the best method is the Nelson–Siegel–Svensson method, followed by the variable roughness penalty method.

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“…Nigeria experienced severe macroeconomic problems towards the end of 1970s through the first half of the 1980s when output declined substantially. The real GDP growth rate averaged only 1.5% per annum during the period 1973-1980 (registering negative growth rate in 6 years during the period) (Teriba, 2006). In response to this deteriorating economic situation, the Nigerian authorities launched policy programmes contained in the Structural Adjustment Programme (SAP).…”

Section: Introductionmentioning

confidence: 99%

Interest Rate Transmission Effect on Money Supply: The Nigerian Experience

Ebiringa¹

2012

jpag

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This paper investigates the effect of interest indices on money supply. The motivation is to ensure stability in money supply through sustainable interest rate management. The period 1990-2007 was covered. The Eviews software was used to carry out autoregressive analysis on the variable as well as an assessment of the effects on interest rate indices on money supply. The results among others show that minimum rediscount rate and savings rate have made significant positive impact on money supply. On the other hand, lending rate has made insignificant negative impact on money supply.Based on the above results the conclusion of the study the inability of the monetary authority to narrow the gap between saving and lending rate remains a key to the problem of instability in money supply, hence concerted effort must by made to strengthen the capacity of regulatory authorities to use market based options monitor and control periodic volatility in money supply through an effective interest rate regimes.

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Information Content of Interest Rates Spreads in Nigeria

Cited by 6 publications

References 67 publications

Can the Yield Curve Predict Economic Growth Performance? Empirical Evidence from Nigeria

Can the Yield Curve Predict Economic Growth Performance? Empirical Evidence from Nigeria

Zero-Coupon, Forward, and Par Yield Curves for the Nigerian Bond Market

Interest Rate Transmission Effect on Money Supply: The Nigerian Experience

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