Foreign private investment and economic growth in Nigeria: A cointegrated VAR and Granger causality analysis
This research uses a cointegration VAR model to study the contemporaneous long-run dynamics of theimpact of Foreign Private Investment (FPI), Interest Rate (INR) and Inflation rate (IFR) on Growth Domestic Products (GDP) in Nigeria for the period January 1970 to December 2009. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR model was appropriately identified using AIC information criteria and the VECM model has exactly one cointegration relation. The study further investigates the causal relationship using the Granger causality analysis of VECM which indicates a uni-directional causality relationship between GDP and FDI at 5% which is in line with other studies. The result of Granger causality analysis also shows that some of the variables are Ganger causal of one another; the null hypothesis of non-Granger causality is rejected at 5% level of significance for these variables.
Year of publication: |
2011
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Authors: | Abdullahi, F. Z. ; Ladan, S. ; Bakari, Haruna R. |
Published in: |
CBN Journal of Applied Statistics. - Abuja : The Central Bank of Nigeria, ISSN 2476-8472. - Vol. 02.2011, 2, p. 15-28
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Publisher: |
Abuja : The Central Bank of Nigeria |
Subject: | Cointegration | VAR | Granger Causality | FPI | Economic Growth |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 859926397 [GVK] hdl:10419/142048 [Handle] |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G24 - Investment Banking; Venture Capital; Brokerage |
Source: |
Persistent link: https://www.econbiz.de/10011482560
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