Papers by Peters Ihejirika
Public Sector Capital Expenditure and Economic Development Nexus in Nigeria
Previous classifications of public sector capital expenditure are more of accounting and identifi... more Previous classifications of public sector capital expenditure are more of accounting and identification purposes devoid of importance to economic development. The aim of this study is to explore which expenditure components drives economic development and thus the area of critical importance for expenditure driven economic growth. In this study, public sector capital expenditure was disaggregated and classified into four capital components: productive, human, institutional and transfers capital expenditures and evaluated in terms of their short-run and long-run relationship as well as direction of causality with economic development. The study covered the period 1960 to 2013 and applied the Johansson cointegration analysis, error correction model and Wald coefficient test to analyze the data. From the Johansson cointegration analysis, both the Trace test and Max-eigenvalue test indicates that our five variables system of equations were cointegrated at the 0.05 level of significance....
Journal of Resources Development and Management, 2018
This study investigated the impact of Financial Deepening on Human Capital development in Nigeria... more This study investigated the impact of Financial Deepening on Human Capital development in Nigeria. Human Development Index (HDI) was used as proxy for Human Capital development due to its multidimensional nature while the ratios of Credit to the Private Sector, Broad Money Supply and Market Capitalization were used to proxy financial deepening. Data sourced from Central Bank of Nigeria Statistical Bulletin (2015) and World Development Indicators from 1981 to 2015 were used. Johansen Cointegration Test was employed to determine the existence of long-run relationship between Financial Deepening and Economic Development while Error Correction Model was used to determine the adjustment factor and causality. It was found that there is a unidirectional causality running from financial deepening to Human Capital Development. The study concluded that financial deepening is important and beneficial in improving Human Capital in Nigeria. The study therefore recommends that Policy Makers shoul...
Journal of Economics and Sustainable Development, 2021
This study examined the extent SMEs are funded by deposit money banks in Nigeria. This was done t... more This study examined the extent SMEs are funded by deposit money banks in Nigeria. This was done through extensive descriptive, graphical and empirical analysis of Bank credit to SMEs data. The study generated and analyzed Bank credit to SMEs gap. It further explored Nigeria's "financing gap" which measures the need of external funds for the corporate sector. Bank credit to SMEs was found to be decreasing over the period covered (i.e. 1992 -2020). Bank Loans to SMEs as percent of Total Bank Loans reached a maximum of 47.7% in 2003 from where it had continued to decline to 0.56% in 2019 ended. Loans to Small Scale Enterprises as a percentage of Total Credit to the Private sector had been on the decline from a maximum of 27.04 % in 1992 to 0 0.54% in 2019. The analyzed SMEs Credit Gap shows that by 1992, SMEs Credit Gap was N113.664 million but by 2009, the SMEs Credit Gap has grown to N4261.46 billion and N7725.51 billion in 2016. The SMEs Credit Gap as at 2019 ended stood at N7565.51 billion. For the corporate sector, the financing gap is alarming as results reveal a financing gap of N3, 176,147,942,428.47 trillion in 2019. Thus, policies and actions aimed at reversing the downward trend in credit to SMEs as well as closing the financing gap should be intensified. Deposit money banks not just Microfinance banks should be encouraged to lend more to SMEs and remove all obstacles (hidden charges that increase the interest rate) while providing more technical assistance to SMEs.
Asian Journal of Economics, Business and Accounting
This study has applied two distinct methods of analysis to evaluate and compare the predictive ab... more This study has applied two distinct methods of analysis to evaluate and compare the predictive ability of certain EWIs of financial crisis when gaps are generated using two filter methods – the Hodrick – Prescott and Kalman Filters. First, the receiver operating characteristics curve where the area under the receiver operating characteristic (AU-ROC) curve and distance to corner were the basis of evaluation and 2, the logistic regression encompassing the estimates for individual indicator parameters, the model Expectation-Prediction Evaluation and the Hosmer-Lemeshow (HL) and Andrews Tests for goodness-of-fit. On the basis of the AU-ROC and Distance to Corner, the study concludes that the credit-to-GDP gap is a predictor of financial crisis in Nigeria. On the other hand, the Logit regression leads to the conclusion that none of the EWIs tested (Credit-to-GDP gap, Nonperforming loans, Loan-to-Deposit ratio and asset prices) could predict financial crisis at the 5% level of significan...
Journal of Resources Development and Management, Aug 1, 2019
This study examined the causal relationship between financial deepening and unemployment in Niger... more This study examined the causal relationship between financial deepening and unemployment in Nigeria from 1981 to 2015. Using secondary data obtained from the Central Bank of Nigeria (CBN) 2015 and from the World Development Indicators published by the World Bank, the study specifically examined the effect of financial deepening variables (ratio of credit to private sector to GDP, ratio of broad money to GDP and ratio of market capitalization to GDP) on Unemployment. The Error Correction Model (ECM) and Granger Causality Test were employed in the analysis and it was found that Credit to Private Sector and Broad money supply reduced unemployment implying that as more people gain access to finance, more job creating investments will be established to employ more people thereby reducing unemployment while Market Capitalization was not significant to influence Unemployment. In the long run all the variables were jointly found to influence unemployment and causality was found to be unidirectional flowing from financial deepening to unemployment. Among other recommendations, this study recommended that the Monetary Authority and the Government should make credit available to the citizenry especially the poor and the vulnerable.
Archives of Business Research, Nov 30, 2017
This paper examined the Empirical Regularities of Nigeria's Foreign Private Portfolio Investment ... more This paper examined the Empirical Regularities of Nigeria's Foreign Private Portfolio Investment Return and Volatility. The study covered the periods between 1981 and 2014. An EGARCH model was specified. The analysis involves carrying out the tests for Financial Assets and Risk assumptions. The study revealed that Foreign Private Portfolio Investment Returns show Volatility clustering. Secondly, Foreign Private Portfolio Investment Return and Risk were found to have Thick tail. Variance Ratio Test [VRT] was used to test the weak form efficiency of the efficient market hypothesis and hence the non-predictability of financial markets. The Results showed that changes in one direction are more often followed by similar changes in either direction (volatility clustering). Given that Nigeria's Foreign Private portfolio investment empirical imperatives is regular like that of the rest of the world, the paper thus recommends that investment decision models used by advanced analyst in developed countries can be applied to developing countries like Nigeria with little modification with respect to Foreign Private Portfolio Investment as their assets and risks display similar characteristics with assets and risks in developed countries.
Research Journal of Finance and Accounting, 2013
This paper examined the characteristics of volatilities in the Nigerian stock exchange (NSE) and ... more This paper examined the characteristics of volatilities in the Nigerian stock exchange (NSE) and their prospects for option trading. Also, the paper tested the information efficiency of the historical volatilities of the NSE All Share Index (ASI) and NSE30 Index equities using Variance Ratio Wild Bootstrap Joint Tests. The study found that one equity has a long left tail distribution, while others were positively skewed. Three equities have kurtosis and Jarque Bera probability statistics that approximate that of a normal distribution. All other stocks including the NSE ASI are leptokurtic and have Jarque Bera statistics that indicate strong conditional heteroscedasticity. The standard deviation statistics show that the degree of volatility vary among the NSE30 index equities. The Variance Ratio Wild Bootstrap Joint Tests based on the Chow-Denning maximum |z| statistic show that for the monthly volatilities, eight equities and the NSE ASI generally reject the null hypothesis that they are martingales. The three month moving volatilities, shows that three stocks strongly reject the null of a martingale while the NSE ASI and the rest of the NSE30 Index equities failed to reject the null hypothesis. Given the standard deviation of the NSE30 Index equities monthly and three month moving volatilities, option traders may be better off writing/buying options on these equities than the NSE ASI which is comparably the least volatile. As for whether investors can rely on past volatility information on the NSE ASI and NSE30 Index equities, the results are mixed and therefore depends on the particular asset of interest.
Oman Chapter of Arabian Journal of Business and Management Review, 2014
This study examined how interest rates affect the profitability of deposit money banks in Nigeria... more This study examined how interest rates affect the profitability of deposit money banks in Nigeria. The study was based on country aggregate level annual data that covered a period of thirteen years 1999 to 2012 and made use of multivariate regression analysis under an econometric framework. The Augmented Dickey and Fuller unit root test results indicate that the series are either I(0), I(1) or I(2) stationary. The estimated results show that Maximum lending rate, Real Interest rate and Savings deposit rate have negative and significant effects on the profitability of Nigerian deposit money banks as measured by return on assets at the 5% level of significance. Also, the study found that Real interest rate at the 8% level of significance has negative and significant relationship with Return on Equity of money deposit banks in Nigeria. On the other hand, the study found no significant relationship between interest rate variables and Net Interest Margin of Deposit Money Banks in Nigeria. The implication of the findings of this study suggests that the profitability of the banking sector is a function of changing interest rates. The study therefore recommends that government should adopt monetary policies that will help Nigerian deposit money banks to improve on their profitability and there is need to review and strengthen bank lending rate policies through effective and efficient regulation and supervisory framework. Banks can improve their profitability through charging moderate lending rates as against maximum rates as their circumstances may allow. Furthermore, the managers of money deposit banks are expected to create the conditions for an efficient banking system devoid of information asymmetry to adapt to changing macroeconomic variables of interest rates and inflation. Banks' management must efficiently manage their portfolios in order to protect the long run interest of profit-making.
The study apply the Autoregressive Distributed Lag (ARDL) Model approach to cointegration analysi... more The study apply the Autoregressive Distributed Lag (ARDL) Model approach to cointegration analysis and Error Correction Model (ECM) to examine the relationships between dividend payout policy, capacity utilization and the industrial production index for Nigeria. The cumulative sum of recursive residuals (CUSUM) and the Cumulative Sum of Squares of Recursive Residuals (CUSUMSQ) were used to test for structural stability of the model. The results from the ADF unit root tests indicate that the average dividend yield and the industrial production index are first difference stationary while capacity utilization is an I(0) variable. The ARDL bounds tests suggest that the average dividend yield, capacity utilization and the industrial production index series are cointegrated. The ECM also reveals that capacity utilization and the industrial production index have significant causative implications for dividend payout policy. The CUSUM and CUSUMSQ plots lie within the 5 per cent critical bound thus providing evidence that the parameters of the model do not suffer from any structural instability over the period of study. The analysis suggests that policies designed to increase the capacity utilization rate should be favourable for the dividend payout policy of firms in Nigeria. These might include government policies aimed at developing infrastructure, creating enabling environment for effective and profitable productive activities to grow as well as the ability to operate at optimal capacity as a sin-qua-non to achieving policy objectives by firms.
Archives of Business Research, Nov 30, 2017
This paper examined the Empirical Regularities of Nigeria's Foreign Private Portfolio Investment ... more This paper examined the Empirical Regularities of Nigeria's Foreign Private Portfolio Investment Return and Volatility. The study covered the periods between 1981 and 2014. An EGARCH model was specified. The analysis involves carrying out the tests for Financial Assets and Risk assumptions. The study revealed that Foreign Private Portfolio Investment Returns show Volatility clustering. Secondly, Foreign Private Portfolio Investment Return and Risk were found to have Thick tail. Variance Ratio Test [VRT] was used to test the weak form efficiency of the efficient market hypothesis and hence the non-predictability of financial markets. The Results showed that changes in one direction are more often followed by similar changes in either direction (volatility clustering). Given that Nigeria's Foreign Private portfolio investment empirical imperatives is regular like that of the rest of the world, the paper thus recommends that investment decision models used by advanced analyst in developed countries can be applied to developing countries like Nigeria with little modification with respect to Foreign Private Portfolio Investment as their assets and risks display similar characteristics with assets and risks in developed countries.
Research Journal of Finance and Accounting, 2013
This paper examined the characteristics of volatilities in the Nigerian stock exchange (NSE) and ... more This paper examined the characteristics of volatilities in the Nigerian stock exchange (NSE) and their prospects for option trading. Also, the paper tested the information efficiency of the historical volatilities of the NSE All Share Index (ASI) and NSE30 Index equities using Variance Ratio Wild Bootstrap Joint Tests. The study found that one equity has a long left tail distribution, while others were positively skewed. Three equities have kurtosis and Jarque Bera probability statistics that approximate that of a normal distribution. All other stocks including the NSE ASI are leptokurtic and have Jarque Bera statistics that indicate strong conditional heteroscedasticity. The standard deviation statistics show that the degree of volatility vary among the NSE30 index equities. The Variance Ratio Wild Bootstrap Joint Tests based on the Chow-Denning maximum |z| statistic show that for the monthly volatilities, eight equities and the NSE ASI generally reject the null hypothesis that they are martingales. The three month moving volatilities, shows that three stocks strongly reject the null of a martingale while the NSE ASI and the rest of the NSE30 Index equities failed to reject the null hypothesis. Given the standard deviation of the NSE30 Index equities monthly and three month moving volatilities, option traders may be better off writing/buying options on these equities than the NSE ASI which is comparably the least volatile. As for whether investors can rely on past volatility information on the NSE ASI and NSE30 Index equities, the results are mixed and therefore depends on the particular asset of interest.
Oman Chapter of Arabian Journal of Business and Management Review, 2014
This study examined how interest rates affect the profitability of deposit money banks in Nigeria... more This study examined how interest rates affect the profitability of deposit money banks in Nigeria. The study was based on country aggregate level annual data that covered a period of thirteen years 1999 to 2012 and made use of multivariate regression analysis under an econometric framework. The Augmented Dickey and Fuller unit root test results indicate that the series are either I(0), I(1) or I(2) stationary. The estimated results show that Maximum lending rate, Real Interest rate and Savings deposit rate have negative and significant effects on the profitability of Nigerian deposit money banks as measured by return on assets at the 5% level of significance. Also, the study found that Real interest rate at the 8% level of significance has negative and significant relationship with Return on Equity of money deposit banks in Nigeria. On the other hand, the study found no significant relationship between interest rate variables and Net Interest Margin of Deposit Money Banks in Nigeria. The implication of the findings of this study suggests that the profitability of the banking sector is a function of changing interest rates. The study therefore recommends that government should adopt monetary policies that will help Nigerian deposit money banks to improve on their profitability and there is need to review and strengthen bank lending rate policies through effective and efficient regulation and supervisory framework. Banks can improve their profitability through charging moderate lending rates as against maximum rates as their circumstances may allow. Furthermore, the managers of money deposit banks are expected to create the conditions for an efficient banking system devoid of information asymmetry to adapt to changing macroeconomic variables of interest rates and inflation. Banks' management must efficiently manage their portfolios in order to protect the long run interest of profit-making.
The study apply the Autoregressive Distributed Lag (ARDL) Model approach to cointegration analysi... more The study apply the Autoregressive Distributed Lag (ARDL) Model approach to cointegration analysis and Error Correction Model (ECM) to examine the relationships between dividend payout policy, capacity utilization and the industrial production index for Nigeria. The cumulative sum of recursive residuals (CUSUM) and the Cumulative Sum of Squares of Recursive Residuals (CUSUMSQ) were used to test for structural stability of the model. The results from the ADF unit root tests indicate that the average dividend yield and the industrial production index are first difference stationary while capacity utilization is an I(0) variable. The ARDL bounds tests suggest that the average dividend yield, capacity utilization and the industrial production index series are cointegrated. The ECM also reveals that capacity utilization and the industrial production index have significant causative implications for dividend payout policy. The CUSUM and CUSUMSQ plots lie within the 5 per cent critical bound thus providing evidence that the parameters of the model do not suffer from any structural instability over the period of study. The analysis suggests that policies designed to increase the capacity utilization rate should be favourable for the dividend payout policy of firms in Nigeria. These might include government policies aimed at developing infrastructure, creating enabling environment for effective and profitable productive activities to grow as well as the ability to operate at optimal capacity as a sin-qua-non to achieving policy objectives by firms.
Oman Chapter of Arabian Journal of Business and Management Review, 2012
This study examined the factors that affect the dividend payout policy of firms within the Life c... more This study examined the factors that affect the dividend payout policy of firms within the Life cycle theory framework. It sought to discover the propensity to pay or not to pay dividends by firms in Nigeria. The study was based on a sample of 62 firms with a total of 558 observations over a nine-year period covering 2000-2008. Maximum Likelihood (ML) Binary Logit (Quadratic hill climbing) models were used to undertake the analysis. The estimated results revealed that the tendency of a firm to pay or not to pay dividends is most affected by Return on Equity (ROE), Life cycle stage (LCS) and Size. The Test of Model Accuracy show that overall, the estimated model correctly predicts 74.55% (49.12% of the Dep=0 and 91.87% of the Dep=1) observations. The results of the Logit model Goodness-of-Fit test χ² to test The Validity of the Model report Hosmer-Lemeshow statistic of 13.12 (p-value = 0.175), and Andrews Statistic 11.72(p-value = 0.375) respectively. These statistics indicate that the Logit model provides a good fit to the data and that the estimates of the variables' parameters in the model are meaningful The above findings show that ROE and Size has positive relationships with the propensity to pay dividends while the relationship between life cycle stage and the propensity to pay dividends is negative. This is against the positive relationship expected by the study. Finally, one practical utility of the study is the fact that it can guide investors in Nigeria and elsewhere decide between capital gain and cash dividend firms in building their portfolios of investments.
Uploads
Papers by Peters Ihejirika