SIGNAL EXTRACTION FROM THE BOND MARKET AND INFLATION FORECASTING IN NIGERIA

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dc.contributor.authorMUDIARE, Ejiroghene Daniel
dc.date.accessioned2016-01-26T13:12:12Z
dc.date.available2016-01-26T13:12:12Z
dc.date.issued2015-04
dc.descriptionBEING A THESIS SUBMITTED TO THE SCHOOL OF POSTGRADUATE STUDIES, AHMADU BELLO UNIVERSITY, ZARIA IN PARTIAL FULFILLMENT OF THE REQUIREMENTS FOR THE AWARD OF MASTER OF SCIENCE DEGREE (M.sc) IN ECONOMICS.en_US
dc.description.abstractThere is the global recognition of the importance of expectations in the conduct of monetary policy, which can be attributed to the growth of financial markets, and the fact that economic fundamentals are driven, by expectations of the market agents. In an ever changing economic and financial environment, the CBN would require all the information it can get to respond to these changes in accordance with its policy objectives. Some of such information can be sourced from the bond market. The study seeks to examine the extent to which the information on private sector expectations of inflation which is contained in the yield curve that can improve inflation forecast. This would consequently increase the information set available to the CBN to forecast future inflation. The study is predicated on the premises that are enunciated in the Expectations Theory of Term Structure of Interest Rates. The theory suggests that interest rates and prices are driven by expectations.VAR model was estimated using quarterly data on security prices, inflation, MPR, and exchange rate for the period of 2006-2013. The study finds that: (i) there is information about private sector expectation embedded in the yield curves (ii) the proxy for expectation (treasury bills with 90 days maturity) has a significant effect on inflation in Nigeria (iii) the yield spread can indeed improve inflation forecast in Nigeria. The study concludes that the information embedded in the prices of securities can improve inflation forecast and monetary policy in Nigeria. From these findings, the study recommends that CBN should increase effectiveness and efficiency of monetary policy through the inclusion of the yield curve in modeling inflation in Nigeria. Furthermore, government in collaboration with the Central Bank of Nigeria should take effective measures to improve liquidity in the bond market which often disrupt the information signals found in security prices.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/7337
dc.language.isoenen_US
dc.subjectSIGNAL,en_US
dc.subjectEXTRACTION,en_US
dc.subjectBOND,en_US
dc.subjectMARKET,en_US
dc.subjectINFLATION,en_US
dc.subjectFORECASTING,en_US
dc.subjectNIGERIAen_US
dc.titleSIGNAL EXTRACTION FROM THE BOND MARKET AND INFLATION FORECASTING IN NIGERIAen_US
dc.typeThesisen_US
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