Effect of Monetary Policy on the Nigerian Stock Market: A Smooth Transition Autoregressive Approach
نویسندگان
چکیده
This paper examines the nonlinear effect of monetary policy decisions on performance Nigerian Stock Exchange market, by employing Smooth Transition Autoregressive (STAR) model monthly data from 2013 M4 to 2019 M12 for All Share Index and instrument. study considers two regimes characterizing stock which are lower regime (the bear market) upper bull market). The results show evidence exchange market. Monetary rate, money supply, lagged rate treasury bill found have significant positive effects market in while current shows a negative effect. In regime, supply is It recommended that Central Bank Nigeria should maintain stable growth consistent with increased activities
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ژورنال
عنوان ژورنال: CBN Journal of Applied Statistics
سال: 2021
ISSN: ['2476-8472']
DOI: https://doi.org/10.33429/cjas.12121.1/6