Open Access Journal Article

Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach

by richard umeokwobi a,* ,  Abayomi Awujola b ,  Emeka Nkoro c  and  Marvelous Aigbedion b
a
Central Bank of Nigeria, Nigeria
b
Bingham University, Nasarawa State, Nigeria
c
University of Port-Harcourt, Nigeria
*
Author to whom correspondence should be addressed.
FEL  2024, 25; 3(1), 25; https://doi.org/10.58567/fel03010004
Received: 11 December 2023 / Accepted: 5 January 2024 / Published Online: 19 January 2024
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Abstract

Excessive volatility in financial markets can disrupt economic activity, affect investor and consumer confidence, and potentially lead to financial crises in an economy. Due to this backdrop, this study examined the link between asset class volatility and the output gap in Nigeria. The asset classes were categorized into stock, crude, gold, and bitcoin. The study adopted the GARCH and Bayesian VAR approach and found that all share index has an initial negative impulse with output gap while other asset classes have a positive impulse on output gap. The outcome of this study revealed to both policymakers and economists the potential risks and vulnerabilities of asset class volatility in the economy. Based on this result, recommendations are made amongst which is the strengthening of the Nigerian stock market to help with the inflationary pressures this is because the Nigerian stock market hurt the output gap also, the government should prioritize investing in crude, gold, and bitcoin to push the actual output to full capacity, which brings about employment.

Keywords: Asset Classes, Output Gap, GARCH, Bayesian VAR, Nigeria;
Copyright: © 2024 by umeokwobi, Awujola, Nkoro and Aigbedion. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.

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ACS Style
umeokwobi, r.; Awujola, A.; Nkoro, E.; Aigbedion, M. Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach. Financial Economics Letters, 2024, 3, 25. https://doi.org/10.58567/fel03010004
AMA Style
umeokwobi r, Awujola A, Nkoro E, Aigbedion M. Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach. Financial Economics Letters; 2024, 3(1):25. https://doi.org/10.58567/fel03010004
Chicago/Turabian Style
umeokwobi, richard; Awujola, Abayomi; Nkoro, Emeka; Aigbedion, Marvelous 2024. "Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach" Financial Economics Letters 3, no.1:25. https://doi.org/10.58567/fel03010004
APA style
umeokwobi, r., Awujola, A., Nkoro, E., & Aigbedion, M. (2024). Nexus Between Asset Class Volatility and the Output Gap in Nigeria: A Bayesian Var Approach. Financial Economics Letters, 3(1), 25. https://doi.org/10.58567/fel03010004

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