In this paper, I consider panel data analysis of world economies to identify the relationship bet... more In this paper, I consider panel data analysis of world economies to identify the relationship between GDP growth and the independent variables, and the nature of effect that may exist. Annual data for 161 countries from 1990 to 2020 sourced from the World Bank and UN are used. GDP is the independent variable while the independent variables are population, gross value added, total natural resources rent, and labor force. Firstly, a poolability test is performed to test for the joint significance of the fixed effects. The null hypothesis is rejected as there exist significant individual effects. Secondly, Huesman’s test is performed to test for consistency of fixed effect and random effect. The null hypothesis is rejected implying significant random effects exist. Thirdly, Bruesch-Pagan test for heteroscedasticity is performed, which shows the existence of heteroscedasticity. Finally, White’s covariance matrix estimator for random effect is performed which results to consistent and ef...
A VAR framework with exogenous variable is considered to analyse the exchange rate pass-through d... more A VAR framework with exogenous variable is considered to analyse the exchange rate pass-through dynamics in Kenya. Monthly time series data from January 2006 to December 2022 is used. Six endogenous variables namely; US dollar exchange rate, broad money supply, total import, 20 Nairobi stock exchange share index, consumer price index and 91 days treasury bond rate sourced from the central bank of Kenya were considered. Global food price index and oil prices per barrel sourced from statista and Murban Adnoc respectively are the exogenous variables. Unit root test is first performed to test for stationary in line with VAR assumptions. Oil price and total import are the only stationary variables, while the other variables are of integrated order 1. Secondly, a VARX (2,0) is estimated, which is statistically significant at 5% level. Thirdly, Granger causality test is performed, that provide evidence of causality for 20 Nairobi stock exchange share index, consumer price index and broad m...
International journal of statistics and applied mathematics (ISSN:2456-1452), 2022
In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analys... more In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analyse the macroeconomic indicators so as to identify the determinants of Kenya's public debt for the period 2001 to 2021 by applying the Johansen cointegration test coupled with VECM analysis. Quarterly time series data sourced from CBK are used. Public debt is the dependent variable while independent variables are USD exchange rate, capital and reserves, trade balance, budget deficit, net foreign assets, interest payments on debts and credit to the private sector. Firstly, the variables are tested for stationarity using unit root test. Trade balance, budget deficit, and interest payments on debts are stationary in the levels while public debt, USD exchange rate, capital and reserve, net foreign asset, and the credit to the private sector are non-stationary, however, stationary at first difference making them integrating time series of order one at a 5% level of significance. Secondly, the VAR model is estimated using OLS. The results of the ECM indicate cointegration relationship with error term of 0.0454. The ECM identifies net foreign asset, USD exchange rate, and capital and reserves as the main determinants of increasing public debt following a long-run relationship. Net foreign assets and credit to the private sector reduces public debt while USD exchange rate and capital and reserves increases public debt in a long-run relationship. Thirdly, the VECM model is statistically significant at a 5% level. Finally, under the prevailing financial mechanism, public debt is projected to hit Ksh 9.453 trillion mark with a margin of error of 0.556 trillion by June 2023.
In this paper, I consider panel data analysis of world economies to identify the relationship bet... more In this paper, I consider panel data analysis of world economies to identify the relationship between GDP growth and the independent variables, and the nature of effect that may exist. Annual data for 161 countries from 1990 to 2020 sourced from the World Bank and UN are used. GDP is the independent variable while the independent variables are population, gross value added, total natural resources rent, and labor force. Firstly, a poolability test is performed to test for the joint significance of the fixed effects. The null hypothesis is rejected as there exist significant individual effects. Secondly, Huesman’s test is performed to test for consistency of fixed effect and random effect. The null hypothesis is rejected implying significant random effects exist. Thirdly, Bruesch-Pagan test for heteroscedasticity is performed, which shows the existence of heteroscedasticity. Finally, White’s covariance matrix estimator for random effect is performed which results to consistent and ef...
A VAR framework with exogenous variable is considered to analyse the exchange rate pass-through d... more A VAR framework with exogenous variable is considered to analyse the exchange rate pass-through dynamics in Kenya. Monthly time series data from January 2006 to December 2022 is used. Six endogenous variables namely; US dollar exchange rate, broad money supply, total import, 20 Nairobi stock exchange share index, consumer price index and 91 days treasury bond rate sourced from the central bank of Kenya were considered. Global food price index and oil prices per barrel sourced from statista and Murban Adnoc respectively are the exogenous variables. Unit root test is first performed to test for stationary in line with VAR assumptions. Oil price and total import are the only stationary variables, while the other variables are of integrated order 1. Secondly, a VARX (2,0) is estimated, which is statistically significant at 5% level. Thirdly, Granger causality test is performed, that provide evidence of causality for 20 Nairobi stock exchange share index, consumer price index and broad m...
International journal of statistics and applied mathematics (ISSN:2456-1452), 2022
In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analys... more In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analyse the macroeconomic indicators so as to identify the determinants of Kenya's public debt for the period 2001 to 2021 by applying the Johansen cointegration test coupled with VECM analysis. Quarterly time series data sourced from CBK are used. Public debt is the dependent variable while independent variables are USD exchange rate, capital and reserves, trade balance, budget deficit, net foreign assets, interest payments on debts and credit to the private sector. Firstly, the variables are tested for stationarity using unit root test. Trade balance, budget deficit, and interest payments on debts are stationary in the levels while public debt, USD exchange rate, capital and reserve, net foreign asset, and the credit to the private sector are non-stationary, however, stationary at first difference making them integrating time series of order one at a 5% level of significance. Secondly, the VAR model is estimated using OLS. The results of the ECM indicate cointegration relationship with error term of 0.0454. The ECM identifies net foreign asset, USD exchange rate, and capital and reserves as the main determinants of increasing public debt following a long-run relationship. Net foreign assets and credit to the private sector reduces public debt while USD exchange rate and capital and reserves increases public debt in a long-run relationship. Thirdly, the VECM model is statistically significant at a 5% level. Finally, under the prevailing financial mechanism, public debt is projected to hit Ksh 9.453 trillion mark with a margin of error of 0.556 trillion by June 2023.
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Papers by John K . Njenga