Journal of economics, management and trade, Apr 11, 2024
The aim of this paper is to technically analyze domestic credit growth in Kenya using the Box -Je... more The aim of this paper is to technically analyze domestic credit growth in Kenya using the Box -Jenkin framework. Box -Jenkin technique uses ARIMA model, which is used to understand time series data and forecast future values of the observed data for a given period. The framework involves three iterative step to develop a model The first step involves model parameter identification. Unit root test show that domestic credit is stationary after the first difference. The ACF and PACF indicates cut off at lag zero in both cases. There are seasonal component in the ARIMA model. In the second step of model estimation, ARIMA(2,1,2)(1, 0, 0)12 is obtained as the best fit for the sample period under consideration. Model diagnostics test in the third step, proves that there ARIMA modeling assumptions are met. The estimated model is used to forecast credit growth for the next twelve monthly values in year 2024 upto December. The estimated model projects an increase trend in domestic credit growth for the year 2024, with the percentage growth rate ranging between 1.045 to 1.230 percent. The expected domestic credit value in December 2024 is yellow is highly likely to hit Kenya shilling 8.039 Trillions mark. Kenya government should put in place monetary policy that favors bank credit growth and competition in the banking sector.
Asian research journal of mathematics, Jan 23, 2024
This research work seeks to analysis the mortality trend experienced in Kenya over the sample per... more This research work seeks to analysis the mortality trend experienced in Kenya over the sample period 1950 to 2021 using a multidimensional modeling framework. Life table functions, namely; life expectancy, survival function and age at death distribution are applied to depict mortality characteristics. Life expectancy and survival rate have significantly improved. There has been a shift in mortality status from a high mortality population, to an intermediate stage and mortality risk factors have increased across age. Mortality concentration curve and index within the Lorenz curve and Gini coefficient framework are used to analyze the lifespan inequality. Lifespan inequality is high with negligible improvements over time. Gompertz force of mortality is then estimated, which is statistically significant at 5% level. Deaths at exact age 25 is about 35 per ten thousand, with the rate death rate increasing by 6.09% per year starting from age 25. Under the assumptions of stable population, where the mortality and fertility functions are independent of time, Malthusian parameter is estimated which is less than zero for selected years. Kenya is a shrinking population and death rate decrease with increase in Malthusian parameter. Finally, to model long-term mortality rate forecast, Lee-Carter model is estimated. The model is statistically significant at 5% level explaining 78.4% of the variations. Expected life expectancy at a given age is projected to increase, with life expectancy at birth in 2030 and 2071 being 65.6 and 70.5 years respectively.
Asian journal of economics, business and accounting, Mar 8, 2024
In this paper, Holt-Winters exponential smoothing approach is applied to model and forecast month... more In this paper, Holt-Winters exponential smoothing approach is applied to model and forecast monthly CPI in Kenya and South Africa. Monthly data from January 2000 to December 2023 was obtained from Central Bank of Kenya and South Africa department of statistics. Time series decomposition showed that the trend component is the most dominant component in both countries. Kenya Holt-Winters estimated model has parameters 0.6756, 0.0077 and 1 for level smoothing, trend smoothing and seasonal smoothing respectively. On the other hand, South Africa estimated model has parameters 0.8917, 0.1057 and 1 for level smoothing, trend smoothing and seasonal smoothing respectively. The estimated models are efficient and effective as on average the fitted values are less than one percent off the observed values. The initial values for level smoothing, trend smoothing and seasonal smoothing are approximately equal in both countries. The estimated models are then used to predict CPI next twelve months. Over the forecast period, South Africa will experience a lower index as compared to Kenya. In both countries, it's expected that monthly CPI will rise.
International journal of statistics and applied mathematics, Nov 1, 2022
In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analyse... 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 stationary 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
In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analyse... 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 stationary 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.
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.
Journal of economics, management and trade, Apr 11, 2024
The aim of this paper is to technically analyze domestic credit growth in Kenya using the Box -Je... more The aim of this paper is to technically analyze domestic credit growth in Kenya using the Box -Jenkin framework. Box -Jenkin technique uses ARIMA model, which is used to understand time series data and forecast future values of the observed data for a given period. The framework involves three iterative step to develop a model The first step involves model parameter identification. Unit root test show that domestic credit is stationary after the first difference. The ACF and PACF indicates cut off at lag zero in both cases. There are seasonal component in the ARIMA model. In the second step of model estimation, ARIMA(2,1,2)(1, 0, 0)12 is obtained as the best fit for the sample period under consideration. Model diagnostics test in the third step, proves that there ARIMA modeling assumptions are met. The estimated model is used to forecast credit growth for the next twelve monthly values in year 2024 upto December. The estimated model projects an increase trend in domestic credit growth for the year 2024, with the percentage growth rate ranging between 1.045 to 1.230 percent. The expected domestic credit value in December 2024 is yellow is highly likely to hit Kenya shilling 8.039 Trillions mark. Kenya government should put in place monetary policy that favors bank credit growth and competition in the banking sector.
Asian research journal of mathematics, Jan 23, 2024
This research work seeks to analysis the mortality trend experienced in Kenya over the sample per... more This research work seeks to analysis the mortality trend experienced in Kenya over the sample period 1950 to 2021 using a multidimensional modeling framework. Life table functions, namely; life expectancy, survival function and age at death distribution are applied to depict mortality characteristics. Life expectancy and survival rate have significantly improved. There has been a shift in mortality status from a high mortality population, to an intermediate stage and mortality risk factors have increased across age. Mortality concentration curve and index within the Lorenz curve and Gini coefficient framework are used to analyze the lifespan inequality. Lifespan inequality is high with negligible improvements over time. Gompertz force of mortality is then estimated, which is statistically significant at 5% level. Deaths at exact age 25 is about 35 per ten thousand, with the rate death rate increasing by 6.09% per year starting from age 25. Under the assumptions of stable population, where the mortality and fertility functions are independent of time, Malthusian parameter is estimated which is less than zero for selected years. Kenya is a shrinking population and death rate decrease with increase in Malthusian parameter. Finally, to model long-term mortality rate forecast, Lee-Carter model is estimated. The model is statistically significant at 5% level explaining 78.4% of the variations. Expected life expectancy at a given age is projected to increase, with life expectancy at birth in 2030 and 2071 being 65.6 and 70.5 years respectively.
Asian journal of economics, business and accounting, Mar 8, 2024
In this paper, Holt-Winters exponential smoothing approach is applied to model and forecast month... more In this paper, Holt-Winters exponential smoothing approach is applied to model and forecast monthly CPI in Kenya and South Africa. Monthly data from January 2000 to December 2023 was obtained from Central Bank of Kenya and South Africa department of statistics. Time series decomposition showed that the trend component is the most dominant component in both countries. Kenya Holt-Winters estimated model has parameters 0.6756, 0.0077 and 1 for level smoothing, trend smoothing and seasonal smoothing respectively. On the other hand, South Africa estimated model has parameters 0.8917, 0.1057 and 1 for level smoothing, trend smoothing and seasonal smoothing respectively. The estimated models are efficient and effective as on average the fitted values are less than one percent off the observed values. The initial values for level smoothing, trend smoothing and seasonal smoothing are approximately equal in both countries. The estimated models are then used to predict CPI next twelve months. Over the forecast period, South Africa will experience a lower index as compared to Kenya. In both countries, it's expected that monthly CPI will rise.
International journal of statistics and applied mathematics, Nov 1, 2022
In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analyse... 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 stationary 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
In this paper, we consider cointegration analysis in a VECM framework. More precisely, we analyse... 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 stationary 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.
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