BER: Vol. 5, No. 1, June 2015, Published by Mutuku Cmm
Papers by Mutuku Cmm
This study investigated the impact of inflation, Central Depository System (CDS) and other macroe... more This study investigated the impact of inflation, Central Depository System (CDS) and other macroeconomic variables (including deposit rate, gross domestic product terms of trade and the net effective exchange rate) on the Nairobi stock market performance using quarterly data from the Central Bank of Kenya (CBK) and the Nairobi Stock Exchange (NSE) for the period December 1998 to June 2010. Unit root test based on the formal ADF test procedure reveals that the set of variables is a I(1) process while the Johansen-Juselius VAR based cointegration test procedure reveals more than 4 cointegrating relationships. Consequently, an error correction model was estimated revealing that 27 percent of the departure from equilibrium is cleared quarterly. The cointegrating model indeed shows that there is a negative relationship between inflation and stock market performance in Kenya. In addition the CDS is shown to have a positive and significant impact on the stock market performance.
In macroeconomic policy design and management, monetary and fiscal policies are of great essence.... more In macroeconomic policy design and management, monetary and fiscal policies are of great essence. However, the
relative effectiveness of these policies has been subject to debate in both theoretical and practical realms for a long period of
time. This paper investigated the relative potency of the policies in altering real output in Kenya using a recursive vector
autoregressive (VAR) framework. The analysis of variance decomposition and impulse response functions reveled that fiscal
policy has a significant positive impact on real output growth in Kenya while monetary policy shocks are completely
insignificant with fiscal policy shock significantly alters the real output for a period of almost eight quarters.
This study investigated the impact foreign direct investment volatility on growth in Kenya using ... more This study investigated the impact foreign direct investment volatility on growth in Kenya using time series data
spanning 1970 to 2011. An endogenous growth model was estimated using the ordinary least squares to determine the
relationship between the FDI volatility and economic growth. Bounds testing approach was employed to show that FDI volatility
retards long-run economic growth in Kenya. Results suggest that FDI has a positive effect on growth whereas FDI volatility has
a negative impact on growth. Notably, trade openness is not FDI inducing, thus affecting growth negatively. However, human
capital endowment has a positive impact on growth. Although the overall effect of Foreign Direct Investment on economic
growth is positive the volatility of capital flows may make it harder for the stable and predictable macroeconomic policies to be
followed. Therefore, unstable inflows may dampen investment, hence affecting economic growth.
The study focused on the co-integration and causality analysis between FDI and GDP for Kenya
usi... more The study focused on the co-integration and causality analysis between FDI and GDP for Kenya
using annual data spanning 1970 t0 2013. It was established that though the two variables are I(1),
they are co-integrated. The VECM framework revealed that FDI has a significant influences GDP
both in the long run and short run. A unidirectional causality was established from FDI to GDP,
while impulse response functions revealed that a shock in any of the two variables significantly
affects each other for a period of one year. The study concludes that FDI enhancing policies would
be necessary for economic growth in Kenya.
The study found macroeconomic variables drive stock market performance in the long run.VAR model ... more The study found macroeconomic variables drive stock market performance in the long run.VAR model was used
researchers focusing on external debt. However, the shift in the composition of overall public de... more researchers focusing on external debt. However, the shift in the composition of overall public debt in favour of domestic debt in sub-Saharan Africa countries has brought to the fore the need for governments to formulate and implement prudent domestic debt management strategies to mitigate the effects of the rising debt levels. This study investigates the effects of domestic debt on economic growth in Kenya. The issue is examined empirically using advanced econometric technique and quarterly time series data spanning 2000 to 2010. The Jacque Bera (JB) and Augmented Dickey-Fuller (ADF) tests have been used preliminarily in investigating the properties of the macroeconomic time series in the aspect of normality and unit roots respectively. The long run relationship between the variables was investigated using the Engel-Granger residual based and Johannes VAR based cointegration tests. There is evidence of cointegration hence an error correction model has been used to capture short run dynamics. The study shows that domestic debt expansion in Kenya, for the period of study, has a positive and significant effect on economic growth. In view of this, the study recommends that the Kenyan government should encourage sustainable domestic borrowing provided the funds are utilized in productive economic avenues.
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BER: Vol. 5, No. 1, June 2015, Published by Mutuku Cmm
Papers by Mutuku Cmm
relative effectiveness of these policies has been subject to debate in both theoretical and practical realms for a long period of
time. This paper investigated the relative potency of the policies in altering real output in Kenya using a recursive vector
autoregressive (VAR) framework. The analysis of variance decomposition and impulse response functions reveled that fiscal
policy has a significant positive impact on real output growth in Kenya while monetary policy shocks are completely
insignificant with fiscal policy shock significantly alters the real output for a period of almost eight quarters.
spanning 1970 to 2011. An endogenous growth model was estimated using the ordinary least squares to determine the
relationship between the FDI volatility and economic growth. Bounds testing approach was employed to show that FDI volatility
retards long-run economic growth in Kenya. Results suggest that FDI has a positive effect on growth whereas FDI volatility has
a negative impact on growth. Notably, trade openness is not FDI inducing, thus affecting growth negatively. However, human
capital endowment has a positive impact on growth. Although the overall effect of Foreign Direct Investment on economic
growth is positive the volatility of capital flows may make it harder for the stable and predictable macroeconomic policies to be
followed. Therefore, unstable inflows may dampen investment, hence affecting economic growth.
using annual data spanning 1970 t0 2013. It was established that though the two variables are I(1),
they are co-integrated. The VECM framework revealed that FDI has a significant influences GDP
both in the long run and short run. A unidirectional causality was established from FDI to GDP,
while impulse response functions revealed that a shock in any of the two variables significantly
affects each other for a period of one year. The study concludes that FDI enhancing policies would
be necessary for economic growth in Kenya.
relative effectiveness of these policies has been subject to debate in both theoretical and practical realms for a long period of
time. This paper investigated the relative potency of the policies in altering real output in Kenya using a recursive vector
autoregressive (VAR) framework. The analysis of variance decomposition and impulse response functions reveled that fiscal
policy has a significant positive impact on real output growth in Kenya while monetary policy shocks are completely
insignificant with fiscal policy shock significantly alters the real output for a period of almost eight quarters.
spanning 1970 to 2011. An endogenous growth model was estimated using the ordinary least squares to determine the
relationship between the FDI volatility and economic growth. Bounds testing approach was employed to show that FDI volatility
retards long-run economic growth in Kenya. Results suggest that FDI has a positive effect on growth whereas FDI volatility has
a negative impact on growth. Notably, trade openness is not FDI inducing, thus affecting growth negatively. However, human
capital endowment has a positive impact on growth. Although the overall effect of Foreign Direct Investment on economic
growth is positive the volatility of capital flows may make it harder for the stable and predictable macroeconomic policies to be
followed. Therefore, unstable inflows may dampen investment, hence affecting economic growth.
using annual data spanning 1970 t0 2013. It was established that though the two variables are I(1),
they are co-integrated. The VECM framework revealed that FDI has a significant influences GDP
both in the long run and short run. A unidirectional causality was established from FDI to GDP,
while impulse response functions revealed that a shock in any of the two variables significantly
affects each other for a period of one year. The study concludes that FDI enhancing policies would
be necessary for economic growth in Kenya.