Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck-kind

• Autorzy: Ekhosuehi Virtue U. , Omoregie David E.

Identyfikatory

DOI

10.37190/ord210101

• Języki publikacji: EN

Abstrakty

EN

The burden of external debt affects the wellbeing of an economy (or a country) by making the economy vulnerable to external shocks and crowding out investment. When dealing with debt management in indebted poor countries like Nigeria, the rational approach is to allocate a portion of export earnings for debt service payments. Along this line, there is a need to identify the link between debt servicing and export earnings. Hence, the current and long-run effects of export earnings on debt service payments are modelled as a single-input-single-output discrete-time dynamical system within the framework of the Autoregressive moving average explanatory input model of the Koyck kind (KARMAX). The KARMAX model is identified for Nigeria using data from the World Bank database from 1970 to 2018 based on the maximum likelihood (ML) method, and the obtained results are compared to the prediction error and the instrumental variable methods. From a theoretical perspective, the KARMAX specification identified by the ML method is more ideal and inspiring. By doing so, this article contributes to the literature on the econometrics of public debt management.

Słowa kluczowe

EN

ARMAX model; debt management; debt servicing; distributed-lag model; export earnings; Koyck model

PL

model ARMAX; dług; zarządzanie; obsługa zadłużenia; model z rozproszonymi opóźnieniami; zarobek; eksport; model Koycka

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2021
• Tom: Vol. 31, No. 1
• Strony: 5--20
• Opis fizyczny: Bibliogr. 30 poz., rys.

Twórcy

autor

Ekhosuehi Virtue U.

• Department of Statistics, University of Benin, P.M.B. 1154, Benin City, Nigeria

autor

Omoregie David E.

• Monetary Policy Department, Central Bank of Nigeria, Abuja

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).