Effect of Pension Asset Investment Strategy on Development of Nigeria Capital Market a Time Series Analysis (2014 - 2022)
Downloads
This study examined how exchange rate depreciation affects the overall price level in Nigeria. It utilized advanced econometric methods, including the Variance Inflation Factor, stationarity testing through the Augmented Dickey-Fuller technique, Johansen Cointegration, and the Error Correction Mechanism to analyze adjustment speeds. Additionally, tests for normality and model stability were carried out. The results indicate that a depreciating exchange rate significantly contributes to rising price levels. Similar effects were observed with imports and inflation, aligning with the study’s initial expectations. Consequently, the research suggests adopting a fixed exchange rate system to curb excessive volatility and recommends import substitution policies to tackle import-driven inflation, thereby helping to control the persistent rise in general prices.
Downloads
1. Anderson, T. W. & Hsiao, C. (1981) Estimation of dynamic models with error components. Journal of the American Statistical Association, 76, 598-606.
2. Arellano, M. & Bond, S. (1991) Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The Review of Economic Studies, 58, 277-297.
3. Arellano, M. & Bover, O. (1995) Another look at the instrumental-variable estimation of error-components models. Journal of Econometrics, 68, 29-52.
4. Blundell, R. & Bond, S. (1998) Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, 87, 115-143.
5. Bruno, G. S. F. (2005) Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models. Economics Letters, 87, 361–366.
6. Bun, M. J. G. & Kiviet, J. F. (2003) On the diminishing returns of higher-order terms in asymptotic expansions of bias. Economics Letters, 79, 145-152.
7. Catalan, E., Wilbert, V., Kenneh W., Friedman F., & Paddison, O. (2011). Public Pension Funding and US Capital Formation: A Mediu Run View. Journal of Macroeconomics, 25 (1), 45-47.
8. Catalan, M., Impavido, G. & Musalem, A. R.(2010).Contractual savings or stock market development: which leads? Journal of Applied Social Science Studies, 120(3), 445-487.
9. Davis, E. P. (1995) Pension Funds, Retirement-Income Security and Capital Markets, an International Perspective. Oxford: Oxford University Press.
10. Davis, P. & Hu, Y. (1998) Does Funding of Pensions Stimulate Economic Growth? Journal of Pensions Economics and Finance 7(2): 221–249.
11. Demirguc-Kunt, A. & Levine, R. (1996) Stock market development and financial intermediaries: Stylized facts. World Bank Economic Review, 10, 291-321.
12. Gurowa, S.U. & Usman, M.A. (2021), The Nexus Between Pension Fund Investment And Economic Growth In Nigeria BAZE University Journal of Management and Social Sciences; (BUJMASS) Vol. 1 No 3; 2021
13. Gunu,U., & Tsado, E. (2012):Pension Fund system as a tool for economic growth in Nigeria.InternationalJournalofBusinessandBehavioralSciences,2(8),6-13.
14. Henshaw, E. T. (2012). Challenges and Opportunities of Assets Allocation and Regulatory and Legal Updates in The Pension Industry. NigerianStockExchangeInstitutionalInvestosClinic,9(1)2-6.
15. Impavido, G. & Musalem, A. R. (2000). Contractual savings, stock, and asset markets. (World Bank Policy Research Working Paper 2490) Washington DC: The World Bank.
16. Impavido, G., Musalem, A. R. & Tressel T. (2002). Contractual Savings Institutions and Banks' Stability and Efficiency. (World Bank Policy Research Paper 2751). Washington DC: The World Bank.
17. Impavido, G., Musalem, A. R. & Tressel, T. (2003). The impact of contractual savings institutions on securities markets (World Bank Policy Research Working Paper 2948). Washington DC: The World Bank.
18. Meng, C. & Pfau, W. (2010). The Role of Pension Funds in Capital Market Development. GRIPS Discussion Paper 1(1), 10-17
19. Mesike, G. & Ibiwoye, A. (2012). Pension Reform and Financial Market Development Nexus: Evidence from Nigeria. International Journal of Academic Research in Business and Social Sciences, 2(6) 22-29
20. Kigen, A. K (2016) Effect of Fund Size on the Financial Performance of Pension Funds In Kenya Retrievedonlinefrom:scholar.google.com
21. Odia,J.O.& Okoye, A.E (2012). Pensions Reform in Nigeria: A comparison Between the Old and New Scheme. Afro Asian Journal of Social Sciences, 3(31), 1-17.
22. Okpaise, O. (2009). An Analytical Review of the Pension System in Nigeria, Abuja-Nigeria: National Pension Commission.
23. Olanrewaju, E. A (2011). The Pension Reform Act 2004 and Wellbeing of Nigerian Retirees: A Sociological Evaluation of its Provisions, International Journal of Humanities and Social Sciences, 1(21), 315-325.
24. PENCOM (2014) National Pension Commission Data. Retrieved on line from: www.pencom.org.ng.
25. Raddatz, C. & Schmukler, S. L. (2008). Pension funds and capital market development: How much bang for the buck? (World Bank Policy Research Working Paper 4787). Washington DC: The World Bank.
26. Vittas, D. (2000) Pension reform and capital market development: 'feasibility' and 'impact' preconditions. (World Bank Policy Research Working Paper 2414). Washington DC: The World Bank.
27. Vittas, D. (2010). Pension Reform and Capital Market Development: Feasibility and Impact Preconditions. Policy Research Working Paper 2(4), 1-4.
28. Walker, E. & Lefort, F. (2002) Pension reform and capital markets: are there any (hard) links? (Social Protection Discussion Paper 0201). Washington DC: The World Bank.
Copyright (c) 2025 Sani Usman Gurowa, Salisu Ibrahim Iro
This work is licensed under a Creative Commons Attribution 4.0 International License.
