FUW TRENDS IN SCIENCE & TECHNOLOGY JOURNAL
(A Peer Review Journal)
e–ISSN: 2408–5162; p–ISSN: 2048–5170
keywords: Autocorrelation, differencing, growth pattern, reserve currency, SARIMA
The reserve currency is regarded as the currency held in significant amounts by governments and financial institutions in order to help conduct transactions in the global market. In this research study, secondary data on month ly reserve currency was obtained from the Central bank of Nigeria database from January, 2000 to December, 2015. Using the Box-Jenkins (ARIMA) methodology to fit the best model to the series, the data was (Logarithmic) transformed and non-seasonally differenced in order to achieve series stationarity. The results showed that Seasonal ARIMA (1, 1, 1) (0, 0, 1)12 model with drift had the least information criteria with AIC of -412.83, AICc of -412.50 and BIC of -396.56 and was chosen as the best fit model that best describe the growth of the reserve currency. The diagnostics test on the model residuals using the Ljung-Box and ARCH-LM tests revealed that the model is free from both autocorrelation and ARCH effects. This model will definitely assist the Apex bank in forecasting the monthly future values of the reserve currency in Nigeria.
Akaike H 1974. A new look at the statistical model identification. IEEE Transaction on Automatic Control, 19(6): 716-723. Albert L, Suleman N & Leo A 2013. A predictive model for monthly currency in circulation in Ghana. Maths. Theory and Modeling, IISTE J., 4: 43 52. Box GEP, Jenkins GM & Reinsel GC 1994. Time Series Analysis Forecasting and Control, 3rd edn. Prentice Hall, Englewood Cliffs, New Jersey-USA. Box GEP & Jenkins GM 1976. Time Series Analysis Forecasting and Control, Revised edn. Holden-Day., San Francisco-USA. Bumham KP & Anderson DR 2002. Model Selection and Multimodel Inference. A practical information-theoretical approach, 2nd edn. Springer-Verlag, New-York-USA. Cagan P. 1965. High powered money. Determinants and effects of changes in the stock of money (1875-1960).Cambridge Massachusetts National Bureau of Econ. Res., 45-117. CBN 2016. Money and Credit Series. Central Bank of Nigeria (CBN) database. www.cenbank.org/mnycredit.asp. Dickey DA & Fuller WA 1979. Distribution of the Estimators for Autoregressive time series with a unit root. J. American Stat.Asso., 7(366): 427 431. Mankiw NG 2002. Money Supply and Money Demand. Macroeconomics, 5th edn. Worth, Chap. 18, pp. 482-489. Mohamed E & Bulat M 2014. Monetary policy rules in some transition Economics. Eurasian J. Econ.& Finance, 2(3): 26 - 44. Nasiru S & Solomon S 2012. Modeling the pattern of Reserve money Growth in Ghana. Current Res. J. Econ. Theory, 4(2): 39 - 42. Peter NI 2005. The Monetary Transmission Mechanism. Federal Reserve Bank of Boston. Working Papers, No: 06-1. Seth BC & Selva D 2010. Money, Reserve and the Transmission of Monetary Policy: Does the money multiplier exist? Finance and Economics Discussion Series. Divisions of Research and Statistics and Monetary Affairs, Federal Reserve Board, Washington D.C. Working paper. No: 41.
