Olaolu Olayeni | Obafemi Awolowo University (original) (raw)

Papers by Olaolu Olayeni

Applied Economics, 2019

This article re-visits the inflation-growth nexus in India using the tools of wavelet, i.e. wavel... more This article re-visits the inflation-growth nexus in India using the tools of wavelet, i.e. wavelet correlation, wavelet cross-correlation and scale by scale Granger causality test. Wavelet crosscorrelation analysis shows that at the shortest scales inflation and economic growth were independent; at medium scales, there exists feedback effect; and at higher scales, only economic growth is leading to inflation. Furthermore, we find: (a) high and increasing dependence between inflation and economic growth, particularly after mid-2002; (b) high-frequency components of economic growth Granger-cause low-frequency component of CPI-based inflation and vice-versa, and at all scales economic growth Granger-cause inflation at scales of 4-6 and no evidence of causality was detected from WPI-based inflation to economic growth; (c) results indicate that there is no long-run causal link between inflation and economic growth. This study presents new insights for policymakers to sustain economic development by using inflation as an economic tool in India.

Journal of Business Cycle Research

Given the cyclicality of energy and food commodity prices influenced by global macroeconomic unce... more Given the cyclicality of energy and food commodity prices influenced by global macroeconomic uncertainties, there is a need to provide appropriate measures for understanding the predictive relationship between energy and food commodities. This study revisits the dynamics of oil and food prices using Shi et al. (J Financ Econom 18:158-180, 2020) bootstrapped time-varying Granger causality method to identify and date-stamp causal changes in the predictive effects between oil and food markets, while considering homoscedasticity and heteroscedasticity assumptions. Our results reveal bidirectional and feedback influences between Brent oil and six food commodity prices: corn, rice, sugar, coffee, meat, and palm oil. These influences align with critical global events such as the mid-1990s Asian financial crisis, the early 2000s recession, the 2000s energy crisis, the 2014 oil price crisis, the GFC and food crisis of 2008, the 2020 oil-price war, and the COVID-19 pandemic. Additionally, we observed a causal effect running from wheat and soybean prices to Brent oil prices, highlighting the importance of the predictive power of food prices in the trajectory of oil prices during periods of global events. Longer episodes of Granger causality from food price to oil price were date-stamped across the algorithms. The study suggests that global economic events and crises can affect the relationship between prices in different markets, indicating that the ability to predict prices based on information from another market may change during times of economic and financial instability. The research has a number of practical implications.

Ife Journal of Economics and Finance, 2017

Applied Economics Letters, 2010

ABSTRACT This article investigates linear and nonlinear causality between electricity consumption... more ABSTRACT This article investigates linear and nonlinear causality between electricity consumption and economic growth in Spain for the period 1971 to 2005. We use the methodology of Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996). We also apply the standard Granger causality test in a vector autoregression for the series in first differences. We find unidirectional linear causality running from real GDP to electricity consumption. By contrast, we find no evidence of nonlinear Granger causality between the series in either direction.

Renewable and Sustainable Energy Reviews, 2016

Arthaniti: Journal of Economic Theory and Practice

This article investigated the relationship between output, money and interest rate, using wavelet... more This article investigated the relationship between output, money and interest rate, using wavelet tools for the period 1972–2017. Application of such tools is helpful in answering particularly two questions: first, what the strength and direction of the causal relationships between money, output and interest rate is, and second, whether the relationship is cyclical or anti-cyclical in nature. Findings from this article show that output and money are highly coherent in low, middle and high frequencies, and coherence increases while controlling for interest rate, with money growth as the leading variable most of the time across frequencies. Output and interest rate are equally highly coherent, mostly at high frequency and some bits of middle frequency; coherence increases with the control for money, and interest rate often times leads the relationship. Also, money and interest rate are coherent at low, middle and high frequencies with interest rate leading the relationship, and contro...

Despite its great popularity and gradual worldwide acceptance, most people are still confused as ... more Despite its great popularity and gradual worldwide acceptance, most people are still confused as to what a Bitcoin actually is. This paper tries to reach clearer knowledge about what determines the Bitcoin’s value. . Due to the intrinsic complexity of crypto market, standard approaches often fail to capture the non-stationary and nonlinear properties and properly depict the moving tendencies. This problem can be solved by an objective data analysis method, i.e. Empirical Mode Decomposition. By decomposing Bitcoin price into intrinsic modes based on scale separation, we will be able to explain its generation from a novel perspective. Specifically, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend. By doing so, the short-term fluctuations appear the major contributor of this new crypto-currency, without overlooking the power of long term trend. The first outcome suggests that Bitcoin is backed up by nothing other than the expectation of p...

Central European Journal of Economic Modelling and Econometrics, 2012

In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power s... more In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power spectrum, cross-wavelet power spectrum and cross-wavelet coherency to unravel time and frequency dependent relationships between stock prices and inflation. Our results suggest that for a frequency band between sixteen and thirty two months, there is some evidence of the fisher effect. For rest of the frequencies and time periods however there is no evidence of the fisher effect and it seems stock prices have not played any role as an inflation hedge.

Economics Bulletin, 2016

The cryptocurrencies increased in popularity and have become nowadays well known to a wide audien... more The cryptocurrencies increased in popularity and have become nowadays well known to a wide audience. This article seeks to assess the issue of Bitcoin price formation from a novel perspective. We use a new technique called Empirical Mode Decomposition (EMD) with which a complicated data set can be disentangled into a small number of independent and concretely implicational intrinsic modes that admit well-behaved Hilbert transforms. Even though Bitcoin is usually labelled as a purely speculative asset, EMD views that it is extremely driven by long-term fundamentals (above one year)

We use a novel time-frequency approach to estimate wavelet-based correlation and retention coeffi... more We use a novel time-frequency approach to estimate wavelet-based correlation and retention coefficients of the well-known Feldstein-Horioka (1980) puzzle for a cross-section of 39 countries over the period 1960-2012. Our approach reveals many interesting issues in the connection between investment and saving rates among these countries and distinguishes between the short and the long run fluctuations in correlation and retention coefficients.

The study examinations lead-lag relationship between real oil price (ROP) and real trade balance ... more The study examinations lead-lag relationship between real oil price (ROP) and real trade balance (RTB) for India using monthly data and covering period from January 1980 to December 2011. To in depth examine the issue, study decomposes the time-frequency relationship between ROP and RTB utilising continuous wavelet approach. Result of the Rua's (2010) measure of wavelet cohesion show that there was high degree of positive correlation in the 0.25-0.5 years-scale corresponding to 1983-1984 and 1986-1989; and in the 0.75-2 years-scale corresponding to 2008-2010. However, evidence of high negative correlation was found in 0.5-1 years-scale corresponding to 1987-1990, 1994-1996 and 2001-2005 and evidence of strong negative correlation was found in 1.75-2.25 years-scale corresponding to 1990-1997. Further, results of wavelet coherence analysis show that in the significant region of coherency and corresponding year-scales, real oil price was leading over India's trade balance indic...

Despite its great popularity and gradual worldwide acceptance, most people are still confused as ... more Despite its great popularity and gradual worldwide acceptance, most people are still confused as to what a Bitcoin actually is. This paper tries to reach clearer knowledge about what determines the Bitcoin’s value. . Due to the intrinsic complexity of crypto market, standard approaches often fail to capture the non-stationary and nonlinear properties and properly depict the moving tendencies. This problem can be solved by an objective data analysis method, i.e. Empirical Mode Decomposition. By decomposing Bitcoin price into intrinsic modes based on scale separation, we will be able to explain its generation from a novel perspective. Specifically, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend. By doing so, the short-term fluctuations appear the major contributor of this new crypto-currency, without overlooking the power of long term trend. The first outcome suggests that Bitcoin is backed up by nothing other than the expectation of peo...

This paper examines the productivity of government expenditure. It adopts a Barro-type production... more This paper examines the productivity of government expenditure. It adopts a Barro-type production function to chart out a growth model that accounts for the productivity of government spending and also adopts Wagner’s hypothesis to account for endogeneity resulting from fiscal expansion. The model is estimated via the Bayesian technique using the data on Nigeria. The result shows that government expenditure was unproductive in Nigeria and that this conclusion is independent of the macroeconomic environment. Neither is it dependent on the external circumstances. The paper concludes that there is need for urgent budgetary evaluation and close monitoring of the government budget in Nigeria.

Journal of Social and Economic Development

Deviating from extant studies, this study examines asymmetric structure in the causal relationshi... more Deviating from extant studies, this study examines asymmetric structure in the causal relationship between CEO pay and firm performance in Nigeria's listed firms. The data on CEO pay and firm performance are transformed into partial cumulative sums for posi tive and negative shocks so as to allow for asymmetric causality tests. A two-step dynamic panel generalized method of moments is innovalively adopted to estimate the asymmet ric causal model. The findings reveal several dimensions of asymmetric structures in the causality between CEO pay and firm performance. The research outputs divulge several hidden information and opportunistic tendencies surrounding the executive compensation contracts in Nigeria's listed firms which symmetric approaches in the extant studies could not detect. This study, therefore, suggests that caution should be exercised in using pay cut as a corporate governance measure to punish CEOs for poor performance in Nigeria as it causes a fall in firm performance.

Applied Economics, 2019

This article re-visits the inflation-growth nexus in India using the tools of wavelet, i.e. wavel... more This article re-visits the inflation-growth nexus in India using the tools of wavelet, i.e. wavelet correlation, wavelet cross-correlation and scale by scale Granger causality test. Wavelet crosscorrelation analysis shows that at the shortest scales inflation and economic growth were independent; at medium scales, there exists feedback effect; and at higher scales, only economic growth is leading to inflation. Furthermore, we find: (a) high and increasing dependence between inflation and economic growth, particularly after mid-2002; (b) high-frequency components of economic growth Granger-cause low-frequency component of CPI-based inflation and vice-versa, and at all scales economic growth Granger-cause inflation at scales of 4-6 and no evidence of causality was detected from WPI-based inflation to economic growth; (c) results indicate that there is no long-run causal link between inflation and economic growth. This study presents new insights for policymakers to sustain economic development by using inflation as an economic tool in India.

Journal of Business Cycle Research

Given the cyclicality of energy and food commodity prices influenced by global macroeconomic unce... more Given the cyclicality of energy and food commodity prices influenced by global macroeconomic uncertainties, there is a need to provide appropriate measures for understanding the predictive relationship between energy and food commodities. This study revisits the dynamics of oil and food prices using Shi et al. (J Financ Econom 18:158-180, 2020) bootstrapped time-varying Granger causality method to identify and date-stamp causal changes in the predictive effects between oil and food markets, while considering homoscedasticity and heteroscedasticity assumptions. Our results reveal bidirectional and feedback influences between Brent oil and six food commodity prices: corn, rice, sugar, coffee, meat, and palm oil. These influences align with critical global events such as the mid-1990s Asian financial crisis, the early 2000s recession, the 2000s energy crisis, the 2014 oil price crisis, the GFC and food crisis of 2008, the 2020 oil-price war, and the COVID-19 pandemic. Additionally, we observed a causal effect running from wheat and soybean prices to Brent oil prices, highlighting the importance of the predictive power of food prices in the trajectory of oil prices during periods of global events. Longer episodes of Granger causality from food price to oil price were date-stamped across the algorithms. The study suggests that global economic events and crises can affect the relationship between prices in different markets, indicating that the ability to predict prices based on information from another market may change during times of economic and financial instability. The research has a number of practical implications.

Ife Journal of Economics and Finance, 2017

Applied Economics Letters, 2010

ABSTRACT This article investigates linear and nonlinear causality between electricity consumption... more ABSTRACT This article investigates linear and nonlinear causality between electricity consumption and economic growth in Spain for the period 1971 to 2005. We use the methodology of Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996). We also apply the standard Granger causality test in a vector autoregression for the series in first differences. We find unidirectional linear causality running from real GDP to electricity consumption. By contrast, we find no evidence of nonlinear Granger causality between the series in either direction.

Renewable and Sustainable Energy Reviews, 2016

Arthaniti: Journal of Economic Theory and Practice

This article investigated the relationship between output, money and interest rate, using wavelet... more This article investigated the relationship between output, money and interest rate, using wavelet tools for the period 1972–2017. Application of such tools is helpful in answering particularly two questions: first, what the strength and direction of the causal relationships between money, output and interest rate is, and second, whether the relationship is cyclical or anti-cyclical in nature. Findings from this article show that output and money are highly coherent in low, middle and high frequencies, and coherence increases while controlling for interest rate, with money growth as the leading variable most of the time across frequencies. Output and interest rate are equally highly coherent, mostly at high frequency and some bits of middle frequency; coherence increases with the control for money, and interest rate often times leads the relationship. Also, money and interest rate are coherent at low, middle and high frequencies with interest rate leading the relationship, and contro...

Despite its great popularity and gradual worldwide acceptance, most people are still confused as ... more Despite its great popularity and gradual worldwide acceptance, most people are still confused as to what a Bitcoin actually is. This paper tries to reach clearer knowledge about what determines the Bitcoin’s value. . Due to the intrinsic complexity of crypto market, standard approaches often fail to capture the non-stationary and nonlinear properties and properly depict the moving tendencies. This problem can be solved by an objective data analysis method, i.e. Empirical Mode Decomposition. By decomposing Bitcoin price into intrinsic modes based on scale separation, we will be able to explain its generation from a novel perspective. Specifically, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend. By doing so, the short-term fluctuations appear the major contributor of this new crypto-currency, without overlooking the power of long term trend. The first outcome suggests that Bitcoin is backed up by nothing other than the expectation of p...

Central European Journal of Economic Modelling and Econometrics, 2012

In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power s... more In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power spectrum, cross-wavelet power spectrum and cross-wavelet coherency to unravel time and frequency dependent relationships between stock prices and inflation. Our results suggest that for a frequency band between sixteen and thirty two months, there is some evidence of the fisher effect. For rest of the frequencies and time periods however there is no evidence of the fisher effect and it seems stock prices have not played any role as an inflation hedge.

Economics Bulletin, 2016

The cryptocurrencies increased in popularity and have become nowadays well known to a wide audien... more The cryptocurrencies increased in popularity and have become nowadays well known to a wide audience. This article seeks to assess the issue of Bitcoin price formation from a novel perspective. We use a new technique called Empirical Mode Decomposition (EMD) with which a complicated data set can be disentangled into a small number of independent and concretely implicational intrinsic modes that admit well-behaved Hilbert transforms. Even though Bitcoin is usually labelled as a purely speculative asset, EMD views that it is extremely driven by long-term fundamentals (above one year)

We use a novel time-frequency approach to estimate wavelet-based correlation and retention coeffi... more We use a novel time-frequency approach to estimate wavelet-based correlation and retention coefficients of the well-known Feldstein-Horioka (1980) puzzle for a cross-section of 39 countries over the period 1960-2012. Our approach reveals many interesting issues in the connection between investment and saving rates among these countries and distinguishes between the short and the long run fluctuations in correlation and retention coefficients.

The study examinations lead-lag relationship between real oil price (ROP) and real trade balance ... more The study examinations lead-lag relationship between real oil price (ROP) and real trade balance (RTB) for India using monthly data and covering period from January 1980 to December 2011. To in depth examine the issue, study decomposes the time-frequency relationship between ROP and RTB utilising continuous wavelet approach. Result of the Rua's (2010) measure of wavelet cohesion show that there was high degree of positive correlation in the 0.25-0.5 years-scale corresponding to 1983-1984 and 1986-1989; and in the 0.75-2 years-scale corresponding to 2008-2010. However, evidence of high negative correlation was found in 0.5-1 years-scale corresponding to 1987-1990, 1994-1996 and 2001-2005 and evidence of strong negative correlation was found in 1.75-2.25 years-scale corresponding to 1990-1997. Further, results of wavelet coherence analysis show that in the significant region of coherency and corresponding year-scales, real oil price was leading over India's trade balance indic...

Despite its great popularity and gradual worldwide acceptance, most people are still confused as ... more Despite its great popularity and gradual worldwide acceptance, most people are still confused as to what a Bitcoin actually is. This paper tries to reach clearer knowledge about what determines the Bitcoin’s value. . Due to the intrinsic complexity of crypto market, standard approaches often fail to capture the non-stationary and nonlinear properties and properly depict the moving tendencies. This problem can be solved by an objective data analysis method, i.e. Empirical Mode Decomposition. By decomposing Bitcoin price into intrinsic modes based on scale separation, we will be able to explain its generation from a novel perspective. Specifically, the intrinsic modes are composed into a fluctuating process, a slowly varying part and a trend. By doing so, the short-term fluctuations appear the major contributor of this new crypto-currency, without overlooking the power of long term trend. The first outcome suggests that Bitcoin is backed up by nothing other than the expectation of peo...

This paper examines the productivity of government expenditure. It adopts a Barro-type production... more This paper examines the productivity of government expenditure. It adopts a Barro-type production function to chart out a growth model that accounts for the productivity of government spending and also adopts Wagner’s hypothesis to account for endogeneity resulting from fiscal expansion. The model is estimated via the Bayesian technique using the data on Nigeria. The result shows that government expenditure was unproductive in Nigeria and that this conclusion is independent of the macroeconomic environment. Neither is it dependent on the external circumstances. The paper concludes that there is need for urgent budgetary evaluation and close monitoring of the government budget in Nigeria.

Journal of Social and Economic Development

Deviating from extant studies, this study examines asymmetric structure in the causal relationshi... more Deviating from extant studies, this study examines asymmetric structure in the causal relationship between CEO pay and firm performance in Nigeria's listed firms. The data on CEO pay and firm performance are transformed into partial cumulative sums for posi tive and negative shocks so as to allow for asymmetric causality tests. A two-step dynamic panel generalized method of moments is innovalively adopted to estimate the asymmet ric causal model. The findings reveal several dimensions of asymmetric structures in the causality between CEO pay and firm performance. The research outputs divulge several hidden information and opportunistic tendencies surrounding the executive compensation contracts in Nigeria's listed firms which symmetric approaches in the extant studies could not detect. This study, therefore, suggests that caution should be exercised in using pay cut as a corporate governance measure to punish CEOs for poor performance in Nigeria as it causes a fall in firm performance.