IDEAS home Printed from https://ideas.repec.org/a/wut/journl/v31y2021i1p5-20id1545.html
   My bibliography  Save this article

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

Author

Listed:
  • Virtue U. Ekhosuehi
  • David E. Omoregie

Abstract

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.

Suggested Citation

  • Virtue U. Ekhosuehi & David E. Omoregie, 2021. "Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck-kind," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 31(1), pages 5-20.
    • Handle: RePEc:wut:journl:v:31:y:2021:i:1:p:5-20:id:1545
    DOI: 10.37190/ord210101
    as

    Download full text from publisher

    File URL: https://ord.pwr.edu.pl/assets/papers_archive/1545%20-%20published.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.37190/ord210101?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Raheem, Mufutau Iyiola, 1994. "Assessing and managing external debt problems in Nigeria," World Development, Elsevier, vol. 22(8), pages 1223-1242, August.
    2. repec:aer:wpaper:8 is not listed on IDEAS
    3. Serkan Arslanalp & Peter Blair Henry, 2005. "Is Debt Relief Efficient?," Journal of Finance, American Finance Association, vol. 60(2), pages 1017-1051, April.
    4. Akpokodje, D., 2000. "The Effect of Export Earnings Fluctuations on Capital Formation in Nigeria," Papers 103, African Economic Research Consortium.
    5. Hannan, E. J. & Dunsmuir, W. T. M. & Deistler, M., 1980. "Estimation of vector ARMAX models," Journal of Multivariate Analysis, Elsevier, vol. 10(3), pages 275-295, September.
    6. Fuad A Abdullah, 1985. "Development of an Advance Warning Indicator of External Debt Servicing Vulnerability," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 16(3), pages 135-141, September.
    7. Theil, Henri & Fiebig, Denzil, 1981. "A maximum entropy approach to the specification of distributed lags," Economics Letters, Elsevier, vol. 7(4), pages 339-342.
    8. Muhanji, Stella & Ojah, Kalu, 2011. "External shocks and persistence of external debt in open vulnerable economies: The case of Africa," Economic Modelling, Elsevier, vol. 28(4), pages 1615-1628, July.
    9. Siddique, Abu & Selvanathan, E.A. & Selvanathan, Saroja, 2016. "The impact of external debt on growth: Evidence from highly indebted poor countries," Journal of Policy Modeling, Elsevier, vol. 38(5), pages 874-894.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jesica Escobar & Alexander Poznyak, 2022. "Robust Parametric Identification for ARMAX Models with Non-Gaussian and Coloured Noise: A Survey," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    2. Aurelia Rybak & Jarosław Joostberens & Anna Manowska & Joachim Pielot, 2022. "The Impact of Environmental Taxes on the Level of Greenhouse Gas Emissions in Poland and Sweden," Energies, MDPI, vol. 15(12), pages 1-15, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Virtue U. Ekhosuehi & David E. Omoregie, 2021. "Inspecting debt servicing mechanism in Nigeria using ARMAX model of the Koyck-kind," Operations Research and Decisions, Wroclaw University of Science Technology, Faculty of Management, vol. 31, pages 5-20.
    2. Virtue U. Ekhosuehi, 2021. "Optimal control of external debt for a developing economy," OPSEARCH, Springer;Operational Research Society of India, vol. 58(4), pages 889-905, December.
    3. Altin Hoti & Aranit Shkurti & Scheherazade Rehman, 2022. "Impact of External Debt on Economic Growth in Western Balkan Countries," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 11, March.
    4. Claudio Raddatz, 2011. "Multilateral Debt Relief through the Eyes of Financial Markets," The Review of Economics and Statistics, MIT Press, vol. 93(4), pages 1262-1288, November.
    5. Eregha, Perekunah B. & Aworinde, Olalekan B. & Vo, Xuan Vinh, 2022. "Modeling twin deficit hypothesis with oil price volatility in African oil-producing countries," Resources Policy, Elsevier, vol. 75(C).
    6. Michael Tomz & Mark L.J. Wright, 2013. "Empirical Research on Sovereign Debt and Default," Annual Review of Economics, Annual Reviews, vol. 5(1), pages 247-272, May.
    7. Arteta, Carlos & Hale, Galina, 2008. "Sovereign debt crises and credit to the private sector," Journal of International Economics, Elsevier, vol. 74(1), pages 53-69, January.
    8. Yong Bao, 2018. "The asymptotic covariance matrix of the QMLE in ARMA models," Econometric Reviews, Taylor & Francis Journals, vol. 37(4), pages 309-324, April.
    9. M. Deistler & B. Pötscher & J. Schrader, 1984. "The uniqueness of the transfer function of linear systems from input-output observations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 31(1), pages 157-181, December.
    10. Christoph Trebesch & Mr. Michael G. Papaioannou & Mr. Udaibir S Das, 2012. "Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts," IMF Working Papers 2012/203, International Monetary Fund.
    11. Silvia Marchesi & Tania Masi, 2019. "Sovereign risk after sovereign restructuring. Private and official default," Working Papers 423, University of Milano-Bicocca, Department of Economics, revised Nov 2019.
    12. Abdelhamid Ouakasse & Guy Mélard, 2017. "A New Recursive Estimation Method for Single Input Single Output Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 417-457, May.
    13. Natalia Kovrijnykh & Balázs Szentes, 2007. "Equilibrium Default Cycles," Journal of Political Economy, University of Chicago Press, vol. 115(3), pages 403-446.
    14. Serhan ÇIFTÇIOĞLU & Amin SOKHANVAR, 2018. "External Debt- Economic Growth Nexus in Selected CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 85-100, December.
    15. Gong Cheng & Javier Diaz-Cassou & Aitor Erce, 2019. "The macroeconomic effects of official debt restructuring: evidence from the Paris Club," Oxford Economic Papers, Oxford University Press, vol. 71(2), pages 344-363.
    16. Pierre Duchesne, 2005. "On the asymptotic distribution of residual autocovariances in VARX models with applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 449-473, December.
    17. Laura Alfaro & Sebnem Kalemli-Ozcan & Vadym Volosovych, 2014. "Sovereigns, Upstream Capital Flows, And Global Imbalances," Journal of the European Economic Association, European Economic Association, vol. 12(5), pages 1240-1284, October.
    18. Imbs, Jean & Ranciere, Romain, 2005. "The overhang hangover," Policy Research Working Paper Series 3673, The World Bank.
    19. Peter Henry, 2007. "Capital Account Liberalization: Theory, Evidence, and Speculation," Discussion Papers 07-004, Stanford Institute for Economic Policy Research.
    20. Wanniarachchi, Sasindu Lakruwan, 2020. "The Nexus among External Debt and Economic Growth: Evidence from South Asia," OSF Preprints ghfdb, Center for Open Science.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wut:journl:v:31:y:2021:i:1:p:5-20:id:1545. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Adam Kasperski (email available below). General contact details of provider: https://edirc.repec.org/data/iopwrpl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.