Title:
GLOBAL FINANCIAL SHOCKS AND ASSET PRICES IN NIGERIA: THE ROLE OF MACROECONOMIC FUNDAMENTALS

Authors:
Mutiu Gbade Rasaki ,Nigeria

Abstract:
This study investigates the effects of global financial shocks on asset prices in Nigeria and the role of economic fundamentals in the transmission of those shocks. Using monthly data, we estimate a structural VAR model and a cross-section regression equation for the study. Our findings indicate that global financial shocks significantly influence asset prices in Nigeria. The global financial shocks have the most significant impact on equity prices than any other asset prices. Moreover, the global risk aversion is the most important global financial variable influencing asset prices in Nigeria and affects equity prices more than any other asset prices. The U.S monetary policy shocks and global interest rate shocks influence the short-term interest rates. However, the global financial shocks have limited impact on exchange rate movements. Lastly, macroeconomic fundamentals exacerbate the severity of global financial shocks on asset prices.