This study empirically developed a multivariate autoregressive distributed-lag (ARDL) model and a univariate autoregressive integrated moving average (ARIMA) model for inflation in Nigeria, ascertained the stability of the models, and compared the performance of the models. This study used quarterly time series data from 1988 to 2017. The data were sourced from the publications of the Central Bank of Nigeria (CBN) and the National Bureau of Statistics (NBS).The study applied the ordinary least squares (OLS) method with the aid of EViews software for estimation purposes. The study found that: (1) ARDL (4, 2, 2, 1) and ARIMA (2, 1, 3) were the most appropriate models of inflation in Nigeria under model identification, identification, estimation, and diagnostic checking; (2) inflation in Nigeria was largely expectations-driven; and (3) inflation in Nigeria was influenced by the exchange rate, interest rate, and broad money supply (liquidity) both in the short-run and in the long-run.The study recommended that: (1) a “one-model-fits-all” for inflation rate dynamics in Nigeria should be discouraged and that different models should employed to complement one another; (2) regulatory authorities should ensure a high degree of transparency in monetary policy making and implementation; and (3) efforts should be made by the regulatory authorities to control money supply and ensure exchange rate and interest stability, in order to stem inflationary tendencies.
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In-Text Citation: (Shaibu & Osamwonyi, 2020)
To Cite this Article: Shaibu, I., & Osamwonyi, I. O. (2020). A Comparative Analysis of Inflation Dynamics Models in Nigeria. International Journal of Academic Research in Business and Social Sciences, 10(2), 511–528.
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