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- ItemMacroeconomic determinants of SME performance in Kenya(Strathmore University, 2020) Kinyua, Lucy WanjiruThis paper explores the relationship between SME performance, as measured by growth in total annual sales, growth in the number of permanent full-time employees and capacity utilization, and macroeconomic factors- the real effective exchange rate and the terms of trade, using a sample of 45 SMEs in Kenya over a period of 3 years. The random effects estimation technique is used and it is discovered that the real effective exchange rate has an inverse relationship with SME performance and the terms of trade variable has a positive relationship with performance. However, none of the estimates are statistically significant. In addition, the data do not confidently support the conclusions that macroeconomic factors exert a causal impact on SME performance.
- ItemEffects of macroeconomic shocks on banking sector loan quality in Kenya(Strathmore University, 2020) Shammah, Wema OduorThis a paper uses two approaches to analyse the link between loan quality and macroeconomic performance. First evaluating the interaction between different macroeconomic factors using panel regressions second applying a panel vector autoregressive model in modelling the same macro-financial interactions. Using panel datafrom banks 31 banks spanning between 2001 to 2018, results show that money supply is the main macro-economic factor that influences loan quality in Kenya. Impulse response fimctions are used to how that macro-economic shocks take time reduce or increase loan quality in Kenya.
- ItemModeling nominal exchange rates in Uganda. A comparison between traditional unit root tests and fractional integration(Strathmore University, 2020) Nabatanzi, Catherine KamyaThis paper analyzes six major nominal exchange rates in Uganda, determining whether shocks in each series are transitory or permanent in the long run. We obtain results from traditional unit root tests and compare these to the results from newer fractional integration techniques that have been shown to have higher power in establishing stationarity or mean-reversion. The results show evidence of mean reversion in the cases of Euro and Kenya shilling, but not for the US dollar, Japanese Yen, the Pound and the Canadian dollar. This means that the shocks affecting the latter currencies do not dissipate in the long run.
- ItemPro-cyclical modelling of cancer mortalities based on macroeconomic factors(Strathmore University, 2020) Okinyo, Elly OkothThis paper tests for the procyclicality of the cancer mortalities and the economic regimes for the various regions, herein outlined as per the World Bank rankings as either high income, upper middle income, lower middle income or low-income countries. Previous studies have been carried out to examine the relationship between business cycles and cancer mortalities for advanced economies, less is known about the relationship existing between the existing macroeconomic variables and the cancer mortalities for the less developed countries. This study thus assemble unique panel data set containing country-specific crude cancer mortalities, the GDP per capita, the share of the GDP spent on health(GDPEH), the annual cancer incidences, the 5-year prevalence rates and the disability-adjusted life years lost as a result of cancer. The results show a procyclical relationship between cancer mortalities and the economic growths a finding consistent with that of (Chen, et a!., 20 17), whereas there exists a countercyclical relationship between cancer mortalities and the investment in the health sector
- ItemThe pricing of liquidity risk: Evidence from the Nigerian and South African stock markets(Strathmore University, 2020) Gitonga, John MwangiThis study examines whether an illiquidity premium is priced into the return process of equities. Specifically, the paper uses a liquidity augmented Fama and French (2015) five-factor model to test whether liquidity effects are captured in stock returns. The illiquidity premium is captured using the IML (illiquid minus liquid) factor which represents a compensating premium investors require to hold less liquid stocks as compared to more liquid stocks. The model constructed was tested on the Nigerian and South African stock markets over an analysis horizon of 2013-2018 with a greater focus on the Nigerian Stock exchange as it faces considerable liquidity challenges. Results from the analysis show that liquidity is indeed priced in asset returns with an average annual illiquidity premium of 2.15% for Nigeria and 0.136% for South Africa. The coefficients on the liquidity factor also generally proved significant in explaining asset returns thus confirming the main hypothesis of this study. The presence of an illiquidity premium increases the cost of equity for the aforementioned markets hence certain policies that may be implemented to spur liquidity in these markets include increasing free float requirements for listed companies and improving trading systems to ensure efficiency and quick execution of trades.