Exchange rate volatility and non-oil exports in Nigeria : An empirical investigation / Sa’ad Babatunde Akanbi...[et al.]
The adoption of a flexible exchange rate system since 1986 in Nigeria has made the country witnessed varying rate of the naira vis-à-vis the U.S dollar. This paper examines exchange rate volatility with ARCH model and its various extensions (GARCH, TGARCH, and EGARCH) using quarterly exchange rate s...
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| 主要な著者: | , , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
Faculty of Business and Management, Universiti Teknologi MARA, Puncak Alam Campus
2017
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| 主題: | |
| オンライン･アクセス: | http://ir.uitm.edu.my/id/eprint/19369/8/AJ_SAAD%20BABATUNDE%20AKANBI%20JEEIR%20B%2017.pdf http://ir.uitm.edu.my/id/eprint/19369/ http://www.jthca.org |
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| 要約: | The adoption of a flexible exchange rate system since 1986 in Nigeria has made the country witnessed varying rate of the naira vis-à-vis the U.S dollar. This paper examines exchange rate volatility with ARCH model and its various extensions (GARCH, TGARCH, and EGARCH) using quarterly exchange rate series from 1986-Q1 to 2014-Q4.The impact of exchange rate volatility on non-oil exports was also examined using Error Correction Model (ECM) with two different measures of volatility. The results obtained confirm the existence of exchange rate volatility and also found a significant negative effect on non-oil export performance in Nigeria. Therefore, the Nigerian government should ensure an appropriate policy mix that not only ensures a stable and realistic exchange rate but also conducive atmosphere for production and exportation. |
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