文章基本信息

标题：Cointegration between Exchange Rate Volatility and Key Macroeconomic Fundamentals: Evidence from Nigeria
本地全文：下载
作者：Edet Joshua Udoh ; Sunday Brownson Akpan ; Daniel Etim John 等
期刊名称：Modern Economy
印刷版ISSN：2152-7245
电子版ISSN：2152-7261
出版年度：2012
卷号：3
期号：7
页码：846-855
DOI：10.4236/me.2012.37108
出版社：Scientific Research Publishing
摘要：The study modelled the short run and long run impact of some macroeconomic fundamentals on the exchange rate volatility in Nigeria. Unit root test conducted on the specified time series showed that all series were integrated of order one. The short-run and long-run elasticities of exchange rate volatility with respect to some key macro-economic fundamentals were determined using the techniques of co-integration and error correction model estimation. The empirical results revealed that the coefficients of the total import, industrial capacity utilization rate, lending rate of commercial Banks, foreign private investment and liberalization policy period are significant in the long run. Whereas the coefficients of external reserves, inflation rate, interest rate, foreign private investment, total import and industrial capacity utilization rate were significant in the short run. The result advocated for appropriate short and long term policy packages that should focused on stabilization of the identified significant shifters of exchange rate volatility in the Nigeria’s economy. Harmonization of transactions in the various foreign exchange markets in Nigeria should be a priority objective in the current exchange rate policy.
关键词：Exchange Rate; Volatility; GARCH; Macroeconomic; Variables; Policies