Long memory in nominal exchange rates in Nigeria: An examination using fractionally integrated and cointegrated models with structural breaks

Q3 Business, Management and Accounting

Contaduria y Administracion Pub Date : 2022-03-30 DOI:10.22201/fca.24488410e.2022.3318

G. Ebuh, T. S. Shitile, N. Usman

引用次数: 0

Abstract

This study sets out to achieve two things majorly. First, is to scrutinize the performance of nominal exchange rates persistence in Nigeria, during the Pre-GFC and Post-GFC periods, in addition to using the full sample. The second is to ascertain whether, or not, the nominal exchange rates are fractionally cointegrated using the FCVAR model recently developed by Nielsen and Popiel (2018). The empirical results from the study depict higher exchange rates persistence in the post GFC period across all the currencies. The outcome lays credence to the need for stronger coordination between the fiscal and monetary authorities to adequately manage the exchange rates in the post-GFC period. We also find the presence of long-run properties in the Nominal exchange rates, where the CVAR is superior to the FCVAR

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尼日利亚名义汇率的长期记忆：使用具有结构断裂的分数积分和协积分模型进行的检验

本研究主要从两个方面着手。首先，除了使用完整样本外，还要仔细审查尼日利亚在全球金融危机前和全球金融危机后期间名义汇率持续性的表现。第二个是使用Nielsen和Popiel（2018）最近开发的FCVAR模型来确定名义汇率是否是分数协整的。该研究的实证结果表明，在全球金融危机后时期，所有货币的汇率持续走高。这一结果证明，财政和货币当局之间需要加强协调，以便在全球金融危机后时期充分管理汇率。我们还发现名义汇率中存在长期性质，其中CVAR优于FCVAR

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Contaduria y Administracion Business, Management and Accounting-Business, Management and Accounting (all)

CiteScore

0.90

自引率

0.00%

发文量

审稿时长

14 weeks

期刊介绍： Contaduría y Administración (Accounting and Management)is a quarterly journal aimed to the academic community. Being peer-reviewed by double blind process,seeks to contribute to the advancement of scientific and technical knowledge in the financial and administrative disciplines. This journal publishes original theoretical or applied research (No case studies, descriptive and exploratory) in Spanish and English on the following subjects: • Organization Management • Production Management and Operations • Human Resources Management • Management of Information Technology • Accounting and Auditing • Management and Leadership • Business Economics • Entrepreneurship • Business Environment • Finance • Operations Research • Innovation and Technological Change in Organizations • Marketing • Micro, Small and Medium Enterprises • Planning and Business Strategies • Management Theory • Financial Theory • Business Decisions Contaduría y Administración (Accounting and Management) also receives research papers on related areas to the above mentioned.