Exchange Rate Dynamics and Monetary Fundamentals: A Cointegrated SVAR Approach for Nigeria

Effiong, Ekpeno L.

doi:10.1177/0972150914523569

Cited by 17 publications

(19 citation statements)

References 40 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The first step in the empirical analysis is to confirm the integrational properties of the selected variables through unit roots test. For this purpose, the null hypothesis of nonstationary variables is tested against the alternative hypothesis of stationary variables using the Dickey-Fuller generalised least squares test (DF-GLS test) of Elliott et al (1996) with a constant and time trend included in the regression. The DF-GLS test is more powerful than the standard augmented Dickey-Fuller test because it applies the wellknown Dickey-Fuller τ-test to locally demeaned or demeaned and detrended series.…”

Section: Unit Roots and Cointegration Testmentioning

confidence: 99%

Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?

Effiong

2014

OPEC Energy Review

Self Cite

View full text Add to dashboard Cite

Oil price shocks do not only originate from the supply‐side of the crude oil market but may also be demand driven. The impact of oil price shocks on stock market activities may be different depending on its origin (i.e. demand and supply shocks). This paper provides the first examination of the impact of the origin of oil price shocks on Nigeria's stock market for the period 1995:1–2011:12. Oil price shocks is decomposed into oil supply shocks, aggregate demand shocks and oil‐specific demand shocks using a structural vector auto‐regression model, and their impacts on stock market prices were analysed using impulse response and variance decomposition analysis. The impulse response results show that stock market's response to oil supply shocks is insignificantly negative but significantly positive to aggregate demand and oil‐specific demand shocks. The cumulative effects of the oil price shocks account for about 47 per cent of the variation in stock prices in the long term. These results suggest that the origin of oil price shocks is crucial for understanding the volatility in Nigeria's stock market. Future policy direction should focus on diversifying the economy to reduce its vulnerability to oil price fluctuations while addressing the inefficiencies in the stock market.

show abstract

Section: Unit Roots and Cointegration Testmentioning

confidence: 99%

Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?

Effiong

2014

OPEC Energy Review

Self Cite

View full text Add to dashboard Cite

show abstract

“…Fifth, studies dealing with the issue of transaction costs and non-linear adjustments in exchange rate analysis, supporting the existence of non-linearity [Beckmann, et al (2015); Chen and MacDonald (2015); Junttila and Korhonen (2011); Kim, et al (2010)]. Sixth, studies based on the SVAR methodology show that monetary exchange rate models are powerful tools to study the long-run as well as the short-run dynamics of the exchange rate [Effiong (2014); Heinlein and Krolzig (2012);Loria, et al (2010)].…”

Section: Literature Reviewmentioning

confidence: 91%

“…This discussion indicates that exchange rate contributes to economic development, enhances external competitiveness and improves social welfare [Chin, et al (2009)]. On the other hand, excessive volatility in exchange rate hampers external capital flows, worsens the trade balance, and impedes economic growth [Effiong (2014)].…”

Section: Literature Reviewmentioning

confidence: 99%

“…This study concluded that monetary model is very useful for understanding of Mexican exchange rate process. Effiong (2014), used the same methodology and found the evidence of cointegration between exchange rate and monetary factors for Nigerian economy, based on flexible price of variant monetary model. Katusiime, et al (2015) analyses the relation between Uganda Shilling/US$ and monetary fundamentals and finds that hybrid model provides support to analyse the Uganda Shilling/US$ exchange rates behaviors.…”

Section: Literature Reviewmentioning

confidence: 99%

See 1 more Smart Citation

Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis

Khan¹,

Nawaz²

2018

PDR

View full text Add to dashboard Cite

This study empirically examines the contribution of monetary fundamentals in explaining nominal exchange rate movements in the case of Pak-rupee vis-à-vis US-dollar over the period 1982Q2 to 2014Q2. The empirical results support the existence of cointegration relationship between nominal exchange rate and monetary fundamentals. The results reveal that relative money stocks and real income are the key drivers of exchange rate determination in Pakistan in the long-run. For dynamic interaction, the Structural Vector Autoregressive (SVAR) method is applied. Results from the SVAR show that the responses of exchange rate to shocks, originated from money supply, income, interest rate and inflation differentials, are consistent with the predictions of the flexible-price variant of the monetary model of exchange rate in the short-run. More specifically, the results indicate that inflation and interest rate differential explain maximum variations in exchange rate in the short-run. In essence, results suggest that monetary fundamentals are the key drivers of exchange rate fluctuations in Pakistan, especially in the short-run. JEL Classification: F31, F33, C32, F41 Keywords: Monetary Model, Exchange Rate, SVAR, Pakistan

show abstract

“…The study also finds that volatility of output, commodity prices, money supply and foreign reserves significantly influence exchange rate volatility. Effiong (2014), demonstrates the existence of a unique long-run relationship between the exchange rate and monetary fundamental, namely, money supply, price level, income level and interest rate. In the short run, however, only the interest rate differential is significant and explains most of the variations in the nominal exchange rate in the short-run.…”

Section: Exchange Rate Determinantsmentioning

confidence: 99%

Exchange Rate Volatility in Sudan: Does the Exchange Rate System Matter?

Elhussein¹,

Ahmed²

2019

JFBM

View full text Add to dashboard Cite

This paper aims to empirically investigate the determinants of exchange rate in Sudan and assess their impact on its volatility. The study gains its importance from the fact raised by the advocates of fixed and managed exchange rate systems that such systems can be the right choice for small economies, where an independent monetary policy is difficult to execute. The paper uses the ARDL model to study the relationship between the dependent and independent variables. To specify the determinant factors of the exchange rate the research employs four tests: Wald test, heteroskedasticity consistence covariance (White) test, HAC consistent covariance (Newey-West) test, and inferential statistics. To determine variables that are responsible for longrun fluctuations, the research applies Vector Error Correction (VEC) mechanism and Wald test to examine short-run causality and determine the speed of adjustment of endogenous variables. The study documents that the determinant factors of the exchange rate in Sudan are the balance of trade, gold purchases, money supply, inflation and foreign reserves. The continuous deterioration and fluctuation in exchange rate throughout the period under study suggest that the exchange rate system followed has no impact on the stability of the exchange rate.

show abstract

Exchange Rate Dynamics and Monetary Fundamentals: A Cointegrated SVAR Approach for Nigeria

Cited by 17 publications

References 40 publications

Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?

Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?

Does Pak-Rupee Exchange Rate Respond to Monetary Fundamentals? A Structural Analysis

Exchange Rate Volatility in Sudan: Does the Exchange Rate System Matter?

Contact Info

Product

Resources

About