Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Business
Exchange Rate And External Reserves In Nigeria: A Threshold Cointegration Analysis, Ngozi E. Nwachukwu, Abdulkadir I. Ali, Ismaila S. Abdullahi, Mohammed A. Shettima, Solomon S. Zirra, Bola S. Falade, Michael J. Alenyi
Exchange Rate And External Reserves In Nigeria: A Threshold Cointegration Analysis, Ngozi E. Nwachukwu, Abdulkadir I. Ali, Ismaila S. Abdullahi, Mohammed A. Shettima, Solomon S. Zirra, Bola S. Falade, Michael J. Alenyi
CBN Journal of Applied Statistics (JAS)
This paper models the long-run relationship between the Bureau De Change exchange rate and external reserves in Nigeria in a Threshold Vector Error Correction Model (TVECM) framework using daily data that spans from Jan 1, 2014 to Jul 31, 2015. Modeling BDC exchange rate and external reserves within this context can be motivated by the fact that the transition mechanism between the variables is controlled by the degree of BDC exchange rates premium which is within central bank of Nigeria’s policy oversight. The supLM test result indicates that there is a non-linear long-run relationship between the series, providing empirical support …