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Full-Text Articles in Social and Behavioral Sciences
Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja
Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja
CBN Journal of Applied Statistics (JAS)
This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to measure stock market, money market and exchange rate market, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher during the period of high depreciation of the naira which coincides with the period of falling oil prices and domestic economic meltdown of 2014 and 2016, …
Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar
Oil Price And Exchange Rate Nexus In Nigeria: Are There Asymmetries, Attahir B. Abubakar
CBN Journal of Applied Statistics (JAS)
This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing monthly data spanning January 1986 to June 2018. It specifically determines asymmetries in the relationship between oil price and exchange rate and the effect of oil price shocks on exchange rate. Threshold Autoregressive (TAR), Momentum Threshold Autoregressive (MTAR) and Structural Vector Autoregressive (SVAR) models were employed for the analysis. Findings of TAR and MTAR models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there are no asymmetries in the relationship between oil price …