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The Determinants of Real Exchange Rate Volatility in Nigeria

Abstract: 

The naira exchange rate depreciation and volatility is among the vast macroeconomic maladjustments which have unfolded in the Nigerian economy in the recent past. This paper therefore, investigates the determinants of real exchange rate volatility in Nigeria from 1981 through 2008. Having obtained the volatility of exchange rate through the GARCH (1,1) techniques, the ECM was used to examine the various determinants of exchange rate volatility in Nigeria, while the co-integration analysis reveals the presence of a long term equilibrium relationship between REXRVOL and its various determinants. Our empirical analysis further shows that openness of the economy, government expenditures, interest rate movements as well as the lagged exchange rate are among the major significant variables that influence REXRVOL during this period. This study recommends that the central monetary authority should institute policies that will minimize the magnitude of exchange rate volatility while the federal government exercises control of viable macroeconomic variables which have direct influence on exchange rate fluctuation.

Corporate Author: 
Ethiopian Economics Association
Publisher: 
Ethiopian Economic Association
ISBN/ISSN: 
1993-3681
Primary Descriptors: 

Exchange Rate  - Naira ; Volatility

Secondary Descriptor: 

Real exchange rate - Nigeria, 1981 -2008

Geographic Descriptors: 
Nigeria
Cataloge Date: 
10/10/2016
Broad Subject heading: 
Exchange Rate
Call Number: 
330.5 ETH JOU 2016
Serial Key Title: 
Ethiopian Journal Of Economics
Publication catagory: 
Content type: 
Volume: 
XXIV
Year: 
October 2015
Publication date: 
2016-08-31 00:00:00
Number: 
2
Place of publication: 
Addis Ababa, Ethiopia
Type of material: 
Book
Current frequency: 
Semiannual