Abstract
The adoption of a flexible exchange rate system since 1986 in Nigeria has made the country witnessed varying rate of the naira vis-à-vis the U.S dollar. This paper examines exchange rate volatility with ARCH model and its various extensions (GARCH, TGARCH, and EGARCH) using quarterly exchange rate series from 1986-Q1 to 2014-Q4.The impact of exchange rate volatility on non-oil exports was also examined using Error Correction Model (ECM) with two different measures of volatility. The results obtained confirm the existence of exchange rate volatility and also found a significant negative effect on non-oil export performance in Nigeria. Therefore, the Nigerian government should ensure an appropriate policy mix that not only ensures a stable and realistic exchange rate but also conducive atmosphere for production and exportation.
Metadata
| Item Type: | Article |
|---|---|
| Creators: | Creators Email / ID Num. Akanbi, Sa’ad Babatunde UNSPECIFIED Yusuf, Hammed Agboola UNSPECIFIED Oluwaseyi, Musibau Hammed UNSPECIFIED |
| Subjects: | H Social Sciences > HF Commerce > Balance of trade H Social Sciences > HF Commerce > International economic relations > Export marketing. International marketing H Social Sciences > HG Finance > Money |
| Divisions: | Universiti Teknologi MARA, Selangor > Puncak Alam Campus > Faculty of Business and Management |
| Journal or Publication Title: | Journal of Emerging Economies and Islamic Research (JEEIR) |
| UiTM Journal Collections: | UiTM Journal > Journal of Emerging Economies and Islamic Research (JEEIR) |
| ISSN: | 2289 - 2559 |
| Volume: | 5 |
| Number: | 2 |
| Page Range: | pp. 1-11 |
| Keywords: | Non-oil export, Exchange rate volatility, Trade, ARCH-type models |
| Date: | 2017 |
| URI: | https://ir.uitm.edu.my/id/eprint/19369 |
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