Open AccessExchange rate volatility and non-oil exports in Nigeria: An empirical investigation
Author(s) -
Sa’ad Babatunde Akanbi,
Halimah Adedayo Alagbe,
Hammed Agboola Yusuf,
Musibau Hammed Oluwaseyi
Publication year - 2017
Publication title -
journal of emerging economies and islamic research
Language(s) - English
Resource type - Journals
ISSN - 2289-2559
DOI - 10.24191/jeeir.v5i2.8800
Subject(s) - exchange rate , volatility (finance) , economics , autoregressive conditional heteroskedasticity , us dollar , econometrics , effective exchange rate , monetary economics , exportation , error correction model , cointegration , mathematics , geometry
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.