Exchange Rate Dynamics and Monetary Fundamentals

Are monetary fundamentals important determinants of the exchange rate behaviour in Nigeria? This article examines the validity of both short- and long-run versions of the monetary exchange rate model for the Nigerian naira-US dollar exchange rate from 1987:1 to 2011:4 within a cointegrated SVAR fram...

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Bibliographic Details
Main Author: Effiong, Ekpeno L
Format: Article
Language:English
Published: 2014
Subjects:
Cointegrated Svar
Nigeria
Monetary Exchange Rate Model
Nominal Exchange Rate
Monetary Fundamentals
LEADER 01539nab a22001817a 4500
008 160615b2014 xxu||||| |||| 00| 0 eng d
100 |a Effiong, Ekpeno L 
245 |a Exchange Rate Dynamics and Monetary Fundamentals  |c A Cointegrated SVAR Approach for Nigeria / Effiong, Ekpeno 
260 |c 2014 
300 |a 205-221 
520 |a Are monetary fundamentals important determinants of the exchange rate behaviour in Nigeria? This article examines the validity of both short- and long-run versions of the monetary exchange rate model for the Nigerian naira-US dollar exchange rate from 1987:1 to 2011:4 within a cointegrated SVAR framework. Apart from the long-run relationship, the short-run contemporaneous interactions are examined for the monetary exchange rate model. The results show the existence of a unique long-run relationship between the exchange rate and monetary fundamental, which is theoretically consistent with the monetary model. The short-run evidence is not entirely consistent with the monetary exchange rate model, although the impulse response of the exchange rate to shocks in the monetary fundamentals mirrors the predictions of the monetary model. However, only the interest rate differential is significant and explains most of the variations in the nominal exchange rate in the short run. 
650 |a Cointegrated Svar 
650 |a  Nigeria 
650 |a Monetary Exchange Rate Model 
650 |a Nominal Exchange Rate 
650 |a Monetary Fundamentals 
773 |a Global Business Review  |d June 
999 |c 41502  |d 41502 

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