cointegration between exchange rate volatility and key macroeconomic fundamentals evidence from nigeria汇率波动之间的协整和关键的宏观经济基本面来自尼日利亚的证据.pdfVIP

Modern Economy, 2012, 3, 846-855 /10.4236/me.2012.37108 Published Online November 2012 (http://www.SciRP.org/journal/me) Cointegration between Exchange Rate Volatility and Key Macroeconomic Fundamentals: Evidence from Nigeria 1* 2 1 2 Edet Joshua Udoh , Sunday Brownson Akpan , Daniel Etim John , Inimfon Vincent Patrick 1Department of Agricultural Economics and Extension, University of Uyo, Uyo, Nigeria 2Department of Agricultural Economics Resources Management, Akwa Ibom State University, Mkpat-Enin, Nigeria * Email: ej_udoh@ Received May 24, 2012; revised July 4, 2012; accepted August 6, 2012 ABSTRACT The study modelled the short run and long run impact of some macroeconomic fundamentals on the exchange rate vola- tility in Nigeria. Unit root test conducted on the specified time series showed that all series were integrated of order one. The short-run and long-run elasticities of exchange rate volatility with respect to some key macro-economic fundamen- tals were determined using the techniques of co-integration and error correction model estimation. The empirical results revealed that the coefficients of the total import, industrial capacity utilization rate, lending rate of commercial Banks, foreign private investment and liberalization policy period are significant in the long run. Whereas the coefficients of external reserves, inflation rate, interest rate, foreign private investment, total import and industrial capacity utilization rate were significant in the short run. The result advocated for appropriate short and long term pol