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Trade shocks and real effective exchange rates dynamics in Nigeria
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Orientador(es)
Resumo(s)
This paper models the relationship between trade shocks and real effective exchange
rates (REER) for Nigeria using monthly data from January 2010 to December 2021.
The contributions of this paper are twofold: (i) We use the Pesaran et al.’s (J Appl
Econom 16(3):289–326, 2001) Linear (Symmetric) as well as Shin et al.’s (Festschrift
in honor of Peter Schmidt: Econometric Methods and Applications, Springer, 2014)
Nonlinear (Asymmetric) ARDL, (ii) We additionally account for structural breaks in
regression models using the Bai and Perron (J Appl Econom 18(1):1–22, 2003) test,
which allows for numerous structural alterations. Our research yielded the following
conclusions. There is evidence of both short-run and long-run asymmetries. Second,
terms of trade improvement led to an appreciation of the local currency in the long
run. Third, a degradation in terms of trade has no discernible impact on Nigeria’s real
effective exchange rate. Finally, ignoring structural fractures and asymmetries will
result in significant prejudices and erroneous findings.
Descrição
Palavras-chave
Asymmetries Nigeria Nonlinear ARDL Real Effective Exchange rate Structural breaks Trade shocks
Contexto Educativo
Citação
Oyewole, Oluwatomisin J.,Damilola M. Ibidun, Mamdouh Abdulaziz Saleh Al‑Faryan (2024). "Trade shocks and real effective exchange rates dynamics in Nigeria". Portuguese Economic Journal, 23(2):335-354
Editora
Springer