Modelling returns and volatility connectedness between food prices and exchange rate in Nigeria

Lateef Akanni

No 64, Working Papers from Centre for Econometric and Allied Research, University of Ibadan

Abstract: This study measures the connectedness between food prices and exchange rate in Nigeria using the Diebold and Yilmaz (2012) approach. Using weekly data from January 2012 to January 2019 on five major food prices – rice, maize, millet gari and sorghum, and naira to dollar exchange rate, the study tests for spillovers transmission between food prices and Nigeria domestic currency against the most traded foreign currency - US dollar. The paper finds evidence of interdependence among the food prices and exchange rate based on the obtained spillover indexes. The study further accounts for the 2016 naira to dollar exchange rate crash. The results show that the huge depreciation in the exchange rate have a greater spillover effects on the food prices with this finding is robust to varying lag structure and VAR lag order.

Keywords: Naira exchange rate; Food prices; Spillover analysis; Exchange rate crash (search for similar items in EconPapers)
JEL-codes: C32 F31 G01 Q11 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2019-03
New Economics Papers: this item is included in nep-agr and nep-mon
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