 Exchange Rate Volatility and Macroeconomic Performance in NigeriaKehinde Mary Mary Bello, David Olayungbo and Benjamin Ayodele Folorunso A chapter in Macroeconomic Analysis for Economic Growth from IntechOpen Abstract: The study examined the asymmetric relationship between exchange rate volatility and macroeconomic performance in Nigeria covering the period between 1986Q1 and 2019Q4. The Non-linear Generalised Autoregressive Distributive Conditional Heteroscedasticity (GARCH) model was employed. The study was motivated as a result of periodic increase in exchange rate of naira to a dollar and instability of macroeconomic variables in the economy. The presence of Autoregressive Distributive Conditional Heteroscedasticity (ARCH) effect established the use of non-linear GARCH models which showed that volatility was persistent over the period of study. Consequently, the result revealed that exchange rate volatility exhibited a positive relationship with trade balance, industrial output and inflation in the study period. Thus, good news prevailed more over bad news in the foreign exchange market. The study therefore recommended that monetary authorities in Nigeria should regulate exchange rate and macroeconomic variables in order to control the general price level in the economy. Keywords: Exchange rate volatility; non-linear GARCH; trade balance; industrial output; inflation; Nigeria (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ito:pchaps:243388 DOI: 10.5772/intechopen.100444 Access Statistics for this chapter More chapters in Chapters from IntechOpen |
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