{"title":"尼日利亚名义汇率的长期记忆:使用具有结构断裂的分数积分和协积分模型进行的检验","authors":"G. Ebuh, T. S. Shitile, N. Usman","doi":"10.22201/fca.24488410e.2022.3318","DOIUrl":null,"url":null,"abstract":"This study sets out to achieve two things majorly. First, is to scrutinize the performance of nominal exchange rates persistence in Nigeria, during the Pre-GFC and Post-GFC periods, in addition to using the full sample. The second is to ascertain whether, or not, the nominal exchange rates are fractionally cointegrated using the FCVAR model recently developed by Nielsen and Popiel (2018). The empirical results from the study depict higher exchange rates persistence in the post GFC period across all the currencies. The outcome lays credence to the need for stronger coordination between the fiscal and monetary authorities to adequately manage the exchange rates in the post-GFC period. We also find the presence of long-run properties in the Nominal exchange rates, where the CVAR is superior to the FCVAR","PeriodicalId":52100,"journal":{"name":"Contaduria y Administracion","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2022-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Long memory in nominal exchange rates in Nigeria: An examination using fractionally integrated and cointegrated models with structural breaks\",\"authors\":\"G. Ebuh, T. S. Shitile, N. Usman\",\"doi\":\"10.22201/fca.24488410e.2022.3318\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study sets out to achieve two things majorly. First, is to scrutinize the performance of nominal exchange rates persistence in Nigeria, during the Pre-GFC and Post-GFC periods, in addition to using the full sample. The second is to ascertain whether, or not, the nominal exchange rates are fractionally cointegrated using the FCVAR model recently developed by Nielsen and Popiel (2018). The empirical results from the study depict higher exchange rates persistence in the post GFC period across all the currencies. The outcome lays credence to the need for stronger coordination between the fiscal and monetary authorities to adequately manage the exchange rates in the post-GFC period. We also find the presence of long-run properties in the Nominal exchange rates, where the CVAR is superior to the FCVAR\",\"PeriodicalId\":52100,\"journal\":{\"name\":\"Contaduria y Administracion\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-03-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Contaduria y Administracion\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.22201/fca.24488410e.2022.3318\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"Business, Management and Accounting\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Contaduria y Administracion","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.22201/fca.24488410e.2022.3318","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Business, Management and Accounting","Score":null,"Total":0}
Long memory in nominal exchange rates in Nigeria: An examination using fractionally integrated and cointegrated models with structural breaks
This study sets out to achieve two things majorly. First, is to scrutinize the performance of nominal exchange rates persistence in Nigeria, during the Pre-GFC and Post-GFC periods, in addition to using the full sample. The second is to ascertain whether, or not, the nominal exchange rates are fractionally cointegrated using the FCVAR model recently developed by Nielsen and Popiel (2018). The empirical results from the study depict higher exchange rates persistence in the post GFC period across all the currencies. The outcome lays credence to the need for stronger coordination between the fiscal and monetary authorities to adequately manage the exchange rates in the post-GFC period. We also find the presence of long-run properties in the Nominal exchange rates, where the CVAR is superior to the FCVAR
期刊介绍:
Contaduría y Administración (Accounting and Management)is a quarterly journal aimed to the academic community. Being peer-reviewed by double blind process,seeks to contribute to the advancement of scientific and technical knowledge in the financial and administrative disciplines. This journal publishes original theoretical or applied research (No case studies, descriptive and exploratory) in Spanish and English on the following subjects: • Organization Management • Production Management and Operations • Human Resources Management • Management of Information Technology • Accounting and Auditing • Management and Leadership • Business Economics • Entrepreneurship • Business Environment • Finance • Operations Research • Innovation and Technological Change in Organizations • Marketing • Micro, Small and Medium Enterprises • Planning and Business Strategies • Management Theory • Financial Theory • Business Decisions Contaduría y Administración (Accounting and Management) also receives research papers on related areas to the above mentioned.