Obiekwe, Ekene and Osabuohien, E. S. C. (2016) Exchange Rate Pass-Through, Exchange Rate Volatility and Inflation Rate in Nigeria. In: 3rd International Conference On African Development Issues (CU-ICADI), May 9- May 11 2016, Covenant University, Ota, Nigeria.
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Abstract
Recently, the Nigerian economy has been experiencing significant exchange rate fluctuations, particularly depreciations in the foreign exchange market which has been accompanied with inflation. Given this background, This paper investigates the degree of pass-through of the official and parallel exchange rates to inflation as well as the relationship between exchange rate volatility and inflation in Nigeria based on monthly time series data (January 2006 to December 2015). It employs, among others, The Generalized Auto Regressive Conditional Heteroskedasticity (GARCH), technique in achieving its objectives. The results suggest that the parallel exchange rate passes through to inflation in the short run while the official exchange rate passes through to inflation in the long run exclusively. It also found out that exchange rate volatility has a positive and significant effect on inflation in the long run.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | Exchange rate, Pass-through, Volatility, Inflation, GARCH models |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Law, Arts and Social Sciences > School of Social Sciences |
| Depositing User: | Mrs Hannah Akinwumi |
| Date Deposited: | 27 Jun 2016 14:23 |
| Last Modified: | 27 Jun 2016 14:23 |
| URI: | http://eprints.covenantuniversity.edu.ng/id/eprint/6637 |
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