Non-Linear Causal Link between Central Bank Intervention and Exchange Rate Volatility in Nigeria

Ali Umar Ahmad; Suraya Ismail; Siba Dayyabu; Ahmad Azrin Adnan; Ibrahim Sambo Farouq; Aminu Hassan Jakada

Non-Linear Causal Link between Central Bank Intervention and Exchange Rate Volatility in Nigeria

Ali Umar Ahmad *

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Suraya Ismail

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Siba Dayyabu

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Ahmad Azrin Adnan

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Ibrahim Sambo Farouq

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Aminu Hassan Jakada

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Non-Linear Causal Link between Central Bank Intervention and Exchange Rate Volatility in Nigeria

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Abstract

The continued volatility of the Naira / USD exchange rate has attracted the attention of Nigeria’s Central Bank (CBN) to engage in the foreign exchange market. This study aims to examine the long-run relationship between interventions on the foreign exchange market and the Naira / USD exchange rate. Regarding four variables, the analysis uses annual data, namely the: Naira / USD exchange rate, money supply, net foreign assets, and interest rates from 1980-2018. This research also used non-linear unit root, cointegration and causality testing approach. The non-linear unit root tests for stationarity by KSS and Breitung showed that the variables employed were stationary at the first difference. Besides, nonlinear Breitung cointegration tests showed the existence of the long-term relationship between foreign market interventions and the Naira / USD exchange rate.

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No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

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No ethics committee approval was required for this article type.

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How to Cite This Article

Ali Umar Ahmad, Suraya Ismail, Siba Dayyabu, Ahmad Azrin Adnan, Ibrahim Sambo Farouq, Aminu Hassan Jakada. 2020. "Non-Linear Causal Link between Central Bank Intervention and Exchange Rate Volatility in Nigeria". Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 20 (GJMBR Volume 20 Issue B6).

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GJMBR Volume 20 Issue B6

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-B Classification JEL Code: E58

Submission ReceivedNovember 6, 2020
Peer Review Double Blind
Handling Editor
Accepted December 1, 2020
Published December 15, 2020

Version of record

v1.2

Issue date

May 30, 2020

Language

English

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