article Open Access
Asymmetric cointegration and threshold adjustment between exchange rate and non-crude oil exports in Nigeria
International Journal of Financial Management and Economics · 2019 · Vol. 2(2) · pp. 55–58
Aliyu Alhaji Jibrilla✉(Adamawa State University)
Abstract
This paper empirically examines the long-run pass-through of the official exchange rate into non-crude oil exports in Nigeria utilizing threshold cointegration and asymmetric error-correction modeling for the sample period from June 1996M01 to December 2018M12. The study provides evidence for nonlinear cointegration between exchange rates and non-crude oil exports, in a form of upward rigidity. This finding shows that the response of non-crude oil exports to any decrease in the official exchange rate is faster than its response when there is a fall in the value of the domestic currency.
Energy, Environment, and Transportation PoliciesEnergy, Environment, Economic GrowthNatural Resources and Economic DevelopmentCointegrationEconomicsCrude oilExchange rateCurrencyEconometricsError correction modelMonetary economicsEngineering
Citations
0
FWCI
0.00
field-weighted impact
References
21
Percentile
22%
vs. same field & year
References
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Journal of the American Statistical Association · 1979 · 22,774 citations
Consistency and Limiting Distribution of the Least Squares Estimator of a Threshold Autoregressive Model
The Annals of Statistics · 1993 · 1,306 citations
Testing for a unit root in time series regression
Biometrika · 1988 · 17,746 citations
Co-Integration and Error Correction: Representation, Estimation, and Testing
Econometrica · 1987 · 31,692 citations
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Journal of the American Statistical Association · 1979 · 9,000 citations
Citation Network
How this paper connects to the literature. Drag to explore, click any node to open that paper.