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The impact of exchange rate volatility on the Nigerian economic growth: An empirical investigation

100%
Ehikioya B. I.
Journal of Economics and Management
|
2019
|
vol. 37
s. 45-68
EN
Aim/purpose – Exchange rate volatility has remained a serious issue affecting economic stability, especially in developing countries. Thus, this study aimed at examining the impact of exchange rate volatility on economic growth in Nigeria. Design/methodology/approach – The study employed the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and the system Generalized Method of Moments (GMM) technique to analyse the time series data from the period January 1980 to December 2017. The study used the Augmented Dickey–Fuller and Philips–Perron tests to determine the presence of a unit root and the Johansen co-integration test to establish the relationship among the variables in the study. Findings – The results of the estimates offer evidence that exchange rate volatility persists throughout the study period, and has a negative and significant effect on the economic growth of Nigeria. This result suggests that excessive volatility due to low inflows is inimical to the growth of the Nigeria economy. The findings of the study demonstrate a negative and significant relationship between inflation and economic growth. Moreover, while credit to the private sector and crude oil prices exerts positive and significant relationship with growth, the relationship between money supply, trade openness and government expenditure and economic growth is positive but insignificant. Research implications/limitations – Therefore, it is important for the government to pursue policies and programs that would help ensure exchange rate stability and boost local production for both consumption and export. In addition, a holistic program of economic reforms is important to complement the exchange rate policy and stimulate economic growth. Originality/value/contribution – The study shed some light on exchange rate volatility and confirmed its adverse effect and the importance of a stable environment on economic growth. In addition, the study introduced crude oil prices as a variable to the study of exchange rate volatility and economic growth from a developing country perspective.
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GARCH Models of Time Series on DAM

72%
Ganczarek A., University of Economics in Katowice D. o. S.
Acta Universitatis Lodziensis. Folia Oeconomica
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2007
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vol. 206
EN
In this paper an analysis of the time series on the Day Ahead Market (DAM) of the Polish Power Exchange is presented. In this analysis Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models are used to describe the time series of rates of return of price of electric energy on DAM. This analysis is based on the data from July 2002 to June 2004.
PL
W pracy została przedstawiona analiza szeregów czasowych stóp zwrotu cen energii elektrycznej notowanych na rynku dnia następnego (RDN) Towarowej Giełdy Energii SA od lipca 2002 do czerwca 2004 r. za pomocą modeli GARCH. Celem pracy jest odpowiedź na pytanie, czy modele GARCH efektywnie opisują kształtowanie się cen energii elektrycznej na parkiecie polskiej giełdy energii i czy można je wykorzystywać do modelowania szeregów czasowych stóp zwrotu cen energii elektrycznej.
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