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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.
2
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Examining the nexus between exchange rate volatility and export performance: Empirical evidence from the Egyptian experience

100%
Aly H., Rana H.
Business and Economic Horizons
|
2018
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vol. Volume 14
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issue Issue 3
542-560
EN
This paper investigates the relationship between exchange rate volatility and export performance of the Egyptian economy for the period (1980-2016). Moving average standard deviation and conditional standard deviation from GARCH model are used to generate two different measures of exchange rate volatility. The co-integration results indicate the existence of a unique long-run relationship between the real value of non-petroleum exports (as well as the volume of total exports) and the GARCH measure of exchange rate volatility. Using a Vector Error Correction Model, it is found that the volatility of the real effective exchange rate has a significant negative effect on real exports, whereas the effect of the level of real effective exchange rate itself, is not found to be statistically significant. Relevant policy implications are derived from these results.
3
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Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM

86%
Reaz M., Mahat F., Dahir A. M., Sahabuddin M., Al Mahi A. S. M. M.
Business and Economic Horizons
|
2017
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vol. Volume 13
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issue Issue 3
409-427
EN
The insurgence of exchange rate volatility over the years has gained the attention of not only scholars but also policy makers around the world. This paper investigates the influence of exchange rate volatility to the financial performance of agriculture firms in Malaysia. Authors use the system GMM dynamic panel techniques, wavelet coherence technique and GARCH (1, 1) for the period of 2001 and 2015. The findings show that the volatility of exchange rate of Malaysian Ringgit (RM) has a negative impact on the financial performance of agriculture firms in Malaysia. The ARME and AVA demonstrate a positive impact on the financial performance at 1% significance level for the full sample. The findings also reveal that financial performance, exchange rate, consumer price index, and interest rate comove while using the wavelet coherence.
4
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Skala zmienności kursu złotego względem euro i dolara w latach 2012-2016 na tle wybranych walut narodowych krajów Unii Europejskiej

72%
Michalczyk W.
Studia Ekonomiczne
|
2018
|
vol. 352
139-151
PL
Celem artykułu jest ocena skali zmienności kursu złotego w stosunku do euro i dolara, dokonana w porównaniu do kursów innych, wybranych walut krajów Unii Europejskiej: korony czeskiej, korony szwedzkiej, forinta węgierskiego i funta brytyjskiego. Do analizy zastosowano trzy wskaźniki: procentowe odchylenie kursu dziennego od średniej z badanego okresu i od średniej z poprzedzających dwóch lat oraz miernik ERV, a także przeprowadzono analizę korelacji. Zaobserwowano, że skala zmienności kursu złotego w stosunku do euro i dolara w porównaniu do innych walut nie jest zbyt znaczna oraz że stopień powiązania wartości walut z euro jest zasadniczo większy niż z dolarem, co przekłada się na wyższą stabilność ich kursów względem wspólnego pieniądza.
EN
The aim of the paper is to evaluate the scale of volatility of the złoty’s exchange rate against the euro and the dollar, in comparison to the rates of other selected currencies of the European Union member states: Czech koruna, Swedish krona, Hungarian forint and British pound. Three indicators were used for the analysis: percentage deviation of the daily exchange rate from the mean in the studied period and from the mean in the preceding two years and the measure of the ERV, and also the correlation analysis was conducted. It was observed that the scale of volatility of the zloty’s rate against the euro and the dollar compared to other currencies is not very excessive and that the degree of linkage of the currencies’ values with the euro is substantially higher than with the dollar, which translates into greater stability of their exchange rates against the common currency.
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