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Money and foreign exchange markets dynamics in Nigeria : a multivariate GARCH approach

Atoi, Ngozi V.; Nwambeke, Chinedu G. - In: CBN journal of applied statistics 12 (2021) 1, pp. 109-138

This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study...

Persistent link: https://www.econbiz.de/10012604406

Identifying long-run relationships between the exchange rate, interest rates and stock prices

Wong, Douglas Kai Tim; MacDonald, Ronald - In: Applied economics 56 (2024) 22, pp. 2671-2687

Persistent link: https://www.econbiz.de/10014525413

Capital controls and the international transmission of US money shocks

Miniane, Jacques Alain; Rogers, John H. - In: Journal of money, credit and banking : JMCB 39 (2007) 5, pp. 1003-1035

Persistent link: https://www.econbiz.de/10003552675

House price booms, current account deficits, and low interest rates

Ferrero, Andrea - In: Journal of money, credit and banking : JMCB 47 (2015), pp. 261-293

Persistent link: https://www.econbiz.de/10010533095

Nominal and real volatility as determinants of FDI

Cavallari, Lilia; D'Addona, Stefano - In: Applied economics 45 (2013) 16/18, pp. 2603-2610

Persistent link: https://www.econbiz.de/10009772212

Büttner, David; Hayo, Bernd - In: Applied economics 44 (2012) 31/33, pp. 4037-4053

Persistent link: https://www.econbiz.de/10009712621

Effects of speculation and interest rates in a “carry trade” model of commodity prices

Frankel, Jeffrey A. - In: Journal of international money and finance 42 (2014), pp. 88-112

Persistent link: https://www.econbiz.de/10010371827

Analysing oil price- macroeconomic volatility in Nigeria

Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered...

Persistent link: https://www.econbiz.de/10011460195

Global asset prices and FOMC announcements

Hausman, Joshua; Wongswan, Jon - In: Journal of international money and finance 30 (2011) 3, pp. 547-571

Persistent link: https://www.econbiz.de/10009268825

The impact of monetary policy on the exchange rate : a high frequency exchange rate puzzle in emerging economies

Kohlscheen, Emanuel - In: Journal of international money and finance 44 (2014), pp. 69-96

Persistent link: https://www.econbiz.de/10010391085