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Literature recognise that announcement impinge shocks which could shift the mean behaviour of the exchange rate. This study apply event driven models to analyse how the expectation of daily log-exchange rate and its daily log-return respond to all the 88 MPC meetings and selected CBN's...
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This study examined the effects of persistent exchange rate fluctuations on Nigeria's economic performance. It was … motivated by the quest to ascertain why concerted efforts of the monetary authorities in Nigeria to pursue internal and external … inflation rate had a significant adverse impact on Nigeria's economic growth in the long run. By implication, the net effect of …
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This paper sets out to examine the effects of Additional Monetary Tightening (AMT) on exchange rate volatility in … Nigeria during the period 2007 - 2016. Using a pseudo-events study approach, the paper identified all the episodes of AMT … statistically significant. This suggests that Additional Monetary Tightening could be effective in reducing exchange rate volatility …
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The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
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