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INTELEK Repository
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Online Access
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https://intelek.unisza.edu.my/intelek/pages/search.php?search=!collection407072
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2016-02-02 09:48:02
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Restricted Document
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12865
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UniSZA
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Adebiyi, M.A. (2007), An Evaluation of Foreign Exchange Intervention in Nigeria (1986-2003). MPRA Paper (No. 3817), University Library of Munich, Germany. Ahmed, H. (2001), Exchange Rate Stability: Theory and Policies from an Islamic Perspective. (No. 57), IRTI Research Paper. Akıncı, Ö., Çulha, O.Y., Özlale, Ü., Şahinbeyoğlu, G. (2005b), The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post-Crisis Period Analysis. CBRT Research Department Working Paper, No. 05/06, February, 1-31. Aliyu, S.U.R. (2009), Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth in Nigeria: An Empirical Investigation. (No. 16319). University Library of Munich, Germany. Aliyu, S.U.R., Yakub, M.A.U., Sanni, G.K., Duke, O. (2009), Exchange Rate Pass-Through in Nigeria: Evidence from a Vector Error Correction Model. (No. 25023). University Library of Munich, Germany. Ardalan, K. (2004), The monetary approach to balance of payments: A review of the seminal long-run empirical research. Journal of Economics and Economic Education Research, 6(1), 37. Basu, K., Varoudakis, A. (2013), How to Move the Exchange Rate If You Must: The Diverse Practice of Foreign Exchange Intervention by Central Banks and a Proposal for Doing It Better. World Bank Policy Research Working Paper, (6460). Bonser-Neal, C., Roley, V.V., Sellon, G.H.Jr. (1998), Monetary policy actions, intervention, and exchange rates: A reexamination of the empirical relationships using federal funds rate target data. The Journal of Business, 71(2), 147-177. Campbell, O.A. (2010), Foreign exchange market and monetary management in Nigeria. Journal of Emerging Trends in Economics and Management Sciences (JETEMS), 1(2), 102-106. Central Bank of Nigeria: “Quarterly Statistical Bulletin” Volume 3, No 22, June, 2014. Central Bank of Nigeria: “Quarterly Statistical Bulletin” Volume 1 No 01, March 2012. Domaç, I., Mendoza, A. (2004), Is There Room for Foreign Exchange Interventions under an Inflation Targeting Framework? Evidence from Mexico and Turkey. Evidence from Mexico and Turkey. (April 22, 2004). World Bank Policy Research Working Paper, No. 3288. Dominguez, K.M. (1998), Central bank intervention and exchange rate volatility. Journal of International Money and Finance, 17(1), 161 190. Dominguez, K.M. (2003), The market microstructure of central bank intervention. Journal of International Economics, 59(1), 25-45. Edison, J.H. (1993), The Effectiveness of Central Bank Intervention: A Survey of Literature after 1982. Special Papers in International Economics, international Finance Section, Department of Economics Princeton University, Princeton, New Jersey, USA. Engle, R.F., Granger, C.W. (1987), Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2) 251-276. Frenkel, M., Pierdzioch, C., Stadtmann, G. (2005), The effects of japanese foreign exchange market interventions on the Yen/US dollar exchange rate volatility. International Review of Economics & Finance, 14(1), 27-39. Guimaraes, R., Karacadag, C. (2005), The empirics of foreign exchange intervention in emerging market countries: The cases of Mexico and Turkey. In: Money Macro and Finance (MMF) Research Group Conference 2005, (No. 68). Money Macro and Finance Research Group. Hendry, D. F., Juselius, K. (2001), Explaining cointegration analysis: Part II. The Energy Journal, 22(1), 75-120. Hillebrand, E., Schnabl, G. (2008), A structural break in the effects of Japanese foreign exchange intervention on Yen/Dollar exchange rate volatility. Journal of International Economic Policy, 4(5), 389-401. Jhingan, M.L. (2005), International Economics. 5th ed. New Delhi: Vrinda Publication (P) Ltd. Johansen, S. (1988), Statistical analysis of co-integrating vectors. Journal of Economics Dynamics and Control, 12(2-3), 231-254. Johansen, S. (1991), Estimation and hypothesis testing of cointegrating vectors in gaussian vector autoregressive models. Economertica, 59(6), 1551-1581. Johansen, S., Juselius, K. (1990), Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210. Kaminsky, G.L., Lewis, K.K. (1996), Does foreign exchange intervention signal future monetary policy? Journal of Monetary Economics, 37(2), 285-312. Komolafe, B. (2015), CBN Spends $4.7bn to Defend Naira. Vanguard. Available from: http://www.vanguardngr.com/2015/04/cbn-spends 4-7bn-to-defend-naira/. Kurihara, Y. (2011), Intervention in the Foreign exchange market and exchange rates in Japan. 経営総合科学, 96(2011), 85-91. Laflechel, T. (1996), The Impact of Exchange Rate Movements on Consumer Prices. Bank of Canada Review. Winter, 1996-1997, 21-32. McCarthy. Lahura, E., Vega, M. (2013), Asymmetric effects of forex intervention using intraday Data: Evidence from Per. (No. 430). Bank for International Settlements. Liew, V.K.S. (2004), Which lag length selection criteria should we employ? Economics Bulletin, 3(33), 1-9. Mohamad, S. In: Yussof, I. (Ed). (2009), Malaysia’s Economy: Past, Present and Future. 1st ed. Kuala Lumpur, Malaysia: Malaysian Strategic Research Centre. Moreno, R. (2005), Motives for intervention. BIS Papers Chapters, 24, 4-18. Mussa, M.L. (1984), The theory of exchange rate determination. In: Exchange Rate Theory and Practice. Chicago: University of Chicago Press. Nweze, C. (2015), Battle to save Naira may be long, complex. The Nation. Available from: http://www.thenationonlineng.net/new/saving-the naira-at-all-cost/. Omojolaibi, J.A., Gbadebo, A.D. (2014), Foreign exchange intervention and monetary aggregates: Nigerian evidence. International Journal of Economics, Commerce and Management United Kingdom, 2(10), 1-21. Oyinbo, O., Rekwot, G.Z. (2014), Nexus of exchange rate deregulation and agricultural share of gross domestic product in Nigeria. CBN Journal of Applied Statistic, 5(2), 49-64. Reitz, S., Taylor, M.P. (2012), FX intervention in the Yen-US Dollar market: Acoordination channel perspective. International Economics and Economic Policy, 9(2), 111-128. Sanusi, J.O. (2004), Exchange Rate Mechanism: The Current Nigerian Experience. Paper Delivered by the Governor of the Central bank of Nigeria to the Nigerian-British Chamber of Commerce on February 24, 2004, Abuja, Nigeria. Sarno, L., Taylor, M.P. (2001), Official intervention in the foreign exchange market: Is it effective and, If so, How does it work? Journal of Economic Literature, 39(3), 839-868. Schmidt, R., Wollmershäuser, T. (2004), Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model. Würzburg Economic Papers (No. 50), University of Wurzburg, Institute for Economic Research. Seerattan, D.A. (2012), The Effectiveness Of Central Bank Interventions in the Foreign Exchange Market. Doctoral Dissertation, School Of Social Sciences Theses, Brunel University, Brunel. Simatele, M. (2003), Financial Sector Reforms and Monetary Policy in Zambia. Ph. D Thesis, University of Coteborg, Sweden. Simwaka, K., Mkandawire, L. (2006), The Effectiveness of Official Intervention in Foreign Exchange Market in Malawi. MPRA Paper, (No. 1123), University Library of Munich, Germany. Spolander, M. (1999), Measuring Exchange Market Pressure and Central Bank Intervention. Working Paper (No. E, 17), Bank of Finland Studies Working. Taylor, M.P. (1995), The economics of exchange rates. Journal of Economic Literature, 33(1), 13-47. United Nation Statistics Division. (2015). Available from: http://www. unstats.un.org/unsd/tradeserv/default.htm. Waheed, M. (2010), Foreign exchange intervention and sterilization: An Investigation of State Bank of Pakistan’s Reaction Function. (No. 33161), University Library of Munich, Germany.
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norman
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oai_dc
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12865 https://intelek.unisza.edu.my/intelek/pages/view.php?ref=12865 https://intelek.unisza.edu.my/intelek/pages/search.php?search=!collection407072 Restricted Document Article Journal image/jpeg inches 96 96 norman 01 01 1419 728 2016-02-02 09:48:02 1419x728 7172-01-FH02-INSPIRE-16-05261.jpg UniSZA Private Access Effectiveness of foreign exchange market intervention in Nigeria (1970-2013) International Journal of Economics and Financial Issues The instability in the value of naira have made the Central Bank of Nigeria (CBN) a regular actor in the foreign exchange market (FEM) in its efforts to stabilize the value of Naira and counter the disorderly behavior of the market. This paper examines the effectiveness of the CBN’s intervention operations in the FEM using annual secondary time series data of four variables. The variables are the exchange rate, money supply, net foreign asset (a proxy for intervention variable), and lending rate ranging from 1970 to 2013. The result from the Johansen Juselius cointegration test shows that the naira exchange rate, intervention variable and monetary aggregates are cointegrated. The result from the error correction model also indicates that the naira exchange rate will adjust and re-establish itself at the speed of 12% annually. Moreover, the result of the Granger causality test the CBN intervention is non-sterilized. Therefore, the CBN should provide an effective way through which its FEM intervention could be efficient and sterilized so as to ensure stability in the exchange rate and the price level. 6 1 279-287 Adebiyi, M.A. (2007), An Evaluation of Foreign Exchange Intervention in Nigeria (1986-2003). MPRA Paper (No. 3817), University Library of Munich, Germany. Ahmed, H. (2001), Exchange Rate Stability: Theory and Policies from an Islamic Perspective. (No. 57), IRTI Research Paper. Akıncı, Ö., Çulha, O.Y., Özlale, Ü., Şahinbeyoğlu, G. (2005b), The Effectiveness of Foreign Exchange Interventions for the Turkish Economy: A Post-Crisis Period Analysis. CBRT Research Department Working Paper, No. 05/06, February, 1-31. Aliyu, S.U.R. (2009), Impact of Oil Price Shock and Exchange Rate Volatility on Economic Growth in Nigeria: An Empirical Investigation. (No. 16319). University Library of Munich, Germany. Aliyu, S.U.R., Yakub, M.A.U., Sanni, G.K., Duke, O. (2009), Exchange Rate Pass-Through in Nigeria: Evidence from a Vector Error Correction Model. (No. 25023). University Library of Munich, Germany. Ardalan, K. (2004), The monetary approach to balance of payments: A review of the seminal long-run empirical research. Journal of Economics and Economic Education Research, 6(1), 37. Basu, K., Varoudakis, A. (2013), How to Move the Exchange Rate If You Must: The Diverse Practice of Foreign Exchange Intervention by Central Banks and a Proposal for Doing It Better. World Bank Policy Research Working Paper, (6460). Bonser-Neal, C., Roley, V.V., Sellon, G.H.Jr. (1998), Monetary policy actions, intervention, and exchange rates: A reexamination of the empirical relationships using federal funds rate target data. The Journal of Business, 71(2), 147-177. Campbell, O.A. (2010), Foreign exchange market and monetary management in Nigeria. Journal of Emerging Trends in Economics and Management Sciences (JETEMS), 1(2), 102-106. Central Bank of Nigeria: “Quarterly Statistical Bulletin” Volume 3, No 22, June, 2014. Central Bank of Nigeria: “Quarterly Statistical Bulletin” Volume 1 No 01, March 2012. Domaç, I., Mendoza, A. (2004), Is There Room for Foreign Exchange Interventions under an Inflation Targeting Framework? Evidence from Mexico and Turkey. Evidence from Mexico and Turkey. (April 22, 2004). World Bank Policy Research Working Paper, No. 3288. Dominguez, K.M. (1998), Central bank intervention and exchange rate volatility. Journal of International Money and Finance, 17(1), 161 190. Dominguez, K.M. (2003), The market microstructure of central bank intervention. Journal of International Economics, 59(1), 25-45. Edison, J.H. (1993), The Effectiveness of Central Bank Intervention: A Survey of Literature after 1982. Special Papers in International Economics, international Finance Section, Department of Economics Princeton University, Princeton, New Jersey, USA. Engle, R.F., Granger, C.W. (1987), Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2) 251-276. Frenkel, M., Pierdzioch, C., Stadtmann, G. (2005), The effects of japanese foreign exchange market interventions on the Yen/US dollar exchange rate volatility. International Review of Economics & Finance, 14(1), 27-39. Guimaraes, R., Karacadag, C. (2005), The empirics of foreign exchange intervention in emerging market countries: The cases of Mexico and Turkey. In: Money Macro and Finance (MMF) Research Group Conference 2005, (No. 68). Money Macro and Finance Research Group. Hendry, D. F., Juselius, K. (2001), Explaining cointegration analysis: Part II. The Energy Journal, 22(1), 75-120. Hillebrand, E., Schnabl, G. (2008), A structural break in the effects of Japanese foreign exchange intervention on Yen/Dollar exchange rate volatility. Journal of International Economic Policy, 4(5), 389-401. Jhingan, M.L. (2005), International Economics. 5th ed. New Delhi: Vrinda Publication (P) Ltd. Johansen, S. (1988), Statistical analysis of co-integrating vectors. Journal of Economics Dynamics and Control, 12(2-3), 231-254. Johansen, S. (1991), Estimation and hypothesis testing of cointegrating vectors in gaussian vector autoregressive models. Economertica, 59(6), 1551-1581. Johansen, S., Juselius, K. (1990), Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210. Kaminsky, G.L., Lewis, K.K. (1996), Does foreign exchange intervention signal future monetary policy? Journal of Monetary Economics, 37(2), 285-312. Komolafe, B. (2015), CBN Spends $4.7bn to Defend Naira. Vanguard. Available from: http://www.vanguardngr.com/2015/04/cbn-spends 4-7bn-to-defend-naira/. Kurihara, Y. (2011), Intervention in the Foreign exchange market and exchange rates in Japan. 経営総合科学, 96(2011), 85-91. Laflechel, T. (1996), The Impact of Exchange Rate Movements on Consumer Prices. Bank of Canada Review. Winter, 1996-1997, 21-32. McCarthy. Lahura, E., Vega, M. (2013), Asymmetric effects of forex intervention using intraday Data: Evidence from Per. (No. 430). Bank for International Settlements. Liew, V.K.S. (2004), Which lag length selection criteria should we employ? Economics Bulletin, 3(33), 1-9. Mohamad, S. In: Yussof, I. (Ed). (2009), Malaysia’s Economy: Past, Present and Future. 1st ed. Kuala Lumpur, Malaysia: Malaysian Strategic Research Centre. Moreno, R. (2005), Motives for intervention. BIS Papers Chapters, 24, 4-18. Mussa, M.L. (1984), The theory of exchange rate determination. In: Exchange Rate Theory and Practice. Chicago: University of Chicago Press. Nweze, C. (2015), Battle to save Naira may be long, complex. The Nation. Available from: http://www.thenationonlineng.net/new/saving-the naira-at-all-cost/. Omojolaibi, J.A., Gbadebo, A.D. (2014), Foreign exchange intervention and monetary aggregates: Nigerian evidence. International Journal of Economics, Commerce and Management United Kingdom, 2(10), 1-21. Oyinbo, O., Rekwot, G.Z. (2014), Nexus of exchange rate deregulation and agricultural share of gross domestic product in Nigeria. CBN Journal of Applied Statistic, 5(2), 49-64. Reitz, S., Taylor, M.P. (2012), FX intervention in the Yen-US Dollar market: Acoordination channel perspective. International Economics and Economic Policy, 9(2), 111-128. Sanusi, J.O. (2004), Exchange Rate Mechanism: The Current Nigerian Experience. Paper Delivered by the Governor of the Central bank of Nigeria to the Nigerian-British Chamber of Commerce on February 24, 2004, Abuja, Nigeria. Sarno, L., Taylor, M.P. (2001), Official intervention in the foreign exchange market: Is it effective and, If so, How does it work? Journal of Economic Literature, 39(3), 839-868. Schmidt, R., Wollmershäuser, T. (2004), Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model. Würzburg Economic Papers (No. 50), University of Wurzburg, Institute for Economic Research. Seerattan, D.A. (2012), The Effectiveness Of Central Bank Interventions in the Foreign Exchange Market. Doctoral Dissertation, School Of Social Sciences Theses, Brunel University, Brunel. Simatele, M. (2003), Financial Sector Reforms and Monetary Policy in Zambia. Ph. D Thesis, University of Coteborg, Sweden. Simwaka, K., Mkandawire, L. (2006), The Effectiveness of Official Intervention in Foreign Exchange Market in Malawi. MPRA Paper, (No. 1123), University Library of Munich, Germany. Spolander, M. (1999), Measuring Exchange Market Pressure and Central Bank Intervention. Working Paper (No. E, 17), Bank of Finland Studies Working. Taylor, M.P. (1995), The economics of exchange rates. Journal of Economic Literature, 33(1), 13-47. United Nation Statistics Division. (2015). Available from: http://www. unstats.un.org/unsd/tradeserv/default.htm. Waheed, M. (2010), Foreign exchange intervention and sterilization: An Investigation of State Bank of Pakistan’s Reaction Function. (No. 33161), University Library of Munich, Germany.
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| spellingShingle |
Effectiveness of foreign exchange market intervention in Nigeria (1970-2013)
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| summary |
The instability in the value of naira have made the Central Bank of Nigeria (CBN) a regular actor in the foreign exchange market (FEM) in its efforts to stabilize the value of Naira and counter the disorderly behavior of the market. This paper examines the effectiveness of the CBN’s intervention operations in the FEM using annual secondary time series data of four variables. The variables are the exchange rate, money supply, net foreign asset (a proxy for intervention variable), and lending rate ranging from 1970 to 2013. The result from the Johansen Juselius cointegration test shows that the naira exchange rate, intervention variable and monetary aggregates are cointegrated. The result from the error correction model also indicates that the naira exchange rate will adjust and re-establish itself at the speed of 12% annually. Moreover, the result of the Granger causality test the CBN intervention is non-sterilized. Therefore, the CBN should provide an effective way through which its FEM intervention could be efficient and sterilized so as to ensure stability in the exchange rate and the price level.
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| title |
Effectiveness of foreign exchange market intervention in Nigeria (1970-2013)
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| title_full |
Effectiveness of foreign exchange market intervention in Nigeria (1970-2013)
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| title_fullStr |
Effectiveness of foreign exchange market intervention in Nigeria (1970-2013)
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| title_full_unstemmed |
Effectiveness of foreign exchange market intervention in Nigeria (1970-2013)
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| title_short |
Effectiveness of foreign exchange market intervention in Nigeria (1970-2013)
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| title_sort |
effectiveness of foreign exchange market intervention in nigeria (1970-2013)
|