Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/237428 
Autor:innen: 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 11 [Issue:] 2 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Year:] 2020 [Pages:] 29-63
Verlag: 
The Central Bank of Nigeria, Abuja
Zusammenfassung: 
The study examines the impact of interest rate differential and exchange rate move-ment on the dynamics of Nigeria's international private capital flows from 2010Q1to 2019Q4. It uses the interest rate parity theory and the Markov Switching TimeVarying Transition Probability Modelling approach. Findings show that interest ratedifferential does not explain the dynamics of aggregate capital and Foreign DirectInvestment (FDI) flows, but significantly explains Foreign Portfolio Investment (FPI)flows. Also, Movement in real exchange rate is significant in explaining outflows andinflows in FPI, and inflows in FDI, but neutral to aggregate capital flows. The studyconcludes that deviations from interest rate parity provides opportunities for interestrate and currency arbitrage in Nigeria but using aggregate capital flows mask thisevidence. The study therefore recommends that the CBN should focus on exchangerate stabilization policies, so as not only to discourage FPI reversal but to also en-hance FDI inflow. This can be done by putting in place foreign reserve accretionmeasures to boost the ability of the CBN to defend the Naira. The new policy ini-tiative on remittances is a right step in the right direction as it could boost externalreserve
Schlagwörter: 
Arbitrage
capital flow
exchange rate
interest rate parity
time varying transi-tion probability
JEL: 
F31
F41
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
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