Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/306718 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 12 [Issue:] 2 [Year:] 2021 [Pages:] 125-148
Verlag: 
The Central Bank of Nigeria, Abuja
Zusammenfassung: 
This study analyses the relationship between real exchange rate and domestic con- sumption in Nigeria using the Smooth Transition Autoregressive (STAR) model from 1981Q1 to 2019Q4. Findings show that domestic consumption determines the regime shift in real exchange rate, suggesting a nonlinear linkage with clearly distinct regimes. The lagged exchange rate is shown to have a significant linear effect on the current exchange rate. On the other hand, current foreign consumption is positive but has no significant impact on the exchange rate in the linear part of the model. In the nonlinear part of the model, evidence of a significant negative relationship between real exchange rate and domestic consumption is found, thus, supporting the propo- sition of the standard international business cycle model. In addition, the study finds evidence of bi-directional nonlinear granger causality between real exchange rate and domestic consumption. The study concludes that the relationship between real exchange rate and domestic consumption is nonlinear and that fiscal and monetary authorities should aim at policies that would stimulate domestic consumption below the threshold level necessary to keep the exchange rate stable
Schlagwörter: 
international real business cycle
nonlinear
real consumption
real ex-change rate
smooth transition autoregressive model
JEL: 
F31
F44
Persistent Identifier der Erstveröffentlichung: 
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