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Do Exchange Rate Changes have Symmetric or Asymmetric Effects on Money Demand in Nigeria?

Author

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  • Olalekan Bashir Aworinde
  • Ishola Rufus Akintoye

    (Pan Atlantic University)

Abstract

Previous studies of the effects of exchange rate changes on Nigeria’s demand for money have assumed symmetry relationship. In this paper, we examine the asymmetric effect of exchange rate on demand for money by constructing naira depreciation and appreciation. The study employed the linear and nonlinear auto-regressive distributed lag (ARDL) approach using quarterly data for the period 1960Q1-2017Q4. The results show that exchange rate changes have short-run and long-run asymmetric effects on demand for money in Nigeria and that when nonlinearity was introduced there is stability of money demand.

Suggested Citation

  • Olalekan Bashir Aworinde & Ishola Rufus Akintoye, 2019. "Do Exchange Rate Changes have Symmetric or Asymmetric Effects on Money Demand in Nigeria?," The African Finance Journal, Africagrowth Institute, vol. 21(1), pages 50-66.
    • Handle: RePEc:afj:journl:v:21:y:2019:i:1:p:50-66
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    Cited by:

    1. Tomader Elhassan, 2021. "Asymmetric Impact of Exchange Rate Fluctuations on Money Demand in Sudan," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 11(5), pages 406-417, May.

    More about this item

    Keywords

    Africa; Money demand; exchange rate; asymmetry; nonlinear ARDL; Nigeria;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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