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Structural breaks in parallel markets?: the case of Nigeria, 1980-1993

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  • Ashworth, John
  • Evans, Lynne
  • Teriba, Ayo
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    File URL: http://www.sciencedirect.com/science/article/B6VBV-3VGJHXG-F/2/af1691dc7a767b5ac8be9fbccbef9881
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Development Economics.

    Volume (Year): 58 (1999)
    Issue (Month): 1 (February)
    Pages: 255-264

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    Handle: RePEc:eee:deveco:v:58:y:1999:i:1:p:255-264

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    Web page: http://www.elsevier.com/locate/devec

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    1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    2. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
    3. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
    4. Balke, Nathan S. & Fomby, Thomas B., 1991. "Shifting trends, segmented trends, and infrequent permanent shocks," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 61-85, August.
    5. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
    6. Vedat Akgiray & Kursat Aydogan & G. Booth & John Hatem, 1989. "A causal analysis of black and official exchange rates: The turkish case," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 337-345, June.
    7. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    8. Dornbusch, Rudiger, et al, 1983. "The Black Market for Dollars in Brazil," The Quarterly Journal of Economics, MIT Press, vol. 98(1), pages 25-40, February.
    9. Gupta, Sanjeev, 1981. "A Note on the Efficiency of Black Markets in Foreign Currencies," Journal of Finance, American Finance Association, vol. 36(3), pages 705-10, June.
    10. Ogiogio, G.O., 1996. "A Statistical Analysis of Foreign Exchange Rate Behaviour in Nigeria's Auction," Papers 49, African Economic Research Consortium.
    11. M.O. Odedokun, 1996. "Monetary model of black market exchange rate determination: evidence from African countries," Journal of Economic Studies, Emerald Group Publishing, vol. 23(4), pages 31-49, September.
    12. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
    13. Phylaktis, Kate, 1991. "The black market for dollars in Chile," Journal of Development Economics, Elsevier, vol. 37(1-2), pages 155-172, November.
    14. Booth, G. Geoffrey & Mustafa, Chowdhury, 1991. "Long-run dynamics of black and official exchange rates," Journal of International Money and Finance, Elsevier, vol. 10(3), pages 392-405, September.
    15. Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.
    16. Gawon Yoon, 1997. "Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 317-325.
    17. Lutz, Matthias, 1996. "Further Evidence on the sensitivity of unit-root tests to structural breaks: anapplication to developing country output series," Discussion Papers in Economics 02/96, Department of Economics, University of Sussex.
    18. Gregory, Allan W & Hansen, Bruce E, 1996. "Tests for Cointegration in Models with Regime and Trend Shifts," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(3), pages 555-60, August.
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    Cited by:
    1. Jesús Otero & Costas Milas, 2001. "Modelling Official And Parallel Exchange Rates In Colombia Under Alternative Regimes: A Non-Linear Approach," CeNDEF Workshop Papers, January 2001 PO2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    2. Janvier Nkurunziza, 2004. "How long can inflation tax compensate for the loss Wof government revenue in war economics? Evidence from Burundi," Economics Series Working Papers WPS/2004-19, University of Oxford, Department of Economics.
    3. Kanas, Angelos & Kouretas, Georgios P., 2007. "Regime dependence between the official and parallel foreign currency markets for US dollars in Greece," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 431-449, June.
    4. Lee, Chien-Chiang & Chang, Chun-Ping, 2008. "Unemployment hysteresis in OECD countries: Centurial time series evidence with structural breaks," Economic Modelling, Elsevier, vol. 25(2), pages 312-325, March.

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