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Cryptoization and Volatility of the Exchange Rate in Nigeria

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  • Ayuba Napari

Abstract

This study aims to examine the impact of the cryptocurrency market returns, measured by Bitcoin and stablecoin market index returns, on the volatility of the Nigerian Naira. Noting that cryptocurrency returns are positively related to cryptocurrency adoption, this amounts to testing the impact of cryptoization on the exchange rate volatility of the Nigerian Naira. The study adopts an E-GARCH-X model to test the volatility impact of cryptocurrency returns with several controls using daily data from December 2017 to December 2024. It was found that cryptocurrency returns represented by Bitcoin returns and Stablecoin returns, proxied by a weighted return of the major stablecoins, contribute positively to the volatility of the naira. This result is robust even after accounting for global risk sentiment, the dollar-naira interest rate differential and country risk using the VIX index, Naira NIBOR and SOFR rate difference and the Global X MSCI Nigeria ETF as controls.

Suggested Citation

  • Ayuba Napari, 2026. "Cryptoization and Volatility of the Exchange Rate in Nigeria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 98-115.
    • Handle: RePEc:bas:econst:y:2026:i:1:p:98-115
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G01 - Financial Economics - - General - - - Financial Crises

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