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Testing for spillovers in naira exchange rates: The role of electioneering & global financial crisis

Author

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  • Afees A. Salisu
  • Taofeek O. Ayinde

Abstract

This study offers a new dimension to the analysis of spillover transmission in foreign exchange markets by accounting for the role of electioneering in addition to the global financial crisis. It does so by using Nigeria as a case study whose electioneering activities seem to be characterized by “money bags” with attendant effects on the behaviour of its domestic currency (naira). Thus, the study tests for spillover transmission among Nigeria's six most traded currencies namely the US Dollar, Euro, Pound Sterling, Yen, Swiss Franc and the West African Unit of Account (WAUA). Using the Diebold and Yilmaz (DY) (2009, 2012) approach, the results show that electioneering process in Nigeria appears to have greater spillover effects on the naira than the global financial crisis and this finding is robust to alternative measures of exchange rates. Some implications of the findings to investors and policy makers are documented.

Suggested Citation

  • Afees A. Salisu & Taofeek O. Ayinde, 2018. "Testing for spillovers in naira exchange rates: The role of electioneering & global financial crisis," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 18(4), pages 341-348, December.
    • Handle: RePEc:bor:bistre:v:18:y:2018:i:4:p:341-348
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    Cited by:

    1. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2023. "Does economic policy uncertainty drive the dynamic spillover among traditional currencies and cryptocurrencies? The role of the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    3. Kayani, Umar & Hasnaoui, Amir & Khan, Maaz & Zahoor, Nadia & Nawaz, Farrukh, 2024. "Analyzing fossil fuel commodities' return spillovers during the Russia and Ukraine crisis in the energy market," Energy Economics, Elsevier, vol. 135(C).
    4. Yanyang Yan & Zhichao Wu, 2020. "Regional innovation distribution and its dynamic evolution: Policy impact and spillover effect—Based on the perspective of innovation motivation," PLOS ONE, Public Library of Science, vol. 15(7), pages 1-29, July.
    5. Faruk Urak & Abdulbaki Bilgic & Gürkan Bozma & Wojciech J. Florkowski & Erkan Efekan, 2022. "Volatility in Live Calf, Live Sheep, and Feed Wheat Return Markets: A Threat to Food Price Stability in Turkey," Agriculture, MDPI, vol. 12(4), pages 1-24, April.
    6. Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).
    7. Ngo Thai Hung, 2020. "Market integration among foreign exchange rate movements in central and eastern European countries," Society and Economy, Akadémiai Kiadó, Hungary, vol. 42(1), pages 1-20, March.
    8. Jingbo Guo & Zhiyong Wang, 2023. "Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach," PLOS ONE, Public Library of Science, vol. 18(6), pages 1-27, June.
    9. Atenga, Eric Martial Etoundi & Mougoué, Mbodja, 2021. "Return and volatility spillovers to African currencies markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D72 - Microeconomics - - Analysis of Collective Decision-Making - - - Political Processes: Rent-seeking, Lobbying, Elections, Legislatures, and Voting Behavior
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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