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Arima Intervention Analysis of Monthly Xaf-Ngn Exchange Rates Occasioned By Nigerian Economic Recession

Author

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  • Ette Harrison Etuk

    (Department of Mathematics, Rivers State University, Port Harcourt, Nigeria)

  • Alapuye Gbolu Eleki

    (Department of Mathematics/Statistics, Port Harcourt Polytechnic, Nigeria)

Abstract

Time-plot of monthly Central African Franc (CFAFr or XAF) and Nigerian Naira (NGN) exchange rates from January 2004 to January 2017 shows a slight positive trend up to May 2016 after which there is an abrupt astronomical rise which calls for intervention. The intervention point is therefore June 2016 around which time the Nigerian economy sank into recession. Â At 1% level of significance the pre-intervention rates are non-stationary and differencing the series once renders it stationary. Â This pre-intervention series has the autocorrelation structure of white noise. This white noise model structure is confirmed by a non-significant ARIMA (6,1,6) fit. Â Post-intervention forecasts are obtained on the basis of the pre-intervention white noise model. Â The difference between post-intervention forecasts and actual observations is modelled to obtain the intervention model. The intervention model is statistically significant and may be useful as basis for intervention in the circumstance.

Suggested Citation

  • Ette Harrison Etuk & Alapuye Gbolu Eleki, 2017. "Arima Intervention Analysis of Monthly Xaf-Ngn Exchange Rates Occasioned By Nigerian Economic Recession," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 2(4), pages 76-81, April.
    • Handle: RePEc:nap:nijefr:2017:p:76-81
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    References listed on IDEAS

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    1. Enders, Walter & Sandler, Todd, 1993. "The Effectiveness of Antiterrorism Policies: A Vector-Autoregression-Intervention Analysis," American Political Science Review, Cambridge University Press, vol. 87(4), pages 829-844, December.
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    Cited by:

    1. Mohammadreza Nahidi & Arash Ketabforoush Badri, 2018. "The Leverage Effect of Oil Price Shocks on Economic Growth of Iran," Noble International Journal of Business and Management Research, Noble Academic Publsiher, vol. 2(7), pages 53-60, July.
    2. Ette Harrison Etuk & Unyime Patrick Udoudo, 2018. "Intervention Analysis of Daily Indian Rupee/Nigerian Naira Exchange Rates," Noble International Journal of Business and Management Research, Noble Academic Publsiher, vol. 2(6), pages 47-52, June.
    3. Katleho Daniel Makatjane & Edward Kagiso Molefe & Roscoe Bertrum van Wyk, 2018. "The Analysis of the 2008 US Financial Crisis: An Intervention Approach," Journal of Economics and Behavioral Studies, AMH International, vol. 10(1), pages 59-68.

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