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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

    (Centre for Econometric and Allied Research, University of Ibadan)

  • Taofeek O. Ayinde

    (Department of Economics, Fountain University, Nigeria.)

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). Data utilized involve daily frequency over the period of 2001 to2015 and is partitioned into sub-samples on the basis of the electioneering periods in Nigeria and global financial crisis. The novel approaches of Diebold and Yilmaz (DY) (2009, 2012) are employed to compute the spillovers. 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," Working Papers 050, Centre for Econometric and Allied Research, University of Ibadan.
    • Handle: RePEc:cui:wpaper:0050
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    Cited by:

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    2. 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.
    3. 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.
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    6. 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.

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    More about this item

    Keywords

    Panel unit root; PANICCA; Stock exchanges; OECD;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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