International Journal of Humanities and Social Science Research

International Journal of Humanities and Social Science Research


International Journal of Humanities and Social Science Research
International Journal of Humanities and Social Science Research
Vol. 3, Issue 5 (2017)

Exchange rate volatility and trade balance: evidence from Nigeria


Dada James Temitope, Olomola Philips Akani

This paper examines the effect of exchange rate volatility on trade balance in Nigeria using monthly data from 2000:1 to 2015:12. Generalized Autoregressive Conditional Heteroscedacity (GARCH 1, 1) was used to generate exchange rate volatility; and the result reveals the presence of exchange rate volatility. Applying Autoregressive Distributed Lag framework, the result shows that the model corrects its short run dis-equilibrium by 52% monthly. Furthermore, the results reveal that real exchange rate and exchange rate volatility has negative effect on trade balance both in short run and long run. Real domestic income has a positive but insignificant effect on trade balance both in the short run and long run.
Pages : 04-10