Empirical Investigations of Direction of Causality among Exchange Rates of Naira to Some Foreign Currencies
Asian Journal of Probability and Statistics,
Page 31-42
DOI:
10.9734/ajpas/2022/v18i130435
Abstract
The aim of this paper is to examine the direction of causality among some exchange rate of Nigeria Naira to US Dollar, Pounds Sterling and Euro. It made use of a time series data from the year 2005 to 2014. Toda and Yamamoto [1] procedure was used in analyzing the data. Augmented Dickey-Fuller, KPSS unit root test, the VAR selection method, Error correction model and Granger causality test based on Toda-Yamamoto procedure were used in this study as methods of analysis. The empirical analysis provides enough grounds to conclude that no causality relationship exists between the exchange rates.
Keywords:
- Causality test
- exchange rate
- VAR model
- Toda-yamamoto test
- unit root test
- co-integration
- time series model
How to Cite
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